Optimizing the Pairs-Trading Strategy Using Deep Reinforcement Learning with Trading and Stop-Loss Boundaries

Table 7

Average top-5 performance results for XOM and CVX using TLS within the training period.

Model	MDD	Sharpe ratio	Profit	# of open portfolios	# of closed portfolios	# of stop-loss portfolios	# of exited portfolios
PTDQN	−0.0944	0.2133	4.8760	541	399	104	63
PTA0	−0.1210	0.1522	4.1948	579	413	125	41
PTA1	−0.1015	0.1650	3.8834	430	310	50	70
PTA2	−0.1483	0.1722	3.3425	320	209	13	98
PTA3	−0.1386	0.1771	2.4385	217	101	3	113
PTA4	−0.1749	0.1602	1.6852	119	38	2	79
PTA5	−0.2862	0.0137	1.0362	55	10	0	45