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

Table 8

Average top-5 performance results of the proposed method and the traditional pairs-trading strategy in the out-of-sample dataset using TLS.

Pairs	Model	MDD	Sharpe ratio	Profit	# of open portfolios	# of closed portfolios	# of stop-loss portfolios	# of exited portfolios
MSFT/JPM	PTDQN	−0.1122	0.2294	3.0446	186	126	38	62
	PTA0	−0.3411	0.0742	1.6236	211	136	57	18
	PTA1	−0.2907	0.0979	1.8001	162	104	26	32
	PTA2	−0.1507	0.1936	2.6303	131	64	7	60
	PTA3	−0.4032	0.1542	1.8282	97	39	1	57
	PTA4	−0.4340	0.0400	1.0480	55	13	0	42
	PTA5	−0.1836	0.3098	1.5524	30	7	0	23
MSFT/TXN	PTDQN	−0.3420	0.1001	1.5423	204	132	47	65
	PTA0	−1.2094	−0.0571	0.0013	244	152	76	16
	PTA1	−0.9225	−0.0177	0.6131	178	110	25	43
	PTA2	−0.5574	0.0351	1.0887	134	68	8	58
	PTA3	−0.5375	−0.0128	0.8326	97	34	1	62
	PTA4	−0.4485	0.0260	1.0118	66	15	1	50
	PTA5	−0.1048	0.1233	1.1502	32	5	0	27
BRKa/ABT	PTDQN	−0.0740	0.3159	2.3655	162	111	30	43
	PTA0	−0.1392	0.1554	1.7157	182	128	35	18
	PTA1	−0.1048	0.2464	2.1508	138	96	15	27
	PTA2	−0.1133	0.2538	1.9578	108	64	3	40
	PTA3	−0.1040	0.2480	1.7576	76	35	1	40
	PTA4	−0.0829	0.2087	1.3171	44	13	0	31
	PTA5	−0.0704	0.4366	1.4013	19	7	0	12
BRKa/UTX	PTDQN	−0.5401	0.1174	1.5744	167	105	35	58
	PTA0	−1.2143	−0.0199	0.5918	192	117	55	19
	PTA1	−0.9340	0.0346	1.0701	147	89	12	45
	PTA2	−0.9099	−0.0009	0.8435	122	60	5	57
	PTA3	−0.5673	0.0473	1.1520	89	32	1	56
	PTA4	−0.3641	0.0694	1.1628	53	9	0	44
	PTA5	−0.2309	0.0408	1.0405	18	3	0	15
JPM/T	PTDQN	−0.1384	0.1283	1.4653	175	113	42	53
	PTA0	−0.3630	0.0071	0.8968	205	129	60	15
	PTA1	−0.2801	0.0460	1.1595	144	94	17	32
	PTA2	−0.3750	0.0192	0.9987	119	62	5	51
	PTA3	−0.5241	−0.0717	0.6609	92	35	0	56
	PTA4	−0.3607	−0.0550	0.8411	56	18	0	38
	PTA5	−0.2235	0.0061	0.9851	22	6	0	16
JPM/HON	PTDQN	−0.1872	0.1523	2.2510	223	155	39	62
	PTA0	−0.6769	0.0190	1.0077	274	180	70	23
	PTA1	−0.4644	0.0622	1.6331	201	139	24	38
	PTA2	−0.4537	0.0840	1.7165	149	87	2	60
	PTA3	−0.2410	0.1414	1.7648	107	43	0	64
	PTA4	−0.3313	0.0879	1.3150	62	16	0	46
	PTA5	−0.1693	0.1803	1.2777	28	7	0	21
JPM/GE	PTDQN	−0.1098	0.2123	2.8250	193	124	46	65
	PTA0	−0.3897	0.0507	1.5137	224	142	65	17
	PTA1	−0.3404	0.0640	1.6912	163	109	18	36
	PTA2	−0.1628	0.1284	1.9032	132	73	6	53
	PTA3	−0.2980	0.1142	1.7555	106	38	1	67
	PTA4	−0.2817	0.0790	1.2884	55	13	0	42
	PTA5	−0.0612	0.4776	1.7489	21	6	0	15
JNJ/WFC	PTDQN	−0.1576	0.2437	2.3741	143	100	28	38
	PTA0	−0.2872	0.0892	1.4932	164	115	37	12
	PTA1	−0.2219	0.1948	2.1147	127	90	15	21
	PTA2	−0.3188	0.1322	1.6362	99	55	5	38
	PTA3	−0.2324	0.1084	1.3141	68	27	0	41
	PTA4	−0.1532	0.1043	1.1228	40	14	0	26
	PTA5	−0.0970	0.1203	1.0734	16	6	0	10
XOM/CVX	PTDQN	−0.4265	0.0605	1.1924	218	135	45	77
	PTA0	−0.6189	0.0236	0.8812	256	161	67	28
	PTA1	−0.5999	0.0154	0.8809	197	118	25	54
	PTA2	−0.6034	−0.0073	0.7792	153	70	8	75
	PTA3	−0.5628	−0.0224	0.7734	114	38	2	74
	PTA4	−0.5311	−0.0200	0.8643	70	18	1	51
	PTA5	−0.2583	0.0060	0.9692	31	4	0	27
HON/TXN	PTDQN	−0.0874	0.2679	3.2755	233	164	49	63
	PTA0	−0.5108	0.1080	1.9219	276	186	66	23
	PTA1	−0.5841	0.1625	2.3378	207	140	28	38
	PTA2	−0.1926	0.2086	2.3096	158	92	4	62
	PTA3	−0.1611	0.1557	1.7100	114	49	2	63
	PTA4	−0.1254	0.2289	1.6374	69	23	0	46
	PTA5	−0.1578	0.1924	1.1925	28	9	0	19
GE/TXN	PTDQN	−0.1133	0.1871	2.1398	172	117	30	48
	PTA0	−0.3348	0.0967	1.6398	201	136	44	21
	PTA1	−0.1656	0.1070	1.6355	153	101	19	33
	PTA2	−0.2043	0.1388	1.7568	117	68	8	41
	PTA3	−0.2335	0.1591	1.5555	89	39	2	48
	PTA4	−0.3847	−0.1355	0.6570	45	7	0	38
	PTA5	−0.3489	−0.2730	0.7218	21	2	0	19
MO/UTX	PTDQN	−0.5264	0.0840	1.2940	150	88	35	58
	PTA0	−1.0950	−0.0272	0.6231	178	102	56	19
	PTA1	−0.7205	0.0286	1.0362	125	73	12	39
	PTA2	−0.8361	−0.0040	0.8658	105	51	3	50
	PTA3	−0.4311	0.0052	0.9323	79	24	0	54
	PTA4	−0.3916	0.1141	1.2129	48	12	0	36
	PTA5	−0.1311	0.2948	1.1276	14	3	0	11