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

Table 9

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

Pairs	Model	MDD	Sharpe ratio	Profit	# of open portfolios	# of closed portfolios	# of stop-loss portfolios	# of exited portfolios
MSFT/JPM	PTDQN	−0.2096	0.1228	1.9255	215	137	54	62
	PTA0	−0.3618	0.0492	1.3365	225	141	61	23
	PTA1	−0.5036	0.0188	1.0185	168	102	28	38
	PTA2	−0.4045	0.0611	1.3591	124	59	8	57
	PTA3	−0.5055	−0.0094	0.8636	97	33	3	61
	PTA4	−0.4195	−0.0009	0.9459	58	12	1	45
	PTA5	−0.2018	0.1236	1.1593	29	6	0	23
MSFT/TXN	PTDQN	−0.2878	0.0698	1.3466	244	153	65	68
	PTA0	−0.5271	0.0070	0.8489	252	156	72	24
	PTA1	−0.4721	0.0255	1.0286	187	117	26	44
	PTA2	−0.3816	0.0215	0.9912	145	71	10	64
	PTA3	−0.6553	−0.1015	0.5053	104	30	2	72
	PTA4	−0.2719	0.0422	1.0532	63	16	1	46
	PTA5	−0.1850	0.0068	0.9785	34	7	0	27
BRKa/ABT	PTDQN	−0.1282	0.1644	1.5076	180	109	48	57
	PTA0	−0.5073	−0.0265	0.7070	183	112	48	22
	PTA1	−0.2649	0.0453	1.0786	139	80	13	46
	PTA2	−0.2246	0.1056	1.2942	121	60	4	56
	PTA3	−0.1686	0.1241	1.2718	91	38	1	52
	PTA4	−0.1483	0.0176	0.9778	49	12	0	37
	PTA5	−0.1602	0.0004	0.9830	16	2	0	14
BRKa/UTX	PTDQN	−0.5231	0.0816	1.2976	215	132	57	69
	PTA0	−1.1928	−0.0647	0.3332	216	133	57	25
	PTA1	−0.8697	−0.0157	0.7445	167	100	15	51
	PTA2	−0.7815	−0.0071	0.8391	135	70	5	60
	PTA3	−0.3573	0.0315	1.0292	94	36	0	58
	PTA4	−0.2096	0.0684	1.0857	52	11	0	41
	PTA5	−0.1317	−0.1174	0.9312	16	2	0	14
JPM/T	PTDQN	−0.1338	0.1391	1.4547	205	127	60	50
	PTA0	−0.3588	0.0069	0.9054	208	130	61	16
	PTA1	−0.2535	0.0405	1.0902	151	96	19	35
	PTA2	−0.1872	0.0542	1.1198	119	66	5	48
	PTA3	−0.2574	0.0336	1.0502	94	39	0	55
	PTA4	−0.2212	0.0345	1.0312	57	20	0	37
	PTA5	−0.2348	−0.1922	0.8299	20	5	0	15
JPM/HON	PTDQN	−0.3869	0.1071	1.5175	250	162	57	68
	PTA0	−0.7141	0.0181	0.9444	256	166	59	30
	PTA1	−0.5065	0.0702	1.3071	198	127	22	49
	PTA2	−0.4649	0.1071	1.4260	152	84	3	65
	PTA3	−0.4871	0.0763	1.2098	102	44	0	58
	PTA4	−0.3503	−0.0694	0.8178	50	13	0	37
	PTA5	−0.2980	−0.1721	0.8040	23	6	0	17
JPM/GE	PTDQN	−0.1195	0.1443	1.7682	226	133	64	69
	PTA0	−0.4379	0.0036	0.8549	232	137	66	29
	PTA1	−0.1523	0.0987	1.4814	165	98	16	51
	PTA2	−0.1738	0.1264	1.5661	134	62	5	67
	PTA3	−0.2680	0.0729	1.2026	93	29	0	64
	PTA4	−0.2104	0.1298	1.3242	51	12	0	39
	PTA5	−0.1461	−0.0423	0.9586	18	3	0	15
JNJ/WFC	PTDQN	−0.1890	0.1266	1.7194	202	130	47	56
	PTA0	−0.8705	−0.0326	0.4635	207	131	53	22
	PTA1	−0.6189	−0.0134	0.7318	150	91	19	39
	PTA2	−0.4763	0.0309	1.0563	124	57	4	62
	PTA3	−0.2318	0.1447	1.6072	97	33	2	62
	PTA4	−0.2415	0.0549	1.0632	50	13	0	37
	PTA5	−0.0880	0.2468	1.1886	20	4	0	16
XOM/CVX	PTDQN	−0.3316	0.0265	1.1517	141	81	23	43
	PTA0	−0.7629	−0.0547	0.4186	240	149	61	30
	PTA1	−0.5648	0.0132	0.8754	193	114	23	56
	PTA2	−0.6977	−0.0387	0.6655	154	70	7	77
	PTA3	−0.5235	0.0277	0.9865	117	38	1	78
	PTA4	−0.4781	−0.0577	0.8117	63	12	1	50
	PTA5	−0.3787	−0.1492	0.8090	29	3	0	26
HON/TXN	PTDQN	−0.1339	0.1534	1.8852	270	175	64	69
	PTA0	−0.4135	0.0212	0.9455	276	177	70	28
	PTA1	−0.2758	0.0666	1.3216	207	124	27	55
	PTA2	−0.2614	0.1054	1.5031	159	84	5	69
	PTA3	−0.1759	0.1413	1.5617	117	45	2	70
	PTA4	−0.0834	0.2650	1.7044	66	23	0	43
	PTA5	−0.0664	0.4606	1.6830	30	13	0	17
GE/TXN	PTDQN	−0.1676	0.1263	1.6411	206	140	43	62
	PTA0	−0.6133	0.0178	0.9742	211	144	44	23
	PTA1	−0.3085	0.0586	1.2743	166	109	19	38
	PTA2	−0.2402	0.0585	1.2216	128	68	5	55
	PTA3	−0.3190	−0.0013	0.9193	91	31	2	58
	PTA4	−0.2493	−0.0285	0.9117	49	8	0	41
	PTA5	−0.0862	0.1417	1.0936	23	4	0	19
MO/UTX	PTDQN	−0.3181	0.0524	1.1402	188	117	49	59
	PTA0	−0.4688	0.0041	0.8667	195	121	52	21
	PTA1	−0.6166	−0.0230	0.7470	144	84	13	46
	PTA2	−0.5034	−0.0076	0.8666	115	51	4	59
	PTA3	−0.2833	0.0457	1.0873	88	32	0	56
	PTA4	−0.2901	0.0356	1.0280	44	12	0	32
	PTA5	−0.1500	0.0992	1.0297	13	2	0	11