StocksEnv profit calculation does not consider short ?

[vincentfortin]

Not sure if here is the best place to ask a question.

In the _calculate_reward function, the reward does not seem to consider when shorting. Trade is true, but it does not add reward when we short and price goes down or remove reward if price goes up when shorting.

if trade:
    current_price = self.prices[self._current_tick]
    last_trade_price = self.prices[self._last_trade_tick]
    price_diff = current_price - last_trade_price

    if self._position == Positions.Long:
        step_reward += price_diff

Shouldn't it be changed to:

if trade:
    current_price = self.prices[self._current_tick]
    last_trade_price = self.prices[self._last_trade_tick]
    price_diff = current_price - last_trade_price

    if self._position == Positions.Long:
        step_reward += price_diff
    else:
        step_reward -= price_diff # Change here to account for shorting

[AminHP]

Basically in the Stocks Market, we don't trade short. We buy a stock at a low price and sell it at a high price. So I implemented the reward function as you see. But you can inherit the StocksEnv and change the reward function in the way you have mentioned and maybe you get better results.

Or you can do it in a simpler way if you don't want to use inheritance:

def _calculate_reward(self, action):
        step_reward = 0

        trade = False
        if ((action == Actions.Buy.value and self._position == Positions.Short) or
            (action == Actions.Sell.value and self._position == Positions.Long)):
            trade = True

        if trade:
            current_price = self.prices[self._current_tick]
            last_trade_price = self.prices[self._last_trade_tick]
            price_diff = current_price - last_trade_price

            if self._position == Positions.Long:
                step_reward += price_diff
            else:
                step_reward -= price_diff

        return step_reward

StocksEnv._calculate_reward = _calculate_reward

[vincentfortin]

Thanks, also changed the profit function to account for shorting.