gym-buy-high-sell-low 0.2.1

An OpenAI Gym stock market environment

Gym Buy High Sell Low

Gym Buy High Sell Low is an OpenAI Gym simulated stock market environment that allows training agents to do favorable trades on a hypothetical stock market. Please, don't use this for serious purposes. The goal for this project is personal learning. I feel trying to beat the stock market is a rite of passage when you're getting into reinforcement learning.

Obviously, "buy high, sell low" is an attempt at humour and a horrible way to do trading.

Prerequisites

• Python >= 3.7 (tested with latest 3.7, 3.8 and 3.9)

Getting started

Install the package either from Pypi or from the repository.

pip istall gym-buy-high-sell-low

To install from the repository, follow these steps:

Linux and macOS:

git clone https://github.com/tjkemp/gym-buy-high-sell-low

# create and enter a Python environment here before proceeding

pip install requirements/requirements.txt
pip install -e .

After installing the package to create an instance of the environment first import both gym_bhsl and OpenAI's gym package:

>>> import gym_bhsl
>>> import gym
>>> env = gym.make('BuyHighSellLow-v0')

The environment instance implements the usual OpenAI Gym environment methods.

To see the observation space and the action space of the environment, use the env.observation_space and env.action_space properties:

>>> env.observation_space
Tuple(Box(0.0, 100.0, (1,), float32), Box(0.0, 100.0, (90,), float32))

>>> env.action_space
Discrete(3)

The observation space is a tuple of two Box objects, one for the price of the bought stock (or 0.0 if no stock is owned. The second object is the price history for the last 90 days (timesteps).

The action space is a discrete space of size 3. Integer 0 means hold/wait, 1 means buy, 2 means sell.

render() prints out the current state of the environment in a simplified human readable format.

> env.reset()
> env.render()
0. 90d avg: 9.224 7d avg: 8.857. No stocks. Current price 8.192.
> env.action(1); env.render()  # Buy stocks
1. 90d avg: 9.212 7d avg: 8.742. Bought at 8.802. Current price 8.946.
> env.action(0); env.render()  # Hold
2. 90d avg: 9.185 7d avg: 8.684. Bought at 8.802. Current price 9.918.
> env.action(2); env.render()  # Sell stocks
3. 90d avg: 9.185 7d avg: 8.684. Sold with a profit of 0.166 %. Current price 10.264.

The reward is the profit/loss made from the last trade in percentage. Sell actions are executed on the next timesteps price. You can only buy and hold one stock at a time.

The simulation

The stock market is simulated as an Ornstein-Uhlenbeck process. The process is a random walk with a constant mean and a constant standard deviation. At the start of a new task (or at reset()) the process is initialized with 90 timesteps of random stock price and the price is updated after each timestep.

Author

• tjkemp