SAC model on testing set is allocating same weights to a given TIC on consecutive days

[arun-dezerv]

SAC model on testing set is allocating same weights to a given TIC on consecutive days for nearly 7 years. The model is behaving like an extreme Buy and Hold. I have tried using Optuna to fine tune etc. But still the same result. Below are my hyperparameters

SAC_PARAMS = {
"batch_size": 64,
"buffer_size": 100000,
"learning_rate": 0.001,
"learning_starts": 100,
"ent_coef": "auto_0.1",
}

timesteps = 150000

During training, the sharpe ratio across episodes but the model does not seem to converge. It is possible that my feature space is not very helpful. I am trying to build a long time frame (30 day lookahead) model.

My features include technical features and some macro features.

[BruceYanghy]

Thank you for bringing up the issue. Currently, the FinRL library is extremely poorly maintained. Rest assured, I will reorganize a team to ensure its proper maintenance.

Best regards,

Bruce Yang