correct trading cost calc, fixes stefan-jansen#230

Mr-MyDooM · Mar 8, 2022 · 0f81653 · 0f81653
1 parent f881ea0
commit 0f81653
Showing 1 changed file with 1 addition and 1 deletion.
diff --git a/22_deep_reinforcement_learning/trading_env.py b/22_deep_reinforcement_learning/trading_env.py
@@ -176,7 +176,7 @@ def take_step(self, action, market_return):
         trade_costs = abs(n_trades) * self.trading_cost_bps
         time_cost = 0 if n_trades else self.time_cost_bps
         self.costs[self.step] = trade_costs + time_cost
-        reward = start_position * market_return - self.costs[self.step]
+        reward = start_position * market_return - self.costs[max(0, self.step-1)]
         self.strategy_returns[self.step] = reward
 
         if self.step != 0: