I built an RL trading agent for crypto futures. Here’s why I abandoned supervised learning for Reinforcement Learning.
A lot of people start algotrading by training an LSTM to predict the next bar’s close. I did too, until I realized trading is a control problem, not a prediction problem. A supervised model predicting a price move with 53% accuracy can still lose money once you factor in fees, slippage, and path-dependent equity. I recently finished a deep-dive on my autonomous trading architecture, which runs a single Recurrent Soft Actor-Critic (SAC) agent managing a portfolio of six […]