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I want to add Vix and Turbulence to the states? I have a user defined feature that is mean return this way, but not sure if it is correct. Can anyone help?
self.observation_space = spaces.Box(low=-np.inf, high=np.inf, shape=(self.state_space + len(self.tech_indicator_list) + 1, self.state_space))
self.data = self.df.loc[self.day, :] # basically all the columns in our data from the current day
self.covs = self.data['cov_list'].values[0] # Extract the covariance matrix
self.mean_return = self.data['mean_return'].values[0]
self.state = np.append(np.array(self.covs),
[self.data[tech].values for tech in self.tech_indicator_list] + [self.mean_return], #the structure of the sate
axis=0)
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I want to add Vix and Turbulence to the states? I have a user defined feature that is mean return this way, but not sure if it is correct. Can anyone help?
self.observation_space = spaces.Box(low=-np.inf, high=np.inf, shape=(self.state_space + len(self.tech_indicator_list) + 1, self.state_space))
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