Implementation of this paper: Paper

Paper describe how to optimize Sharpe Ratio using deep learning.

Defining Sharpe Ratio as loss function we need to implement custom training.

Also I tried to change the objective from LSTM to directly optimize Sharpe Ratio in LSTM for prediction and optimize Sharpe Ratio through quadratic programming. But Sharpe Ratio is not a convex function, so we have many possibilities:

• Dual problem
• Do some transformations in order to achieve convexity
• Change approach and implement a neural network to maximize numerator(returns) and a neural network to minimize denominator(volatility). This is a min-max game like what happens in Generative Adversarial Networks