Home / Regular Issue / JST Vol. 30 (4) Oct. 2022 / JST-3266-2021


Automated Cryptocurrency Trading Bot Implementing DRL

Aisha Peng, Sau Loong Ang and Chia Yean Lim

Pertanika Journal of Science & Technology, Volume 30, Issue 4, October 2022

DOI: https://doi.org/10.47836/pjst.30.4.22

Keywords: Automated trading system, deep neural network, reinforcement learning

Published on: 28 September 2022

A year ago, one thousand USD invested in Bitcoin (BTC) alone would have appreciated to three thousand five hundred USD. Deep reinforcement learning (DRL) recent outstanding performance has opened up the possibilities to predict price fluctuations in changing markets and determine effective trading points, making a significant contribution to the finance sector. Several DRL methods have been tested in the trading domain. However, this research proposes implementing the proximal policy optimisation (PPO) algorithm, which has not been integrated into an automated trading system (ATS). Furthermore, behavioural biases in human decision-making often cloud one’s judgement to perform emotionally. ATS may alleviate these problems by identifying and using the best potential strategy for maximising profit over time. Motivated by the factors mentioned, this research aims to develop a stable, accurate, and robust automated trading system that implements a deep neural network and reinforcement learning to predict price movements to maximise investment returns by performing optimal trading points. Experiments and evaluations illustrated that this research model has outperformed the baseline buy and hold method and exceeded models of other similar works.

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