As already mentioned, financial markets are large and complicated. The methods that we’ve tried are just the very beginning. Using RL to create a complete and profitable trading strategy is a large project, which can take several months of dedicated labor. However, there are things that we can try:
Our data representation is definitely not perfect. We don’t take into account significant price levels (support and resistance), round price values, and others. Incorporating them into the observation could be a challenging problem.
Market prices are usually analyzed at different timeframes. Low-level data like one-minute bars are noisy (as they include lots of small price movements caused by individual trades), and it is like looking at the market using a microscope. At larger scales, such as one-hour or one-day bars, you can see large, long trends in data movement, which could be extremely important for price prediction.
More training data is needed. One year of data for one stock...