Transformer PPO trading agent trained on live StockEx data

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README.md

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+---
+license: mit
+tags:
+  - reinforcement-learning
+  - trading
+  - PPO
+  - transformer
+  - stable-baselines3
+---
+
+# StockEx Transformer Trading Agent
+
+Advanced neural network trading agent for the StockEx Clearing House.
+
+## Architecture
+
+- **Feature Extractor**: Temporal Transformer Encoder (3L, 4H, d=128)
+- **Portfolio Encoder**: 2-layer MLP (8 -> 64)
+- **Actor-Critic**: MLP heads (192 -> 128 -> 64)
+- **Algorithm**: PPO (Proximal Policy Optimization)
+- **Training**: 500,000 timesteps on real ATHEX/NYSE/Euronext data
+
+## Observation Space
+
+3,008-dimensional vector:
+- Market state (3,000): 60 OHLCV bars x 50 technical indicators
+- Portfolio state (8): capital, holdings, net worth, returns, ratios
+
+## Action Space
+
+2-dimensional continuous:
+- `action[0]`: 0=Hold, 1=Buy, 2=Sell
+- `action[1]`: Position size (5%-50% of capital/holdings)
+
+## Usage
+
+Set `CH_RL_MODEL_REPO=RayMelius/stockex-nn-agent` in your StockEx deployment.
+
+## Files
+
+- `final_model.zip`: PPO model (stable-baselines3 format)
+- `scaler.pkl`: StandardScaler for observation normalization
+
+## Performance
+
+- Avg PnL: -1,204.17 EUR
+- Win Rate: 40%
+- Avg Trades: 63 securities/episode

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