PPO-HRAP: Proximal Policy Optimization with a Hybrid Regime-Aware Policy for Risk-Controlled Trading
PPO-HRAP blends a regime prior with PPO, cutting SPY max drawdown to 18.47% versus 34.10% buy-and-hold.
PPO-HRAP combines Proximal Policy Optimization with an interpretable regime prior for risk-controlled trading. Rewards mix portfolio log return, a VIX-conditioned drawdown penalty, target-exposure deviation, and turnover cost, while actions blend the actor with a regime-derived exposure. On the 2020-2022 SPY window it reports 27.62% total return, 8.48% annualized return, Sharpe 0.6447, and maximum drawdown of 18.47% versus 34.10% for buy-and-hold. Five SPY seeds average total return 0.2725 and Sharpe 0.6219; single-run QQQ and DIA tests also rank first, though turnover remains high.
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