Table 2 Median performance metrics of... | Emerald Publishing

Table 2

Median performance metrics of DRL agents and benchmarks (2018–2025)

Model	Ann. Return	Ann. Vol.	Sharpe	Calmar	Omega	Sortino	Stability
A2C	0.1646	0.1879	0.8976	0.9232	1.1790	1.3092	0.7893
DDPG	0.1638	0.1923	0.8842	0.8148	1.1767	1.2432	0.7793
EQUAL_WEIGHT	0.1629	0.1862	0.9017	0.9064	1.1792	1.2570	0.7948
MINVAR	0.1629	0.1862	0.9017	0.9064	1.1792	1.2570	0.7948
PPO	0.1666	0.1894	0.9251	0.9606	1.1820	1.3120	0.7856
RecurrentPPO	0.1618	0.1929	1.0461	0.8914	1.1539	1.1188	0.7390
SAC	0.1537	0.1913	1.0406	0.7866	1.1468	1.1343	0.7283
TD3	0.1638	0.1923	0.8842	0.8148	1.1767	1.2432	0.7793
TQC	0.1537	0.1913	1.0406	0.7866	1.1468	1.1343	0.7283

Model	Ann. Return	Ann. Vol.	Sharpe	Calmar	Omega	Sortino	Stability
A2C	0.1646	0.1879	0.8976	0.9232	1.1790	1.3092	0.7893
DDPG	0.1638	0.1923	0.8842	0.8148	1.1767	1.2432	0.7793
EQUAL_WEIGHT	0.1629	0.1862	0.9017	0.9064	1.1792	1.2570	0.7948
MINVAR	0.1629	0.1862	0.9017	0.9064	1.1792	1.2570	0.7948
PPO	0.1666	0.1894	0.9251	0.9606	1.1820	1.3120	0.7856
RecurrentPPO	0.1618	0.1929	1.0461	0.8914	1.1539	1.1188	0.7390
SAC	0.1537	0.1913	1.0406	0.7866	1.1468	1.1343	0.7283
TD3	0.1638	0.1923	0.8842	0.8148	1.1767	1.2432	0.7793
TQC	0.1537	0.1913	1.0406	0.7866	1.1468	1.1343	0.7283