Despite advances in artificial intelligence-enhanced trading methods,
developing a profitable automated trading system remains challenging in the
rapidly evolving cryptocurrency market. This study aims to address these
challenges by developing a reinforcement learning-based automated trading
system for five popular altcoins~(cryptocurrencies other than Bitcoin): Binance
Coin, Ethereum, Litecoin, Ripple, and Tether. To this end, we present
CausalReinforceNet, a framework framed as a decision support system. Designed
as the foundational architecture of the trading system, the CausalReinforceNet
framework enhances the capabilities of the reinforcement learning agent through
causal analysis. Within this framework, we use Bayesian networks in the feature
engineering process to identify the most relevant features with causal
relationships that influence cryptocurrency price movements. Additionally, we
incorporate probabilistic price direction signals from dynamic Bayesian
networks to enhance our reinforcement learning agent's decision-making. Due to
the high volatility of the cryptocurrency market, we design our framework to
adopt a conservative approach that limits sell and buy position sizes to manage
risk. We develop two agents using the CausalReinforceNet framework, each based
on distinct reinforcement learning algorithms. The results indicate that our
framework substantially surpasses the Buy-and-Hold benchmark strategy in
profitability. Additionally, both agents generated notable returns on
investment for Binance Coin and Ethereum.

本研究旨在通过开发基于强化学习的自动化交易系统来应对加密货币市场中不断演进的挑战。通过使用因果分析增强强化学习代理的能力，我们设计了 CausalReinforceNet 框架作为交易系统的基础架构，利用贝叶斯网络在特征工程过程中识别对加密货币价格变动产生因果关系的相关特征，并通过动态贝叶斯网络引入概率性价格方向信号来增强强化学习代理的决策能力。该框架在盈利能力方面显著超过了买入持有基准策略，并为 Binance Coin 和 Ethereum 生成了可观的投资回报。