  Deep Reinforcement Learning (Deep RL) has been explored for a number of
applications in finance and stock trading. In this paper, we present a
practical implementation of Deep RL for trading natural gas futures contracts.
The Sharpe Ratio obtained exceeds benchmarks given by trend following and mean
reversion strategies as well as results reported in literature. Moreover, we
propose a simple but effective ensemble learning scheme for trading, which
significantly improves performance through enhanced model stability and
robustness as well as lower turnover and hence lower transaction cost. We
discuss the resulting Deep RL strategy in terms of model explainability,
trading frequency and risk measures.
