We conduct a detailed experiment on major cash fx pairs, accurately accounting for transaction and funding costs. These sources of profit and loss, including the price trends that occur in the currency markets, are made available to our recurrent reinforcement learner via a quadratic utility, which learns to target a position directly. We improve upon earlier work, by casting the problem of learning to target a risk position, in an online learning context. This online learning occurs

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... y in time, but also in the form of transfer learning. We transfer the output of radial basis function hidden processing units, whose means, covariances and overall size are determined by Gaussian mixture models, to the recurrent reinforcement learner and baseline momentum trader. Thus the intrinsic nature of the feature space is learnt and made available to the upstream models. The recurrent reinforcement learning trader achieves an annualised portfolio information ratio of 0.52 with compound return of 9.3\%, net of execution and funding cost, over a 7 year test set. This is despite forcing the model to trade at the close of the trading day 5pm EST, when trading costs are statistically the most expensive. These results are comparable with the momentum baseline trader, reflecting the low interest differential environment since the the 2008 financial crisis, and very obvious currency trends since then. The recurrent reinforcement learner does nevertheless maintain an important advantage, in that the model's weights can be adapted to reflect the different sources of profit and loss variation. This is demonstrated visually by a USDRUB trading agent, who learns to target different positions, that reflect trading in the absence or presence of cost.<br>