计算机科学
源代码
阿尔法(金融)
管道(软件)
钥匙(锁)
知识库
趋同(经济学)
数据挖掘
人工智能
机器学习
领域(数学分析)
股票市场
领域知识
质量(理念)
排名(信息检索)
语言模型
越南语
编码(集合论)
特征(语言学)
水准点(测量)
库存(枪支)
度量(数据仓库)
数据建模
算法交易
域适应
交易策略
主题专家
作者
Minh-Son Vu,The-Trung Pham,Tran Hong-Viet
标识
DOI:10.1016/j.mlwa.2026.100987
摘要
Quantitative trading strategies depend on discovering novel alpha factors that capture market inefficiencies, yet traditional approaches rely on manual feature engineering, which is time-consuming and requires substantial domain expertise. This paper proposes an automated framework that leverages large language models (LLMs) to systematically generate, refine, and evaluate trading alpha strategies through a multi-agent pipeline comprising a WriterAgent, JudgeAgent, and BacktestEngine, organized in a nested-loop architecture. The key contribution of this work is the systematic integration of WorldQuant 101 Formulaic Alphas as a structured knowledge prior, rooted in proven formulaic patterns rather than unconstrained free-form synthesis. This design significantly narrows the search space, reduces invalid code generation, and accelerates convergence of the refinement loop. Experiments on Vietnamese stock market data demonstrate that the proposed framework consistently generates alpha factors with statistically significant Information Coefficient (IC) values and positive Sharpe ratios within a short generation time. Furthermore, the incorporation of WorldQuant 101 Formulaic Alphas consistently outperforms LLM-based generation without constraints in both alpha quality and convergence efficiency, establishing a scalable, robust, and domain-based approach to automated alpha mining.
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