{"title":"$text{Alpha}^2$:使用深度强化学习发现逻辑公式字母","authors":"Feng Xu, Yan Yin, Xinyu Zhang, Tianyuan Liu, Shengyi Jiang, Zongzhang Zhang","doi":"arxiv-2406.16505","DOIUrl":null,"url":null,"abstract":"Alphas are pivotal in providing signals for quantitative trading. The\nindustry highly values the discovery of formulaic alphas for their\ninterpretability and ease of analysis, compared with the expressive yet\noverfitting-prone black-box alphas. In this work, we focus on discovering\nformulaic alphas. Prior studies on automatically generating a collection of\nformulaic alphas were mostly based on genetic programming (GP), which is known\nto suffer from the problems of being sensitive to the initial population,\nconverting to local optima, and slow computation speed. Recent efforts\nemploying deep reinforcement learning (DRL) for alpha discovery have not fully\naddressed key practical considerations such as alpha correlations and validity,\nwhich are crucial for their effectiveness. In this work, we propose a novel\nframework for alpha discovery using DRL by formulating the alpha discovery\nprocess as program construction. Our agent, $\\text{Alpha}^2$, assembles an\nalpha program optimized for an evaluation metric. A search algorithm guided by\nDRL navigates through the search space based on value estimates for potential\nalpha outcomes. The evaluation metric encourages both the performance and the\ndiversity of alphas for a better final trading strategy. Our formulation of\nsearching alphas also brings the advantage of pre-calculation dimensional\nanalysis, ensuring the logical soundness of alphas, and pruning the vast search\nspace to a large extent. Empirical experiments on real-world stock markets\ndemonstrates $\\text{Alpha}^2$'s capability to identify a diverse set of logical\nand effective alphas, which significantly improves the performance of the final\ntrading strategy. The code of our method is available at\nhttps://github.com/x35f/alpha2.","PeriodicalId":501294,"journal":{"name":"arXiv - QuantFin - Computational Finance","volume":"33 1","pages":""},"PeriodicalIF":0.0000,"publicationDate":"2024-06-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"$\\\\text{Alpha}^2$: Discovering Logical Formulaic Alphas using Deep Reinforcement Learning\",\"authors\":\"Feng Xu, Yan Yin, Xinyu Zhang, Tianyuan Liu, Shengyi Jiang, Zongzhang Zhang\",\"doi\":\"arxiv-2406.16505\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"Alphas are pivotal in providing signals for quantitative trading. The\\nindustry highly values the discovery of formulaic alphas for their\\ninterpretability and ease of analysis, compared with the expressive yet\\noverfitting-prone black-box alphas. In this work, we focus on discovering\\nformulaic alphas. Prior studies on automatically generating a collection of\\nformulaic alphas were mostly based on genetic programming (GP), which is known\\nto suffer from the problems of being sensitive to the initial population,\\nconverting to local optima, and slow computation speed. Recent efforts\\nemploying deep reinforcement learning (DRL) for alpha discovery have not fully\\naddressed key practical considerations such as alpha correlations and validity,\\nwhich are crucial for their effectiveness. In this work, we propose a novel\\nframework for alpha discovery using DRL by formulating the alpha discovery\\nprocess as program construction. Our agent, $\\\\text{Alpha}^2$, assembles an\\nalpha program optimized for an evaluation metric. A search algorithm guided by\\nDRL navigates through the search space based on value estimates for potential\\nalpha outcomes. The evaluation metric encourages both the performance and the\\ndiversity of alphas for a better final trading strategy. Our formulation of\\nsearching alphas also brings the advantage of pre-calculation dimensional\\nanalysis, ensuring the logical soundness of alphas, and pruning the vast search\\nspace to a large extent. Empirical experiments on real-world stock markets\\ndemonstrates $\\\\text{Alpha}^2$'s capability to identify a diverse set of logical\\nand effective alphas, which significantly improves the performance of the final\\ntrading strategy. 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$\text{Alpha}^2$: Discovering Logical Formulaic Alphas using Deep Reinforcement Learning
Alphas are pivotal in providing signals for quantitative trading. The
industry highly values the discovery of formulaic alphas for their
interpretability and ease of analysis, compared with the expressive yet
overfitting-prone black-box alphas. In this work, we focus on discovering
formulaic alphas. Prior studies on automatically generating a collection of
formulaic alphas were mostly based on genetic programming (GP), which is known
to suffer from the problems of being sensitive to the initial population,
converting to local optima, and slow computation speed. Recent efforts
employing deep reinforcement learning (DRL) for alpha discovery have not fully
addressed key practical considerations such as alpha correlations and validity,
which are crucial for their effectiveness. In this work, we propose a novel
framework for alpha discovery using DRL by formulating the alpha discovery
process as program construction. Our agent, $\text{Alpha}^2$, assembles an
alpha program optimized for an evaluation metric. A search algorithm guided by
DRL navigates through the search space based on value estimates for potential
alpha outcomes. The evaluation metric encourages both the performance and the
diversity of alphas for a better final trading strategy. Our formulation of
searching alphas also brings the advantage of pre-calculation dimensional
analysis, ensuring the logical soundness of alphas, and pruning the vast search
space to a large extent. Empirical experiments on real-world stock markets
demonstrates $\text{Alpha}^2$'s capability to identify a diverse set of logical
and effective alphas, which significantly improves the performance of the final
trading strategy. The code of our method is available at
https://github.com/x35f/alpha2.