Alpha Factor Mining on CSI300
0.0474ICFE-report
Evaluation results
| Method | Links | ||||||||
|---|---|---|---|---|---|---|---|---|---|
| FE-reportIterations=4002026.03 | 0.0474 | 0.3185 | 0.0475 | 0.3146 | 0.1899 | 12.61 | 1.6001 | 1.0093 | |
| FE-reportIterations=2002026.03 | 0.0333 | 0.2325 | 0.036 | 0.2459 | 0.1017 | 15.89 | 0.8959 | 0.5147 | |
| FE-alphaIterations=2002026.03 | 0.0319 | 0.2178 | 0.0346 | 0.2308 | 0.0888 | 16.91 | 0.7886 | 0.4526 | |
| FE-alphaIterations=4002026.03 | 0.0315 | 0.2211 | 0.0344 | 0.236 | 0.0943 | 15.07 | 0.8241 | 0.4762 | |
| AlphaAgentIterations=4002026.03 | 0.0314 | 0.2089 | 0.0346 | 0.2252 | 0.0755 | 16.23 | 0.6779 | 0.3868 | |
| Alpha1582026.03 | 0.0299 | 0.2008 | 0.0331 | 0.2164 | 0.084 | 17.49 | 0.744 | 0.4196 | |
| GPLearn2026.03 | 0.0292 | 0.1971 | 0.0321 | 0.212 | 0.0814 | 15.99 | 0.7337 | 0.4152 | |
| AlphaAgentIterations=2002026.03 | 0.0282 | 0.1978 | 0.0313 | 0.2142 | 0.0673 | 17 | 0.6346 | 0.3499 | |
| RD-AgentIterations=4002026.03 | 0.0269 | 0.1833 | 0.03 | 0.1978 | 0.0917 | 15.23 | 0.8113 | 0.4647 | |
| TRA2026.03 | 0.0256 | 0.1559 | 0.0302 | 0.1964 | 0.0674 | 16.02 | 0.6881 | 0.3747 | |
| RD-AgentIterations=2002026.03 | 0.0255 | 0.1667 | 0.0294 | 0.1881 | 0.0507 | 23.71 | 0.477 | 0.2627 | |
| LSTM2026.03 | 0.0053 | 0.0313 | 0.0129 | 0.0704 | 0.0486 | 34.09 | 0.481 | 0.3241 | |
| LGBM2026.03 | 0.004 | 0.0326 | 0.0078 | 0.0587 | 0.0129 | 39.18 | 0.1706 | 0.1006 | |
| Transformer2026.03 | -0.0012 | -0.0066 | -0.0078 | -0.0388 | 0.0342 | 29.48 | 0.3027 | 0.149 |