Alpha Factor Mining on CSI500
0.0536ICFE-report
Evaluation results
| Method | Links | ||||||||
|---|---|---|---|---|---|---|---|---|---|
| FE-reportIterations=4002026.03 | 0.0536 | 0.414 | 0.0487 | 0.3744 | 0.0836 | 21.51 | 0.6719 | 0.2945 | |
| FE-reportIterations=2002026.03 | 0.042 | 0.3244 | 0.0429 | 0.3289 | 0.0458 | 25.44 | 0.403 | 0.1222 | |
| FE-alphaIterations=4002026.03 | 0.0417 | 0.3183 | 0.0434 | 0.3293 | 0.0399 | 23.84 | 0.377 | 0.1064 | |
| FE-alphaIterations=2002026.03 | 0.0413 | 0.3112 | 0.043 | 0.3241 | 0.0346 | 21.44 | 0.3315 | 0.0793 | |
| GPLearn2026.03 | 0.0409 | 0.319 | 0.0427 | 0.3113 | 0.0272 | 22.79 | 0.2751 | 0.0451 | |
| Alpha1582026.03 | 0.0403 | 0.31 | 0.0416 | 0.3172 | 0.0197 | 25.17 | 0.2152 | 0.0089 | |
| RD-AgentIterations=4002026.03 | 0.0402 | 0.307 | 0.0411 | 0.313 | 0.0189 | 24.15 | 0.2092 | 0.0052 | |
| AlphaAgentIterations=2002026.03 | 0.04 | 0.3076 | 0.0407 | 0.3135 | 0.0102 | 24.4 | 0.1431 | -0.0319 | |
| RD-AgentIterations=2002026.03 | 0.0385 | 0.2887 | 0.0398 | 0.2963 | -0.0033 | 30.55 | 0.0404 | -0.0915 | |
| AlphaAgentIterations=4002026.03 | 0.0385 | 0.287 | 0.0396 | 0.2906 | 0.0235 | 25.36 | 0.2437 | 0.0266 | |
| TRA2026.03 | 0.0341 | 0.3184 | 0.0295 | 0.2717 | 0.032 | 31.62 | 0.2877 | 0.0072 | |
| LGBM2026.03 | 0.0057 | 0.0531 | 0.0108 | 0.0913 | -0.0514 | 48.22 | -0.3317 | -0.3051 | |
| LSTM2026.03 | 0.0054 | 0.0306 | 0.0138 | 0.0726 | -0.0104 | 36.05 | -0.008 | -0.1156 | |
| Transformer2026.03 | 0.0012 | 0.0076 | -0.0024 | -0.013 | -0.0221 | 53.04 | -0.0542 | -0.1598 |