QuantaAlpha: An Evolutionary Framework for LLM-Driven Alpha Mining

TL;DR

QuantaAlpha is an evolutionary framework for alpha mining in financial markets that enhances exploration, reuse of effective patterns, and robustness across market regimes, leading to improved investment strategies.

Contribution

It introduces a trajectory-based evolutionary approach with targeted revisions and semantic constraints, advancing alpha mining methods for non-stationary markets.

Findings

Achieves higher IC, ARR, and lower MDD compared to baselines.

Demonstrates effective transferability of mined factors across markets.

Shows robustness under market regime shifts with significant excess returns.

Abstract

Financial markets are noisy and non-stationary, making alpha mining highly sensitive to backtest noise and regime shifts. While recent agentic frameworks improve automation, they often lack controllable multi-round search and reliable reuse of validated experience. To address these challenges, we propose QuantaAlpha, an evolutionary alpha mining framework that treats each end-to-end mining run as a trajectory and improves factors via trajectory-level mutation and crossover. QuantaAlpha localizes suboptimal steps for targeted revision and recombines complementary high-reward segments to reuse effective patterns, enabling structured exploration and refinement across iterations. During factor generation, it enforces semantic consistency across hypothesis, factor expression, and executable code, and constrains the complexity and redundancy of the generated factor to mitigate crowding. Extensive experiments on CSI 300 show consistent gains over strong baselines and prior agentic systems. Using GPT-5.2, QuantaAlpha achieves an IC of 0.0472 with ARR of 4.68% and MDD of 11.8%. Moreover, factors mined on CSI 300 transfer effectively to CSI 500 and the S&P 500, delivering about 40.28% and 19.1% cumulative excess return over four years, respectively, which indicates strong robustness under market distribution shifts.