arXiv:2606.29194cs.AI2026-06被引 1

让交易AI自我进化,突破传统选股模型的过拟合困局。

AI Trading's Alpha Singularity: Emergent Market Reasoning through Agent-to-Agent Self-Evolution

  • 设计联合搜索框架SJS,防止算法与评分器相互固化
  • 100轮自进化后在2026年数据上实现+1.87夏普比率
  • 适合追求智能交易系统长期优化的研究者与量化团队

自动化阿尔法挖掘通常固定评分函数而变换搜索算法,导致对评分器无法惩罚的部分过拟合,是样本外泛化差距的主要原因。本文将评分函数视为与阿尔法因子并列的搜索产物,研究联合搜索可接受的条件。提出密封联合搜索(SJS)框架:一套关于自主发现系统中信息流的结构条件,防止联合搜索退化为自证循环,同时保持评估者封闭。包括角色分解、类型化跨角色通信、溯源封存读取、版本化存储和底层本地晋升等机制。Agora系统实证测试SJS:五个LLM代理通过三种通道沟通,演化八套技能库,基于AlphaGen算子构建阿尔法库。三个评估者撰写报告并汇总成一份摘要,保留分歧而非投票。在CSI 1000上运行100轮,使用2026年91天未见数据进行封存评估。Agora达成持有期夏普比+1.87;最佳基线在有利种子下为+1.334,跨种子平均为-0.755。预加载两个指标的冻结库消融仅恢复+0.40的+2.25夏普差值,且不带库演化的PPO反而扩大差距。两项核心指标为涌现而非设计。局限:单种子运行,空头信号集中,适用于多空策略。

原文摘要 · Abstract (English)

Automated alpha mining holds the scoring function fixed and varies the search algorithm over it. A search that converges against a fixed scorer overfits whatever the scorer cannot penalize, a primary cause of the out-of-sample generalization gap. We treat the scoring function as a search artifact alongside the alpha factors and study what conditions make this joint search admissible. Sealed Joint Search (SJS) is a framework: a set of structural conditions on information flow in an autonomous-discovery system that prevent joint search from collapsing into self-confirmation while keeping the evaluator sealed. Conditions cover role decomposition, typed inter-role communication, provenance-sealed reads, versioned stores, and substrate-local promotion. Agora tests SJS empirically: five LLM agent classes communicate via three channels, evolving eight skill libraries, with alpha libraries built on AlphaGen operators. Three evaluators write reports aggregated into one brief, carrying forward disagreement instead of voting. We run Agora for 100 rounds on CSI 1000 and evaluate on a 91-day 2026 holdout sealed from all LLM inputs. Agora achieves holdout Sharpe +1.87; best baseline +1.334 at favorable seed and -0.755 cross-seed mean. Pre-loading Agora's two metrics into a frozen-library ablation recovers only +0.40 of the +2.25 Sharpe gap, and adding PPO without library evolution worsens the gap. The two metrics emerge rather than being designed. Caveats: single-seed run, short-side concentrated signal, intended for long-short.

AI交易自进化强化学习量化投资

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