101 Formulaic Alphas
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We present explicit formulas - that are also computer code - for 101 real-life quantitative trading alphas. Their average holding period approximately ranges 0.6-6.4 days. The average pair-wise correlation of these alphas is low, 15.9%. The returns are strongly correlated with volatility, but have no significant dependence on turnover, directly confirming an earlier result based on a more indirect empirical analysis. We further find empirically that turnover has poor explanatory power for alpha correlations.
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AlphaSAGE: Structure-Aware Alpha Mining via GFlowNets for Robust Exploration
AlphaSAGE is a GFlowNet framework with an RGCN structure-aware encoder and dense multi-faceted rewards that mines diverse, novel, and predictive formulaic alphas for quantitative trading.
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