{ "schemaVersion": "1.0.0", "title": "Pengyi 166", "subtitle": "2024 Alpha Research Archive", "researchPeriod": "2024 IQC / MAPC", "generatedAt": "2026-08-25T18:11:52.018Z", "provenance": { "owner": "PWOL", "source": "PWOL Pengyi 166 public-safe research edition", "recordCount": 166, "disclosure": "Historical WorldQuant BRAIN observations. Exact expressions, original platform IDs and proprietary field identifiers are withheld." }, "summary": { "total": 166, "reviewQueueAB": 77, "classificationCounts": { "B": 69, "D": 46, "E": 34, "A": 8, "F": 6, "C": 3 }, "familyCounts": { "Sentiment": 48, "Unknown": 37, "Price / Volume": 33, "News / Event": 17, "Fundamental": 14, "Options / Volatility": 12, "Alternative Data": 3, "Analyst / Valuation": 2 }, "strategyCounts": { "Behavioral Sentiment": 48, "Economic interpretation uncertain": 37, "Market Behaviour": 29, "Information Diffusion": 17, "Quality / Value": 14, "Volatility Relative Value": 12, "Momentum or Reversal": 4, "Alternative Information": 3, "Analyst Information / Value": 2 }, "regionCounts": { "USA": 98, "GLB": 39, "CHN": 29 }, "operatorCounts": { "rank": 93, "group_neutralize": 75, "trade_when": 68, "ts_std_dev": 50, "zscore": 48, "ts_rank": 46, "ts_mean": 42, "group_rank": 40, "ts_backfill": 34, "ts_zscore": 28, "group_zscore": 27, "bucket": 24, "ts_delta": 19, "vector_neut": 19, "log": 15, "quantile": 15, "scale": 15, "ts_arg_max": 14, "group_normalize": 13, "if_else": 12, "vec_avg": 11, "densify": 10, "group_vector_neut": 10, "regression_neut": 10, "abs": 9, "hump": 8, "power": 8, "ts_corr": 8, "ts_regression": 7, "one_side": 4, "tanh": 4, "ts_arg_min": 4, "ts_decay_linear": 4, "generalized_rank": 3, "step": 3, "ts_co_kurtosis": 2, "ts_sum": 2, "winsorize": 2, "and": 1, "clamp": 1, "group_scale": 1, "ts_av_diff": 1, "ts_delay": 1, "ts_quantile": 1, "ts_returns": 1 } }, "top10": [ { "id": "Alpha127", "score": 8.691, "classification": "B — Strong Research Candidate", "grade": "B", "dataFamily": "Sentiment", "dataCategories": "Classification / Control, Sentiment", "strategy": "Behavioral Sentiment", "economicConfidence": "Plausible", "region": "USA", "universe": "TOP3000", "metrics": { "sharpe": 1.99, "fitness": 2.67, "returns": 22.46, "turnover": 6, "drawdown": 7.05, "margin": 74.88 }, "operators": [ "group_neutralize" ], "review": { "economicLogic": 9, "robustness": 6.95, "osStability": 9.25, "simplicity": 10, "overfittingRisk": "Low", "regimeDependency": "Low" }, "rank": 1 }, { "id": "Alpha078", "score": 8.491, "classification": "A — Core Alpha", "grade": "A", "dataFamily": "Price / Volume", "dataCategories": "Classification / Control, Model-derived, Price / Volume", "strategy": "Market Behaviour", "economicConfidence": "Weak / speculative", "region": "CHN", "universe": "TOP3000", "metrics": { "sharpe": 3.53, "fitness": 3.95, "returns": 15.69, "turnover": 10.37, "drawdown": 3.8, "margin": 30.26 }, "operators": [ "group_rank", "group_vector_neut", "if_else", "log", "rank", "trade_when", "ts_mean", "vector_neut" ], "review": { "economicLogic": 9, "robustness": 7.45, "osStability": 9.15, "simplicity": 6.43, "overfittingRisk": "Low", "regimeDependency": "High" }, "rank": 2 }, { "id": "Alpha063", "score": 8.41, "classification": "A — Core Alpha", "grade": "A", "dataFamily": "News / Event", "dataCategories": "News, Price / Volume", "strategy": "Information Diffusion", "economicConfidence": "Plausible", "region": "USA", "universe": "TOP3000", "metrics": { "sharpe": 1.68, "fitness": 1.36, "returns": 8.17, "turnover": 2.3, "drawdown": 2.77, "margin": 70.89 }, "operators": [ "rank", "ts_co_kurtosis", "ts_decay_linear", "ts_delta", "ts_sum" ], "review": { "economicLogic": 9, "robustness": 7.2, "osStability": 8.54, "simplicity": 9.44, "overfittingRisk": "Low", "regimeDependency": "Low" }, "rank": 3 }, { "id": "Alpha126", "score": 8.371, "classification": "B — Strong Research Candidate", "grade": "B", "dataFamily": "Sentiment", "dataCategories": "Classification / Control, Sentiment", "strategy": "Behavioral Sentiment", "economicConfidence": "Plausible", "region": "USA", "universe": "TOP3000", "metrics": { "sharpe": 1.49, "fitness": 1.75, "returns": 17.32, "turnover": 6.28, "drawdown": 6.94, "margin": 55.17 }, "operators": [ "group_neutralize" ], "review": { "economicLogic": 9, "robustness": 6.95, "osStability": 8.7, "simplicity": 10, "overfittingRisk": "Low", "regimeDependency": "Low" }, "rank": 4 }, { "id": "Alpha069", "score": 8.281, "classification": "B — Strong Research Candidate", "grade": "B", "dataFamily": "Price / Volume", "dataCategories": "Price / Volume", "strategy": "Momentum or Reversal", "economicConfidence": "Weak / speculative", "region": "CHN", "universe": "TOP3000", "metrics": { "sharpe": 2.39, "fitness": 1.96, "returns": 12.87, "turnover": 19.15, "drawdown": 3.13, "margin": 13.44 }, "operators": [ "rank", "trade_when", "ts_arg_max", "ts_delta" ], "review": { "economicLogic": 9, "robustness": 6.95, "osStability": 9.18, "simplicity": 10, "overfittingRisk": "Low", "regimeDependency": "High" }, "rank": 5 }, { "id": "Alpha065", "score": 8.251, "classification": "A — Core Alpha", "grade": "A", "dataFamily": "News / Event", "dataCategories": "News, Price / Volume", "strategy": "Information Diffusion", "economicConfidence": "Plausible", "region": "USA", "universe": "TOP3000", "metrics": { "sharpe": 2.14, "fitness": 1.7, "returns": 7.86, "turnover": 7.74, "drawdown": 1.95, "margin": 20.33 }, "operators": [ "if_else", "log", "rank", "ts_co_kurtosis", "ts_decay_linear", "ts_delta", "ts_mean" ], "review": { "economicLogic": 9, "robustness": 7.2, "osStability": 9.04, "simplicity": 7.56, "overfittingRisk": "Low", "regimeDependency": "High" }, "rank": 6 }, { "id": "Alpha094", "score": 8.211, "classification": "A — Core Alpha", "grade": "A", "dataFamily": "Options / Volatility", "dataCategories": "Options / Volatility, Price / Volume, Unknown / Proprietary", "strategy": "Volatility Relative Value", "economicConfidence": "Plausible", "region": "USA", "universe": "TOP3000", "metrics": { "sharpe": 2.46, "fitness": 2.67, "returns": 25.32, "turnover": 21.45, "drawdown": 4.97, "margin": 23.6 }, "operators": [ "bucket", "group_neutralize", "rank", "trade_when" ], "review": { "economicLogic": 8, "robustness": 7.08, "osStability": 9.49, "simplicity": 8.87, "overfittingRisk": "Low", "regimeDependency": "High" }, "rank": 7 }, { "id": "Alpha097", "score": 8.191, "classification": "A — Core Alpha", "grade": "A", "dataFamily": "Options / Volatility", "dataCategories": "Options / Volatility, Price / Volume, Unknown / Proprietary", "strategy": "Volatility Relative Value", "economicConfidence": "Plausible", "region": "USA", "universe": "TOP3000", "metrics": { "sharpe": 2.28, "fitness": 2.93, "returns": 27.14, "turnover": 16.43, "drawdown": 7.62, "margin": 33.04 }, "operators": [ "bucket", "group_neutralize", "rank", "trade_when" ], "review": { "economicLogic": 8, "robustness": 7.08, "osStability": 9.22, "simplicity": 8.84, "overfittingRisk": "Low", "regimeDependency": "High" }, "rank": 8 }, { "id": "Alpha080", "score": 8.141, "classification": "A — Core Alpha", "grade": "A", "dataFamily": "Price / Volume", "dataCategories": "Classification / Control, Model-derived, Price / Volume", "strategy": "Market Behaviour", "economicConfidence": "Weak / speculative", "region": "CHN", "universe": "TOP3000", "metrics": { "sharpe": 2.23, "fitness": 1.91, "returns": 10.05, "turnover": 13.74, "drawdown": 4.59, "margin": 14.64 }, "operators": [ "group_rank", "group_vector_neut", "log", "rank", "trade_when", "ts_mean", "vector_neut" ], "review": { "economicLogic": 9, "robustness": 7.45, "osStability": 8.83, "simplicity": 7.75, "overfittingRisk": "Low", "regimeDependency": "High" }, "rank": 9 }, { "id": "Alpha096", "score": 8.141, "classification": "A — Core Alpha", "grade": "A", "dataFamily": "Options / Volatility", "dataCategories": "Options / Volatility, Price / Volume, Unknown / Proprietary", "strategy": "Volatility Relative Value", "economicConfidence": "Plausible", "region": "USA", "universe": "TOP3000", "metrics": { "sharpe": 2.16, "fitness": 2.63, "returns": 25.76, "turnover": 17.37, "drawdown": 7.27, "margin": 29.66 }, "operators": [ "bucket", "group_neutralize", "rank", "trade_when" ], "review": { "economicLogic": 8, "robustness": 7.08, "osStability": 9.22, "simplicity": 8.87, "overfittingRisk": "Low", "regimeDependency": "High" }, "rank": 10 } ], "records": [ { "id": "Alpha127", "score": 8.691, "classification": "B — Strong Research Candidate", "grade": "B", "dataFamily": "Sentiment", "dataCategories": "Classification / Control, Sentiment", "strategy": "Behavioral Sentiment", "economicConfidence": "Plausible", "region": "USA", "universe": "TOP3000", "metrics": { "sharpe": 1.99, "fitness": 2.67, "returns": 22.46, "turnover": 6, "drawdown": 7.05, "margin": 74.88 }, "operators": [ "group_neutralize" ], "review": { "economicLogic": 9, "robustness": 6.95, "osStability": 9.25, "simplicity": 10, "overfittingRisk": "Low", "regimeDependency": "Low" } }, { "id": "Alpha078", "score": 8.491, "classification": "A — Core Alpha", "grade": "A", "dataFamily": "Price / Volume", "dataCategories": "Classification / Control, Model-derived, Price / Volume", "strategy": "Market Behaviour", "economicConfidence": "Weak / speculative", "region": "CHN", "universe": "TOP3000", "metrics": { "sharpe": 3.53, "fitness": 3.95, "returns": 15.69, "turnover": 10.37, "drawdown": 3.8, "margin": 30.26 }, "operators": [ "group_rank", "group_vector_neut", "if_else", "log", "rank", "trade_when", "ts_mean", "vector_neut" ], "review": { "economicLogic": 9, "robustness": 7.45, "osStability": 9.15, "simplicity": 6.43, "overfittingRisk": "Low", "regimeDependency": "High" } }, { "id": "Alpha063", "score": 8.41, "classification": "A — Core Alpha", "grade": "A", "dataFamily": "News / Event", "dataCategories": "News, Price / Volume", "strategy": "Information Diffusion", "economicConfidence": "Plausible", "region": "USA", "universe": "TOP3000", "metrics": { "sharpe": 1.68, "fitness": 1.36, "returns": 8.17, "turnover": 2.3, "drawdown": 2.77, "margin": 70.89 }, "operators": [ "rank", "ts_co_kurtosis", "ts_decay_linear", "ts_delta", "ts_sum" ], "review": { "economicLogic": 9, "robustness": 7.2, "osStability": 8.54, "simplicity": 9.44, "overfittingRisk": "Low", "regimeDependency": "Low" } }, { "id": "Alpha126", "score": 8.371, "classification": "B — Strong Research Candidate", "grade": "B", "dataFamily": "Sentiment", "dataCategories": "Classification / Control, Sentiment", "strategy": "Behavioral Sentiment", "economicConfidence": "Plausible", "region": "USA", "universe": "TOP3000", "metrics": { "sharpe": 1.49, "fitness": 1.75, "returns": 17.32, "turnover": 6.28, "drawdown": 6.94, "margin": 55.17 }, "operators": [ "group_neutralize" ], "review": { "economicLogic": 9, "robustness": 6.95, "osStability": 8.7, "simplicity": 10, "overfittingRisk": "Low", "regimeDependency": "Low" } }, { "id": "Alpha069", "score": 8.281, "classification": "B — Strong Research Candidate", "grade": "B", "dataFamily": "Price / Volume", "dataCategories": "Price / Volume", "strategy": "Momentum or Reversal", "economicConfidence": "Weak / speculative", "region": "CHN", "universe": "TOP3000", "metrics": { "sharpe": 2.39, "fitness": 1.96, "returns": 12.87, "turnover": 19.15, "drawdown": 3.13, "margin": 13.44 }, "operators": [ "rank", "trade_when", "ts_arg_max", "ts_delta" ], "review": { "economicLogic": 9, "robustness": 6.95, "osStability": 9.18, "simplicity": 10, "overfittingRisk": "Low", "regimeDependency": "High" } }, { "id": "Alpha065", "score": 8.251, "classification": "A — Core Alpha", "grade": "A", "dataFamily": "News / Event", "dataCategories": "News, Price / Volume", "strategy": "Information Diffusion", "economicConfidence": "Plausible", "region": "USA", "universe": "TOP3000", "metrics": { "sharpe": 2.14, "fitness": 1.7, "returns": 7.86, "turnover": 7.74, "drawdown": 1.95, "margin": 20.33 }, "operators": [ "if_else", "log", "rank", "ts_co_kurtosis", "ts_decay_linear", "ts_delta", "ts_mean" ], "review": { "economicLogic": 9, "robustness": 7.2, "osStability": 9.04, "simplicity": 7.56, "overfittingRisk": "Low", "regimeDependency": "High" } }, { "id": "Alpha094", "score": 8.211, "classification": "A — Core Alpha", "grade": "A", "dataFamily": "Options / Volatility", "dataCategories": "Options / Volatility, Price / Volume, Unknown / Proprietary", "strategy": "Volatility Relative Value", "economicConfidence": "Plausible", "region": "USA", "universe": "TOP3000", "metrics": { "sharpe": 2.46, "fitness": 2.67, "returns": 25.32, "turnover": 21.45, "drawdown": 4.97, "margin": 23.6 }, "operators": [ "bucket", "group_neutralize", "rank", "trade_when" ], "review": { "economicLogic": 8, "robustness": 7.08, "osStability": 9.49, "simplicity": 8.87, "overfittingRisk": "Low", "regimeDependency": "High" } }, { "id": "Alpha097", "score": 8.191, "classification": "A — Core Alpha", "grade": "A", "dataFamily": "Options / Volatility", "dataCategories": "Options / Volatility, Price / Volume, Unknown / Proprietary", "strategy": "Volatility Relative Value", "economicConfidence": "Plausible", "region": "USA", "universe": "TOP3000", "metrics": { "sharpe": 2.28, "fitness": 2.93, "returns": 27.14, "turnover": 16.43, "drawdown": 7.62, "margin": 33.04 }, "operators": [ "bucket", "group_neutralize", "rank", "trade_when" ], "review": { "economicLogic": 8, "robustness": 7.08, "osStability": 9.22, "simplicity": 8.84, "overfittingRisk": "Low", "regimeDependency": "High" } }, { "id": "Alpha080", "score": 8.141, "classification": "A — Core Alpha", "grade": "A", "dataFamily": "Price / Volume", "dataCategories": "Classification / Control, Model-derived, Price / Volume", "strategy": "Market Behaviour", "economicConfidence": "Weak / speculative", "region": "CHN", "universe": "TOP3000", "metrics": { "sharpe": 2.23, "fitness": 1.91, "returns": 10.05, "turnover": 13.74, "drawdown": 4.59, "margin": 14.64 }, "operators": [ "group_rank", "group_vector_neut", "log", "rank", "trade_when", "ts_mean", "vector_neut" ], "review": { "economicLogic": 9, "robustness": 7.45, "osStability": 8.83, "simplicity": 7.75, "overfittingRisk": "Low", "regimeDependency": "High" } }, { "id": "Alpha096", "score": 8.141, "classification": "A — Core Alpha", "grade": "A", "dataFamily": "Options / Volatility", "dataCategories": "Options / Volatility, Price / Volume, Unknown / Proprietary", "strategy": "Volatility Relative Value", "economicConfidence": "Plausible", "region": "USA", "universe": "TOP3000", "metrics": { "sharpe": 2.16, "fitness": 2.63, "returns": 25.76, "turnover": 17.37, "drawdown": 7.27, "margin": 29.66 }, "operators": [ "bucket", "group_neutralize", "rank", "trade_when" ], "review": { "economicLogic": 8, "robustness": 7.08, "osStability": 9.22, "simplicity": 8.87, "overfittingRisk": "Low", "regimeDependency": "High" } }, { "id": "Alpha023", "score": 8.071, "classification": "B — Strong Research Candidate", "grade": "B", "dataFamily": "Unknown", "dataCategories": "Classification / Control, Model-derived", "strategy": "Economic interpretation uncertain", "economicConfidence": "Weak / speculative", "region": "GLB", "universe": "MINVOL1M", "metrics": { "sharpe": 2.19, "fitness": 1.49, "returns": 5.79, "turnover": 9.29, "drawdown": 1.77, "margin": 12.47 }, "operators": [ "group_rank", "group_zscore", "rank", "ts_rank", "ts_zscore", "zscore" ], "review": { "economicLogic": 9, "robustness": 6.95, "osStability": 8.89, "simplicity": 8.91, "overfittingRisk": "Low", "regimeDependency": "Low" } }, { "id": "Alpha093", "score": 8.071, "classification": "A — Core Alpha", "grade": "A", "dataFamily": "Options / Volatility", "dataCategories": "Options / Volatility, Price / Volume, Unknown / Proprietary", "strategy": "Volatility Relative Value", "economicConfidence": "Plausible", "region": "USA", "universe": "TOP3000", "metrics": { "sharpe": 2.36, "fitness": 2.26, "returns": 23.82, "turnover": 26.04, "drawdown": 6, "margin": 18.29 }, "operators": [ "bucket", "group_neutralize", "rank", "trade_when" ], "review": { "economicLogic": 8, "robustness": 7.08, "osStability": 9.4, "simplicity": 8.84, "overfittingRisk": "Low", "regimeDependency": "High" } }, { "id": "Alpha067", "score": 7.981, "classification": "B — Strong Research Candidate", "grade": "B", "dataFamily": "Price / Volume", "dataCategories": "Classification / Control, Model-derived, Price / Volume", "strategy": "Market Behaviour", "economicConfidence": "Weak / speculative", "region": "CHN", "universe": "TOP3000", "metrics": { "sharpe": 2.21, "fitness": 1.95, "returns": 12.21, "turnover": 15.64, "drawdown": 4.5, "margin": 15.62 }, "operators": [ "group_neutralize", "if_else", "rank" ], "review": { "economicLogic": 9, "robustness": 6.08, "osStability": 9.16, "simplicity": 7.95, "overfittingRisk": "Medium", "regimeDependency": "High" } }, { "id": "Alpha095", "score": 7.981, "classification": "B — Strong Research Candidate", "grade": "B", "dataFamily": "Options / Volatility", "dataCategories": "Options / Volatility, Price / Volume, Unknown / Proprietary", "strategy": "Volatility Relative Value", "economicConfidence": "Plausible", "region": "USA", "universe": "TOP3000", "metrics": { "sharpe": 1.96, "fitness": 2.06, "returns": 23.03, "turnover": 20.77, "drawdown": 8.29, "margin": 22.17 }, "operators": [ "bucket", "group_neutralize", "rank", "trade_when" ], "review": { "economicLogic": 8, "robustness": 7.08, "osStability": 9.08, "simplicity": 8.87, "overfittingRisk": "Low", "regimeDependency": "High" } }, { "id": "Alpha105", "score": 7.921, "classification": "B — Strong Research Candidate", "grade": "B", "dataFamily": "Sentiment", "dataCategories": "Classification / Control, Sentiment", "strategy": "Behavioral Sentiment", "economicConfidence": "Plausible", "region": "USA", "universe": "TOP3000", "metrics": { "sharpe": 1.07, "fitness": 1.01, "returns": 11.03, "turnover": 3.67, "drawdown": 6.86, "margin": 60.18 }, "operators": [ "group_neutralize" ], "review": { "economicLogic": 9, "robustness": 6.95, "osStability": 7.94, "simplicity": 10, "overfittingRisk": "Low", "regimeDependency": "Low" } }, { "id": "Alpha111", "score": 7.851, "classification": "B — Strong Research Candidate", "grade": "B", "dataFamily": "Fundamental", "dataCategories": "Fundamental, Price / Volume, Unknown / Proprietary", "strategy": "Quality / Value", "economicConfidence": "Plausible", "region": "USA", "universe": "TOP3000", "metrics": { "sharpe": 1.6, "fitness": 1.6, "returns": 12.45, "turnover": 2.75, "drawdown": 5.15, "margin": 90.6 }, "operators": [ "power", "rank", "ts_backfill", "zscore" ], "review": { "economicLogic": 6.14, "robustness": 6.89, "osStability": 8.73, "simplicity": 9.64, "overfittingRisk": "Low", "regimeDependency": "Low" } }, { "id": "Alpha079", "score": 7.81, "classification": "B — Strong Research Candidate", "grade": "B", "dataFamily": "Price / Volume", "dataCategories": "Classification / Control, Model-derived, Price / Volume", "strategy": "Market Behaviour", "economicConfidence": "Weak / speculative", "region": "CHN", "universe": "TOP3000", "metrics": { "sharpe": 1.91, "fitness": 1.48, "returns": 9.28, "turnover": 15.52, "drawdown": 5.04, "margin": 11.96 }, "operators": [ "group_rank", "group_vector_neut", "if_else", "log", "rank", "trade_when", "ts_mean", "vector_neut" ], "review": { "economicLogic": 9, "robustness": 7.45, "osStability": 8.5, "simplicity": 6.41, "overfittingRisk": "Low", "regimeDependency": "High" } }, { "id": "Alpha087", "score": 7.721, "classification": "B — Strong Research Candidate", "grade": "B", "dataFamily": "Options / Volatility", "dataCategories": "Fundamental, Options / Volatility, Price / Volume, Unknown / Proprietary", "strategy": "Volatility Relative Value", "economicConfidence": "Plausible", "region": "USA", "universe": "TOP3000", "metrics": { "sharpe": 1.89, "fitness": 2.06, "returns": 22.19, "turnover": 18.68, "drawdown": 7.8, "margin": 23.76 }, "operators": [ "bucket", "group_neutralize", "rank", "trade_when", "ts_backfill", "zscore" ], "review": { "economicLogic": 7.18, "robustness": 7.26, "osStability": 8.84, "simplicity": 6.9, "overfittingRisk": "Low", "regimeDependency": "High" } }, { "id": "Alpha125", "score": 7.71, "classification": "B — Strong Research Candidate", "grade": "B", "dataFamily": "Sentiment", "dataCategories": "Classification / Control, Sentiment", "strategy": "Behavioral Sentiment", "economicConfidence": "Plausible", "region": "USA", "universe": "TOP3000", "metrics": { "sharpe": 1.12, "fitness": 1.19, "returns": 14.23, "turnover": 6.89, "drawdown": 11.66, "margin": 41.3 }, "operators": [ "group_neutralize" ], "review": { "economicLogic": 9, "robustness": 6.95, "osStability": 7.36, "simplicity": 10, "overfittingRisk": "Low", "regimeDependency": "Low" } }, { "id": "Alpha108", "score": 7.661, "classification": "B — Strong Research Candidate", "grade": "B", "dataFamily": "Sentiment", "dataCategories": "Classification / Control, Sentiment", "strategy": "Behavioral Sentiment", "economicConfidence": "Plausible", "region": "USA", "universe": "TOP3000", "metrics": { "sharpe": 0.88, "fitness": 0.79, "returns": 10.04, "turnover": 3.89, "drawdown": 8.4, "margin": 51.66 }, "operators": [ "group_neutralize" ], "review": { "economicLogic": 9, "robustness": 6.95, "osStability": 7.52, "simplicity": 10, "overfittingRisk": "Low", "regimeDependency": "Low" } }, { "id": "Alpha039", "score": 7.621, "classification": "B — Strong Research Candidate", "grade": "B", "dataFamily": "Price / Volume", "dataCategories": "Price / Volume", "strategy": "Market Behaviour", "economicConfidence": "Weak / speculative", "region": "GLB", "universe": "MINVOL1M", "metrics": { "sharpe": 1.94, "fitness": 1, "returns": 3.89, "turnover": 14.59, "drawdown": 2.16, "margin": 5.33 }, "operators": [ "abs", "rank", "trade_when", "ts_corr", "ts_rank", "ts_std_dev", "zscore" ], "review": { "economicLogic": 9, "robustness": 7.08, "osStability": 8.44, "simplicity": 8.59, "overfittingRisk": "Low", "regimeDependency": "High" } }, { "id": "Alpha098", "score": 7.621, "classification": "B — Strong Research Candidate", "grade": "B", "dataFamily": "Sentiment", "dataCategories": "Alternative / Proprietary, Price / Volume, Sentiment", "strategy": "Behavioral Sentiment", "economicConfidence": "Plausible", "region": "USA", "universe": "TOP1000", "metrics": { "sharpe": 1.39, "fitness": 1.13, "returns": 8.3, "turnover": 10.37, "drawdown": 5.72, "margin": 16.01 }, "operators": [ "densify", "group_normalize", "rank", "regression_neut", "trade_when", "ts_std_dev" ], "review": { "economicLogic": 9, "robustness": 7.08, "osStability": 7.93, "simplicity": 8.8, "overfittingRisk": "Low", "regimeDependency": "High" } }, { "id": "Alpha081", "score": 7.61, "classification": "B — Strong Research Candidate", "grade": "B", "dataFamily": "Price / Volume", "dataCategories": "Classification / Control, Model-derived, Price / Volume", "strategy": "Market Behaviour", "economicConfidence": "Weak / speculative", "region": "CHN", "universe": "TOP3000", "metrics": { "sharpe": 1.53, "fitness": 1.15, "returns": 7.02, "turnover": 11.58, "drawdown": 5.01, "margin": 12.13 }, "operators": [ "group_rank", "group_vector_neut", "log", "rank", "trade_when", "ts_mean", "vector_neut" ], "review": { "economicLogic": 9, "robustness": 7.45, "osStability": 7.94, "simplicity": 7.74, "overfittingRisk": "Low", "regimeDependency": "High" } }, { "id": "Alpha124", "score": 7.591, "classification": "B — Strong Research Candidate", "grade": "B", "dataFamily": "Sentiment", "dataCategories": "Classification / Control, Sentiment", "strategy": "Behavioral Sentiment", "economicConfidence": "Plausible", "region": "USA", "universe": "TOP3000", "metrics": { "sharpe": 1.08, "fitness": 1.14, "returns": 13.93, "turnover": 7.4, "drawdown": 12.71, "margin": 37.64 }, "operators": [ "group_neutralize" ], "review": { "economicLogic": 9, "robustness": 6.95, "osStability": 7.29, "simplicity": 10, "overfittingRisk": "Low", "regimeDependency": "Low" } }, { "id": "Alpha011", "score": 7.581, "classification": "B — Strong Research Candidate", "grade": "B", "dataFamily": "Unknown", "dataCategories": "Classification / Control, Model-derived", "strategy": "Economic interpretation uncertain", "economicConfidence": "Weak / speculative", "region": "GLB", "universe": "MINVOL1M", "metrics": { "sharpe": 2.2, "fitness": 1.39, "returns": 7.1, "turnover": 17.68, "drawdown": 2.52, "margin": 8.03 }, "operators": [ "group_zscore", "hump", "rank", "scale", "trade_when", "ts_rank", "ts_std_dev", "ts_zscore", "zscore" ], "review": { "economicLogic": 9, "robustness": 5.95, "osStability": 8.82, "simplicity": 7.04, "overfittingRisk": "Medium", "regimeDependency": "High" } }, { "id": "Alpha068", "score": 7.521, "classification": "B — Strong Research Candidate", "grade": "B", "dataFamily": "Price / Volume", "dataCategories": "Price / Volume", "strategy": "Market Behaviour", "economicConfidence": "Weak / speculative", "region": "CHN", "universe": "TOP2000", "metrics": { "sharpe": 1.6, "fitness": 1.32, "returns": 21.56, "turnover": 31.87, "drawdown": 10.5, "margin": 13.53 }, "operators": [ "quantile", "rank", "trade_when", "ts_corr", "ts_decay_linear", "ts_mean", "ts_std_dev" ], "review": { "economicLogic": 9, "robustness": 7.08, "osStability": 8.18, "simplicity": 7.69, "overfittingRisk": "Low", "regimeDependency": "High" } }, { "id": "Alpha091", "score": 7.521, "classification": "B — Strong Research Candidate", "grade": "B", "dataFamily": "Options / Volatility", "dataCategories": "Fundamental, Options / Volatility, Price / Volume, Unknown / Proprietary", "strategy": "Volatility Relative Value", "economicConfidence": "Plausible", "region": "USA", "universe": "TOP3000", "metrics": { "sharpe": 1.91, "fitness": 1.95, "returns": 13.17, "turnover": 12.58, "drawdown": 4.82, "margin": 20.94 }, "operators": [ "bucket", "group_neutralize", "rank", "trade_when", "ts_backfill", "zscore" ], "review": { "economicLogic": 6.92, "robustness": 7.2, "osStability": 7.84, "simplicity": 6.87, "overfittingRisk": "Low", "regimeDependency": "High" } }, { "id": "Alpha013", "score": 7.441, "classification": "C — Statistical Factor Candidate", "grade": "C", "dataFamily": "Unknown", "dataCategories": "Classification / Control, Model-derived, Unknown / Proprietary", "strategy": "Economic interpretation uncertain", "economicConfidence": "Weak / speculative", "region": "GLB", "universe": "MINVOL1M", "metrics": { "sharpe": 2.93, "fitness": 2.45, "returns": 8.73, "turnover": 2.77, "drawdown": 2.77, "margin": 63.11 }, "operators": [ "group_neutralize", "hump", "scale", "ts_backfill", "vec_avg", "vector_neut", "zscore" ], "review": { "economicLogic": 4.56, "robustness": 5.63, "osStability": 9.11, "simplicity": 7.52, "overfittingRisk": "High", "regimeDependency": "Low" } }, { "id": "Alpha118", "score": 7.441, "classification": "B — Strong Research Candidate", "grade": "B", "dataFamily": "Sentiment", "dataCategories": "Alternative / Proprietary, Price / Volume, Sentiment", "strategy": "Behavioral Sentiment", "economicConfidence": "Plausible", "region": "USA", "universe": "TOP3000", "metrics": { "sharpe": 0.74, "fitness": 0.49, "returns": 5.55, "turnover": 1.6, "drawdown": 5.22, "margin": 69.43 }, "operators": [ "densify", "group_normalize", "rank", "regression_neut", "ts_std_dev" ], "review": { "economicLogic": 9, "robustness": 7.08, "osStability": 6.97, "simplicity": 9.36, "overfittingRisk": "Low", "regimeDependency": "Low" } }, { "id": "Alpha055", "score": 7.431, "classification": "B — Strong Research Candidate", "grade": "B", "dataFamily": "Sentiment", "dataCategories": "Classification / Control, Sentiment", "strategy": "Behavioral Sentiment", "economicConfidence": "Plausible", "region": "USA", "universe": "TOP3000", "metrics": { "sharpe": 0.8, "fitness": 1.01, "returns": 19.74, "turnover": 4.83, "drawdown": 20.16, "margin": 81.66 }, "operators": [ "group_neutralize" ], "review": { "economicLogic": 9, "robustness": 6.95, "osStability": 6.76, "simplicity": 10, "overfittingRisk": "Low", "regimeDependency": "Low" } }, { "id": "Alpha115", "score": 7.41, "classification": "B — Strong Research Candidate", "grade": "B", "dataFamily": "Fundamental", "dataCategories": "Fundamental, Price / Volume, Unknown / Proprietary", "strategy": "Quality / Value", "economicConfidence": "Plausible", "region": "USA", "universe": "TOP3000", "metrics": { "sharpe": 1.1, "fitness": 1.08, "returns": 11.99, "turnover": 2.39, "drawdown": 8.21, "margin": 100.35 }, "operators": [ "power", "rank", "ts_backfill", "zscore" ], "review": { "economicLogic": 6.14, "robustness": 6.89, "osStability": 7.99, "simplicity": 9.64, "overfittingRisk": "Low", "regimeDependency": "Low" } }, { "id": "Alpha072", "score": 7.371, "classification": "B — Strong Research Candidate", "grade": "B", "dataFamily": "News / Event", "dataCategories": "News, Options / Volatility, Price / Volume", "strategy": "Information Diffusion", "economicConfidence": "Plausible", "region": "USA", "universe": "TOP3000", "metrics": { "sharpe": 0.81, "fitness": 0.64, "returns": 7.76, "turnover": 2.9, "drawdown": 10.35, "margin": 53.54 }, "operators": [ "log", "rank", "ts_arg_max", "ts_arg_min", "ts_corr", "ts_delta", "ts_mean", "ts_regression" ], "review": { "economicLogic": 9, "robustness": 7.7, "osStability": 6.87, "simplicity": 6.85, "overfittingRisk": "Low", "regimeDependency": "Low" } }, { "id": "Alpha128", "score": 7.331, "classification": "B — Strong Research Candidate", "grade": "B", "dataFamily": "Sentiment", "dataCategories": "Classification / Control, Sentiment", "strategy": "Behavioral Sentiment", "economicConfidence": "Plausible", "region": "USA", "universe": "TOP3000", "metrics": { "sharpe": 0.82, "fitness": 0.65, "returns": 7.83, "turnover": 4.18, "drawdown": 10.03, "margin": 37.44 }, "operators": [ "group_neutralize" ], "review": { "economicLogic": 9, "robustness": 6.95, "osStability": 7.11, "simplicity": 10, "overfittingRisk": "Low", "regimeDependency": "Low" } }, { "id": "Alpha054", "score": 7.321, "classification": "B — Strong Research Candidate", "grade": "B", "dataFamily": "Sentiment", "dataCategories": "Classification / Control, Sentiment", "strategy": "Behavioral Sentiment", "economicConfidence": "Plausible", "region": "USA", "universe": "TOP3000", "metrics": { "sharpe": 0.73, "fitness": 0.89, "returns": 18.39, "turnover": 5.21, "drawdown": 20.68, "margin": 70.54 }, "operators": [ "group_neutralize" ], "review": { "economicLogic": 9, "robustness": 6.95, "osStability": 6.57, "simplicity": 10, "overfittingRisk": "Low", "regimeDependency": "Low" } }, { "id": "Alpha114", "score": 7.321, "classification": "B — Strong Research Candidate", "grade": "B", "dataFamily": "Fundamental", "dataCategories": "Fundamental, Price / Volume, Unknown / Proprietary", "strategy": "Quality / Value", "economicConfidence": "Plausible", "region": "USA", "universe": "TOP3000", "metrics": { "sharpe": 1.06, "fitness": 1.09, "returns": 13.25, "turnover": 2.52, "drawdown": 9.38, "margin": 105.07 }, "operators": [ "power", "rank", "ts_backfill", "zscore" ], "review": { "economicLogic": 6.14, "robustness": 6.89, "osStability": 7.74, "simplicity": 9.64, "overfittingRisk": "Low", "regimeDependency": "Low" } }, { "id": "Alpha074", "score": 7.311, "classification": "B — Strong Research Candidate", "grade": "B", "dataFamily": "News / Event", "dataCategories": "News, Options / Volatility, Price / Volume", "strategy": "Information Diffusion", "economicConfidence": "Plausible", "region": "USA", "universe": "TOP500", "metrics": { "sharpe": 0.73, "fitness": 0.58, "returns": 7.89, "turnover": 2.66, "drawdown": 8.92, "margin": 59.41 }, "operators": [ "log", "rank", "ts_arg_max", "ts_arg_min", "ts_corr", "ts_delta", "ts_mean", "ts_regression" ], "review": { "economicLogic": 9, "robustness": 7.7, "osStability": 6.59, "simplicity": 6.85, "overfittingRisk": "Low", "regimeDependency": "Low" } }, { "id": "Alpha022", "score": 7.261, "classification": "B — Strong Research Candidate", "grade": "B", "dataFamily": "Unknown", "dataCategories": "Classification / Control, Model-derived", "strategy": "Economic interpretation uncertain", "economicConfidence": "Weak / speculative", "region": "GLB", "universe": "MINVOL1M", "metrics": { "sharpe": 1.38, "fitness": 0.63, "returns": 2.57, "turnover": 7.76, "drawdown": 2.12, "margin": 6.62 }, "operators": [ "group_rank", "group_zscore", "rank", "ts_rank", "ts_zscore", "zscore" ], "review": { "economicLogic": 9, "robustness": 6.95, "osStability": 7.47, "simplicity": 8.89, "overfittingRisk": "Low", "regimeDependency": "Low" } }, { "id": "Alpha117", "score": 7.261, "classification": "B — Strong Research Candidate", "grade": "B", "dataFamily": "Sentiment", "dataCategories": "Alternative / Proprietary, Price / Volume, Sentiment", "strategy": "Behavioral Sentiment", "economicConfidence": "Plausible", "region": "USA", "universe": "TOP3000", "metrics": { "sharpe": 0.72, "fitness": 0.46, "returns": 5.01, "turnover": 2.82, "drawdown": 4.88, "margin": 35.51 }, "operators": [ "densify", "group_normalize", "rank", "regression_neut", "ts_std_dev" ], "review": { "economicLogic": 9, "robustness": 7.08, "osStability": 6.93, "simplicity": 9.36, "overfittingRisk": "Low", "regimeDependency": "Low" } }, { "id": "Alpha119", "score": 7.261, "classification": "B — Strong Research Candidate", "grade": "B", "dataFamily": "Sentiment", "dataCategories": "Alternative / Proprietary, Price / Volume, Sentiment", "strategy": "Behavioral Sentiment", "economicConfidence": "Plausible", "region": "USA", "universe": "TOP3000", "metrics": { "sharpe": 0.63, "fitness": 0.41, "returns": 5.22, "turnover": 1.17, "drawdown": 5.79, "margin": 89.14 }, "operators": [ "densify", "group_normalize", "rank", "regression_neut", "ts_std_dev" ], "review": { "economicLogic": 9, "robustness": 7.08, "osStability": 6.59, "simplicity": 9.36, "overfittingRisk": "Low", "regimeDependency": "Low" } }, { "id": "Alpha090", "score": 7.231, "classification": "B — Strong Research Candidate", "grade": "B", "dataFamily": "Options / Volatility", "dataCategories": "Fundamental, Options / Volatility, Price / Volume, Unknown / Proprietary", "strategy": "Volatility Relative Value", "economicConfidence": "Plausible", "region": "USA", "universe": "TOP3000", "metrics": { "sharpe": 1.64, "fitness": 1.76, "returns": 16.27, "turnover": 14.19, "drawdown": 9.78, "margin": 22.93 }, "operators": [ "bucket", "group_neutralize", "rank", "trade_when", "ts_backfill", "zscore" ], "review": { "economicLogic": 6.92, "robustness": 7.2, "osStability": 7.36, "simplicity": 6.87, "overfittingRisk": "Low", "regimeDependency": "High" } }, { "id": "Alpha020", "score": 7.191, "classification": "B — Strong Research Candidate", "grade": "B", "dataFamily": "Unknown", "dataCategories": "Classification / Control, Model-derived", "strategy": "Economic interpretation uncertain", "economicConfidence": "Weak / speculative", "region": "GLB", "universe": "MINVOL1M", "metrics": { "sharpe": 1.24, "fitness": 0.52, "returns": 2.22, "turnover": 9.75, "drawdown": 1.65, "margin": 4.55 }, "operators": [ "group_zscore", "ts_rank", "ts_zscore", "zscore" ], "review": { "economicLogic": 9, "robustness": 6.95, "osStability": 7.62, "simplicity": 9, "overfittingRisk": "Low", "regimeDependency": "Low" } }, { "id": "Alpha073", "score": 7.181, "classification": "B — Strong Research Candidate", "grade": "B", "dataFamily": "News / Event", "dataCategories": "News, Options / Volatility, Price / Volume", "strategy": "Information Diffusion", "economicConfidence": "Plausible", "region": "USA", "universe": "TOP3000", "metrics": { "sharpe": 0.73, "fitness": 0.57, "returns": 7.7, "turnover": 2.46, "drawdown": 12.71, "margin": 62.67 }, "operators": [ "log", "rank", "ts_arg_max", "ts_arg_min", "ts_corr", "ts_delta", "ts_mean", "ts_regression" ], "review": { "economicLogic": 9, "robustness": 7.7, "osStability": 6.43, "simplicity": 6.85, "overfittingRisk": "Low", "regimeDependency": "Low" } }, { "id": "Alpha113", "score": 7.181, "classification": "B — Strong Research Candidate", "grade": "B", "dataFamily": "Fundamental", "dataCategories": "Fundamental, Price / Volume, Unknown / Proprietary", "strategy": "Quality / Value", "economicConfidence": "Plausible", "region": "USA", "universe": "TOP3000", "metrics": { "sharpe": 0.95, "fitness": 0.94, "returns": 12.26, "turnover": 2.46, "drawdown": 9.28, "margin": 99.8 }, "operators": [ "rank", "ts_backfill", "zscore" ], "review": { "economicLogic": 6.14, "robustness": 6.89, "osStability": 7.41, "simplicity": 9.74, "overfittingRisk": "Low", "regimeDependency": "Low" } }, { "id": "Alpha092", "score": 7.141, "classification": "B — Strong Research Candidate", "grade": "B", "dataFamily": "Options / Volatility", "dataCategories": "Fundamental, Options / Volatility, Price / Volume, Unknown / Proprietary", "strategy": "Volatility Relative Value", "economicConfidence": "Plausible", "region": "USA", "universe": "TOP3000", "metrics": { "sharpe": 1.68, "fitness": 1.47, "returns": 9.55, "turnover": 12.29, "drawdown": 4.07, "margin": 15.55 }, "operators": [ "bucket", "group_neutralize", "rank", "trade_when", "ts_backfill", "zscore" ], "review": { "economicLogic": 6.92, "robustness": 7.2, "osStability": 7.08, "simplicity": 6.87, "overfittingRisk": "Low", "regimeDependency": "High" } }, { "id": "Alpha107", "score": 7.131, "classification": "B — Strong Research Candidate", "grade": "B", "dataFamily": "Sentiment", "dataCategories": "Classification / Control, Sentiment", "strategy": "Behavioral Sentiment", "economicConfidence": "Plausible", "region": "USA", "universe": "TOP3000", "metrics": { "sharpe": 0.67, "fitness": 0.5, "returns": 6.99, "turnover": 3.79, "drawdown": 8.37, "margin": 36.83 }, "operators": [ "group_neutralize" ], "review": { "economicLogic": 9, "robustness": 6.95, "osStability": 6.59, "simplicity": 10, "overfittingRisk": "Low", "regimeDependency": "Low" } }, { "id": "Alpha043", "score": 7.041, "classification": "B — Strong Research Candidate", "grade": "B", "dataFamily": "Sentiment", "dataCategories": "Classification / Control, Sentiment", "strategy": "Behavioral Sentiment", "economicConfidence": "Plausible", "region": "USA", "universe": "TOP3000", "metrics": { "sharpe": 1.27, "fitness": null, "returns": 9.3, "turnover": 5.72, "drawdown": null, "margin": null }, "operators": [ "group_neutralize" ], "review": { "economicLogic": 9, "robustness": 6.95, "osStability": 5.78, "simplicity": 10, "overfittingRisk": "Low", "regimeDependency": "Low" } }, { "id": "Alpha112", "score": 7.031, "classification": "B — Strong Research Candidate", "grade": "B", "dataFamily": "Fundamental", "dataCategories": "Fundamental, Price / Volume, Unknown / Proprietary", "strategy": "Quality / Value", "economicConfidence": "Plausible", "region": "USA", "universe": "TOP3000", "metrics": { "sharpe": 0.87, "fitness": 0.88, "returns": 12.78, "turnover": 2.5, "drawdown": 10.64, "margin": 102.38 }, "operators": [ "rank", "ts_backfill", "zscore" ], "review": { "economicLogic": 6.14, "robustness": 6.89, "osStability": 7.01, "simplicity": 9.75, "overfittingRisk": "Low", "regimeDependency": "Low" } }, { "id": "Alpha116", "score": 7.021, "classification": "B — Strong Research Candidate", "grade": "B", "dataFamily": "Sentiment", "dataCategories": "Alternative / Proprietary, Price / Volume, Sentiment", "strategy": "Behavioral Sentiment", "economicConfidence": "Plausible", "region": "USA", "universe": "TOP3000", "metrics": { "sharpe": 0.73, "fitness": 0.45, "returns": 4.77, "turnover": 7.53, "drawdown": 5.53, "margin": 12.66 }, "operators": [ "densify", "group_normalize", "rank", "regression_neut", "ts_std_dev" ], "review": { "economicLogic": 9, "robustness": 7.08, "osStability": 7.06, "simplicity": 9.36, "overfittingRisk": "Low", "regimeDependency": "Low" } }, { "id": "Alpha110", "score": 6.971, "classification": "B — Strong Research Candidate", "grade": "B", "dataFamily": "Fundamental", "dataCategories": "Fundamental, Price / Volume, Unknown / Proprietary", "strategy": "Quality / Value", "economicConfidence": "Plausible", "region": "USA", "universe": "TOP3000", "metrics": { "sharpe": 1.01, "fitness": 1.04, "returns": 13.24, "turnover": 3, "drawdown": 9.32, "margin": 88.29 }, "operators": [ "rank", "ts_backfill", "zscore" ], "review": { "economicLogic": 6.14, "robustness": 6.89, "osStability": 6.21, "simplicity": 9.81, "overfittingRisk": "Low", "regimeDependency": "Low" } }, { "id": "Alpha089", "score": 6.951, "classification": "B — Strong Research Candidate", "grade": "B", "dataFamily": "Options / Volatility", "dataCategories": "Fundamental, Options / Volatility, Price / Volume, Unknown / Proprietary", "strategy": "Volatility Relative Value", "economicConfidence": "Plausible", "region": "USA", "universe": "TOP3000", "metrics": { "sharpe": 1.49, "fitness": 1.51, "returns": 16.27, "turnover": 15.87, "drawdown": 12.4, "margin": 20.5 }, "operators": [ "bucket", "group_neutralize", "rank", "trade_when", "ts_backfill", "zscore" ], "review": { "economicLogic": 6.92, "robustness": 7.2, "osStability": 6.9, "simplicity": 6.87, "overfittingRisk": "Low", "regimeDependency": "High" } }, { "id": "Alpha162", "score": 6.911, "classification": "B — Strong Research Candidate", "grade": "B", "dataFamily": "Sentiment", "dataCategories": "Classification / Control, Price / Volume, Sentiment", "strategy": "Behavioral Sentiment", "economicConfidence": "Plausible", "region": "USA", "universe": "TOP3000", "metrics": { "sharpe": 0.85, "fitness": 0.9, "returns": 35.64, "turnover": 31.95, "drawdown": 30.8, "margin": 22.31 }, "operators": [ "group_neutralize", "rank" ], "review": { "economicLogic": 9, "robustness": 7.08, "osStability": 6.75, "simplicity": 10, "overfittingRisk": "Low", "regimeDependency": "Low" } }, { "id": "Alpha008", "score": 6.91, "classification": "C — Statistical Factor Candidate", "grade": "C", "dataFamily": "Unknown", "dataCategories": "Classification / Control, Model-derived, Unknown / Proprietary", "strategy": "Economic interpretation uncertain", "economicConfidence": "Weak / speculative", "region": "GLB", "universe": "MINVOL1M", "metrics": { "sharpe": 2.8, "fitness": 2.17, "returns": 8, "turnover": 13.26, "drawdown": 3.5, "margin": 12.07 }, "operators": [ "group_neutralize", "hump", "scale", "ts_backfill", "vec_avg", "vector_neut", "zscore" ], "review": { "economicLogic": 4.56, "robustness": 5.63, "osStability": 8.98, "simplicity": 7.52, "overfittingRisk": "High", "regimeDependency": "Low" } }, { "id": "Alpha051", "score": 6.91, "classification": "B — Strong Research Candidate", "grade": "B", "dataFamily": "Sentiment", "dataCategories": "Classification / Control, Sentiment", "strategy": "Behavioral Sentiment", "economicConfidence": "Plausible", "region": "USA", "universe": "TOP3000", "metrics": { "sharpe": 0.66, "fitness": 0.75, "returns": 16.01, "turnover": 10.72, "drawdown": 27.59, "margin": 29.87 }, "operators": [ "group_neutralize" ], "review": { "economicLogic": 9, "robustness": 6.95, "osStability": 6.38, "simplicity": 10, "overfittingRisk": "Low", "regimeDependency": "Low" } }, { "id": "Alpha086", "score": 6.91, "classification": "B — Strong Research Candidate", "grade": "B", "dataFamily": "Price / Volume", "dataCategories": "Classification / Control, Model-derived, Price / Volume", "strategy": "Market Behaviour", "economicConfidence": "Weak / speculative", "region": "CHN", "universe": "TOP3000", "metrics": { "sharpe": 0.88, "fitness": 0.47, "returns": 3.58, "turnover": 8.91, "drawdown": 5.1, "margin": 8.03 }, "operators": [ "group_rank", "group_vector_neut", "log", "rank", "trade_when", "ts_mean", "vector_neut" ], "review": { "economicLogic": 9, "robustness": 7.45, "osStability": 6.7, "simplicity": 7.74, "overfittingRisk": "Low", "regimeDependency": "High" } }, { "id": "Alpha033", "score": 6.881, "classification": "C — Statistical Factor Candidate", "grade": "C", "dataFamily": "Unknown", "dataCategories": "Classification / Control, Unknown / Proprietary", "strategy": "Economic interpretation uncertain", "economicConfidence": "Weak / speculative", "region": "GLB", "universe": "MINVOL1M", "metrics": { "sharpe": 2.1, "fitness": 1.61, "returns": 7.33, "turnover": 11.95, "drawdown": 1.87, "margin": 12.27 }, "operators": [ "group_neutralize", "group_zscore", "trade_when", "ts_rank", "ts_std_dev", "ts_zscore", "vec_avg" ], "review": { "economicLogic": 4, "robustness": 6.5, "osStability": 8.92, "simplicity": 6.96, "overfittingRisk": "Low", "regimeDependency": "High" } }, { "id": "Alpha053", "score": 6.871, "classification": "B — Strong Research Candidate", "grade": "B", "dataFamily": "Sentiment", "dataCategories": "Classification / Control, Sentiment", "strategy": "Behavioral Sentiment", "economicConfidence": "Plausible", "region": "USA", "universe": "TOP3000", "metrics": { "sharpe": 0.58, "fitness": 0.63, "returns": 14.89, "turnover": 5.8, "drawdown": 21.89, "margin": 51.32 }, "operators": [ "group_neutralize" ], "review": { "economicLogic": 9, "robustness": 6.95, "osStability": 5.3, "simplicity": 10, "overfittingRisk": "Low", "regimeDependency": "Low" } }, { "id": "Alpha123", "score": 6.841, "classification": "B — Strong Research Candidate", "grade": "B", "dataFamily": "Sentiment", "dataCategories": "Classification / Control, Sentiment", "strategy": "Behavioral Sentiment", "economicConfidence": "Plausible", "region": "USA", "universe": "TOP3000", "metrics": { "sharpe": 0.68, "fitness": 0.6, "returns": 9.59, "turnover": 10.07, "drawdown": 13.13, "margin": 19.04 }, "operators": [ "group_neutralize" ], "review": { "economicLogic": 9, "robustness": 6.95, "osStability": 6.28, "simplicity": 10, "overfittingRisk": "Low", "regimeDependency": "Low" } }, { "id": "Alpha109", "score": 6.781, "classification": "B — Strong Research Candidate", "grade": "B", "dataFamily": "Fundamental", "dataCategories": "Fundamental, Price / Volume, Unknown / Proprietary", "strategy": "Quality / Value", "economicConfidence": "Plausible", "region": "USA", "universe": "TOP3000", "metrics": { "sharpe": 1.02, "fitness": 0.93, "returns": 10.39, "turnover": 3.34, "drawdown": 9.11, "margin": 62.23 }, "operators": [ "rank", "ts_backfill", "zscore" ], "review": { "economicLogic": 6.14, "robustness": 6.89, "osStability": 5.72, "simplicity": 9.68, "overfittingRisk": "Low", "regimeDependency": "Low" } }, { "id": "Alpha085", "score": 6.761, "classification": "D — Regime-Specific Alpha", "grade": "D", "dataFamily": "Price / Volume", "dataCategories": "Classification / Control, Model-derived, Price / Volume", "strategy": "Market Behaviour", "economicConfidence": "Weak / speculative", "region": "CHN", "universe": "TOP3000", "metrics": { "sharpe": 0.94, "fitness": 0.51, "returns": 3.74, "turnover": 9.15, "drawdown": 4.99, "margin": 8.18 }, "operators": [ "group_rank", "group_vector_neut", "log", "rank", "trade_when", "ts_mean", "vector_neut" ], "review": { "economicLogic": 9, "robustness": 7.45, "osStability": 5.73, "simplicity": 7.72, "overfittingRisk": "Low", "regimeDependency": "High" } }, { "id": "Alpha084", "score": 6.751, "classification": "B — Strong Research Candidate", "grade": "B", "dataFamily": "Price / Volume", "dataCategories": "Classification / Control, Model-derived, Price / Volume", "strategy": "Market Behaviour", "economicConfidence": "Weak / speculative", "region": "CHN", "universe": "TOP3000", "metrics": { "sharpe": 0.74, "fitness": 0.37, "returns": 3.18, "turnover": 9.62, "drawdown": 4.73, "margin": 6.6 }, "operators": [ "group_rank", "group_vector_neut", "log", "rank", "trade_when", "ts_mean", "vector_neut" ], "review": { "economicLogic": 9, "robustness": 7.45, "osStability": 6.53, "simplicity": 7.72, "overfittingRisk": "Low", "regimeDependency": "High" } }, { "id": "Alpha082", "score": 6.741, "classification": "D — Regime-Specific Alpha", "grade": "D", "dataFamily": "Price / Volume", "dataCategories": "Classification / Control, Model-derived, Price / Volume", "strategy": "Market Behaviour", "economicConfidence": "Weak / speculative", "region": "CHN", "universe": "TOP3000", "metrics": { "sharpe": 1.14, "fitness": null, "returns": 5.35, "turnover": 11.03, "drawdown": null, "margin": null }, "operators": [ "group_rank", "group_vector_neut", "log", "rank", "trade_when", "ts_mean", "vector_neut" ], "review": { "economicLogic": 9, "robustness": 7.45, "osStability": 5.47, "simplicity": 7.73, "overfittingRisk": "Low", "regimeDependency": "High" } }, { "id": "Alpha009", "score": 6.721, "classification": "B — Strong Research Candidate", "grade": "B", "dataFamily": "Unknown", "dataCategories": "Classification / Control, Model-derived", "strategy": "Economic interpretation uncertain", "economicConfidence": "Weak / speculative", "region": "GLB", "universe": "MINVOL1M", "metrics": { "sharpe": 0.9, "fitness": 0.35, "returns": 1.93, "turnover": 11.88, "drawdown": 2.74, "margin": 3.25 }, "operators": [ "group_zscore", "rank", "scale", "trade_when", "ts_rank", "ts_std_dev", "ts_zscore", "zscore" ], "review": { "economicLogic": 9, "robustness": 6.95, "osStability": 7.08, "simplicity": 7.1, "overfittingRisk": "Low", "regimeDependency": "High" } }, { "id": "Alpha038", "score": 6.691, "classification": "B — Strong Research Candidate", "grade": "B", "dataFamily": "Unknown", "dataCategories": "Model-derived", "strategy": "Economic interpretation uncertain", "economicConfidence": "Weak / speculative", "region": "GLB", "universe": "MINVOL1M", "metrics": { "sharpe": 0.68, "fitness": 0.31, "returns": 2.52, "turnover": 6.54, "drawdown": 4.71, "margin": 7.72 }, "operators": [ "rank", "trade_when", "ts_rank", "ts_std_dev" ], "review": { "economicLogic": 9, "robustness": 6.83, "osStability": 6.32, "simplicity": 10, "overfittingRisk": "Low", "regimeDependency": "High" } }, { "id": "Alpha070", "score": 6.681, "classification": "B — Strong Research Candidate", "grade": "B", "dataFamily": "News / Event", "dataCategories": "News, Price / Volume, Unknown / Proprietary", "strategy": "Information Diffusion", "economicConfidence": "Plausible", "region": "USA", "universe": "TOP3000", "metrics": { "sharpe": 1.28, "fitness": 0.72, "returns": 3.98, "turnover": 8.7, "drawdown": 2.84, "margin": 9.14 }, "operators": [ "rank", "trade_when", "ts_delta", "ts_sum", "vec_avg" ], "review": { "economicLogic": 6.5, "robustness": 6.6, "osStability": 7.04, "simplicity": 9.25, "overfittingRisk": "Low", "regimeDependency": "High" } }, { "id": "Alpha083", "score": 6.681, "classification": "D — Regime-Specific Alpha", "grade": "D", "dataFamily": "Price / Volume", "dataCategories": "Classification / Control, Model-derived, Price / Volume", "strategy": "Market Behaviour", "economicConfidence": "Weak / speculative", "region": "CHN", "universe": "TOP3000", "metrics": { "sharpe": 1.06, "fitness": null, "returns": 4.51, "turnover": 10.51, "drawdown": null, "margin": null }, "operators": [ "group_rank", "group_vector_neut", "log", "rank", "trade_when", "ts_mean", "vector_neut" ], "review": { "economicLogic": 9, "robustness": 7.45, "osStability": 5.35, "simplicity": 7.74, "overfittingRisk": "Low", "regimeDependency": "High" } }, { "id": "Alpha076", "score": 6.671, "classification": "B — Strong Research Candidate", "grade": "B", "dataFamily": "Price / Volume", "dataCategories": "Classification / Control, Model-derived, Price / Volume", "strategy": "Market Behaviour", "economicConfidence": "Weak / speculative", "region": "CHN", "universe": "TOP3000", "metrics": { "sharpe": 0.89, "fitness": 0.39, "returns": 4.07, "turnover": 21.67, "drawdown": 5.19, "margin": 3.75 }, "operators": [ "bucket", "group_neutralize", "group_rank", "if_else", "power", "ts_mean", "ts_rank", "ts_std_dev" ], "review": { "economicLogic": 9, "robustness": 7.33, "osStability": 6.98, "simplicity": 6.66, "overfittingRisk": "Low", "regimeDependency": "High" } }, { "id": "Alpha099", "score": 6.661, "classification": "B — Strong Research Candidate", "grade": "B", "dataFamily": "Sentiment", "dataCategories": "Alternative / Proprietary, Price / Volume, Sentiment", "strategy": "Behavioral Sentiment", "economicConfidence": "Plausible", "region": "USA", "universe": "TOP1000", "metrics": { "sharpe": 0.59, "fitness": 0.32, "returns": 3.65, "turnover": 7.32, "drawdown": 6.71, "margin": 9.99 }, "operators": [ "densify", "group_normalize", "rank", "regression_neut", "trade_when", "ts_std_dev" ], "review": { "economicLogic": 9, "robustness": 7.08, "osStability": 6.46, "simplicity": 8.78, "overfittingRisk": "Low", "regimeDependency": "High" } }, { "id": "Alpha066", "score": 6.621, "classification": "B — Strong Research Candidate", "grade": "B", "dataFamily": "Price / Volume", "dataCategories": "Classification / Control, Price / Volume", "strategy": "Market Behaviour", "economicConfidence": "Weak / speculative", "region": "CHN", "universe": "TOP3000", "metrics": { "sharpe": 0.86, "fitness": 0.59, "returns": 5.85, "turnover": 10.19, "drawdown": 8.59, "margin": 11.48 }, "operators": [ "abs", "group_neutralize", "if_else", "rank", "ts_corr", "ts_rank", "zscore" ], "review": { "economicLogic": 9, "robustness": 6.45, "osStability": 6.75, "simplicity": 5.67, "overfittingRisk": "Medium", "regimeDependency": "High" } }, { "id": "Alpha088", "score": 6.621, "classification": "B — Strong Research Candidate", "grade": "B", "dataFamily": "Options / Volatility", "dataCategories": "Fundamental, Options / Volatility, Price / Volume, Unknown / Proprietary", "strategy": "Volatility Relative Value", "economicConfidence": "Plausible", "region": "USA", "universe": "TOP3000", "metrics": { "sharpe": 1.5, "fitness": null, "returns": 16.65, "turnover": 16.95, "drawdown": null, "margin": null }, "operators": [ "bucket", "group_neutralize", "rank", "trade_when", "ts_backfill", "zscore" ], "review": { "economicLogic": 6.92, "robustness": 7.2, "osStability": 6.21, "simplicity": 6.87, "overfittingRisk": "Low", "regimeDependency": "High" } }, { "id": "Alpha100", "score": 6.611, "classification": "B — Strong Research Candidate", "grade": "B", "dataFamily": "Sentiment", "dataCategories": "Alternative / Proprietary, Price / Volume, Sentiment", "strategy": "Behavioral Sentiment", "economicConfidence": "Plausible", "region": "USA", "universe": "TOP1000", "metrics": { "sharpe": 0.54, "fitness": 0.28, "returns": 3.43, "turnover": 5.45, "drawdown": 6.89, "margin": 12.61 }, "operators": [ "densify", "group_normalize", "rank", "regression_neut", "trade_when", "ts_std_dev" ], "review": { "economicLogic": 9, "robustness": 7.08, "osStability": 6.15, "simplicity": 8.78, "overfittingRisk": "Low", "regimeDependency": "High" } }, { "id": "Alpha050", "score": 6.571, "classification": "D — Regime-Specific Alpha", "grade": "D", "dataFamily": "News / Event", "dataCategories": "Classification / Control, News, Options / Volatility, Price / Volume, Sentiment, Unknown / Proprietary", "strategy": "Information Diffusion", "economicConfidence": "Plausible", "region": "USA", "universe": "TOP3000", "metrics": { "sharpe": 0.88, "fitness": 0.66, "returns": 7.12, "turnover": 11.39, "drawdown": 7.19, "margin": 12.51 }, "operators": [ "group_rank", "quantile", "trade_when", "ts_arg_max", "ts_backfill", "ts_delta", "ts_mean" ], "review": { "economicLogic": 8.44, "robustness": 7.57, "osStability": 5.62, "simplicity": 4.86, "overfittingRisk": "Low", "regimeDependency": "High" } }, { "id": "Alpha075", "score": 6.561, "classification": "B — Strong Research Candidate", "grade": "B", "dataFamily": "News / Event", "dataCategories": "News, Options / Volatility, Price / Volume", "strategy": "Information Diffusion", "economicConfidence": "Plausible", "region": "USA", "universe": "TOP1000", "metrics": { "sharpe": 0.31, "fitness": 0.17, "returns": 3.93, "turnover": 1.87, "drawdown": 10.35, "margin": 42.1 }, "operators": [ "log", "rank", "ts_arg_max", "ts_arg_min", "ts_corr", "ts_delta", "ts_mean", "ts_regression" ], "review": { "economicLogic": 9, "robustness": 7.7, "osStability": 5.24, "simplicity": 6.85, "overfittingRisk": "Low", "regimeDependency": "Low" } }, { "id": "Alpha058", "score": 6.511, "classification": "D — Regime-Specific Alpha", "grade": "D", "dataFamily": "Sentiment", "dataCategories": "Alternative / Proprietary, Classification / Control, Fundamental, Options / Volatility, Price / Volume, Sentiment, Unknown / Proprietary", "strategy": "Behavioral Sentiment", "economicConfidence": "Plausible", "region": "USA", "universe": "TOP1000", "metrics": { "sharpe": 0.58, "fitness": 0.49, "returns": 8.86, "turnover": 4.29, "drawdown": 15.55, "margin": 41.29 }, "operators": [ "bucket", "densify", "group_neutralize", "group_normalize", "if_else", "quantile", "rank", "regression_neut", "tanh", "trade_when", "ts_mean", "ts_std_dev" ], "review": { "economicLogic": 8.44, "robustness": 7.42, "osStability": 5.84, "simplicity": 3.53, "overfittingRisk": "Low", "regimeDependency": "High" } }, { "id": "Alpha059", "score": 6.391, "classification": "B — Strong Research Candidate", "grade": "B", "dataFamily": "Sentiment", "dataCategories": "Sentiment", "strategy": "Behavioral Sentiment", "economicConfidence": "Plausible", "region": "USA", "universe": "TOP3000", "metrics": { "sharpe": 0.45, "fitness": null, "returns": 11.39, "turnover": 5.97, "drawdown": null, "margin": null }, "operators": [ "rank", "ts_mean", "ts_std_dev" ], "review": { "economicLogic": 9, "robustness": 5.95, "osStability": 5.14, "simplicity": 9.11, "overfittingRisk": "Low", "regimeDependency": "Low" } }, { "id": "Alpha016", "score": 6.381, "classification": "B — Strong Research Candidate", "grade": "B", "dataFamily": "Unknown", "dataCategories": "Classification / Control, Model-derived, Unknown / Proprietary", "strategy": "Economic interpretation uncertain", "economicConfidence": "Weak / speculative", "region": "GLB", "universe": "MINVOL1M", "metrics": { "sharpe": 1.53, "fitness": 0.75, "returns": 2.98, "turnover": 3.72, "drawdown": 2.32, "margin": 16.01 }, "operators": [ "group_neutralize", "hump", "scale", "ts_backfill", "vec_avg", "vector_neut", "zscore" ], "review": { "economicLogic": 4.56, "robustness": 5.63, "osStability": 7.92, "simplicity": 7.41, "overfittingRisk": "High", "regimeDependency": "Low" } }, { "id": "Alpha077", "score": 6.371, "classification": "B — Strong Research Candidate", "grade": "B", "dataFamily": "Price / Volume", "dataCategories": "Classification / Control, Model-derived, Price / Volume", "strategy": "Market Behaviour", "economicConfidence": "Weak / speculative", "region": "CHN", "universe": "TOP3000", "metrics": { "sharpe": 0.67, "fitness": 0.27, "returns": 3.4, "turnover": 21.58, "drawdown": 5.78, "margin": 3.15 }, "operators": [ "bucket", "group_neutralize", "group_rank", "if_else", "power", "ts_mean", "ts_rank", "ts_std_dev" ], "review": { "economicLogic": 9, "robustness": 7.33, "osStability": 6.49, "simplicity": 6.66, "overfittingRisk": "Low", "regimeDependency": "High" } }, { "id": "Alpha015", "score": 6.321, "classification": "B — Strong Research Candidate", "grade": "B", "dataFamily": "Unknown", "dataCategories": "Classification / Control, Model-derived, Unknown / Proprietary", "strategy": "Economic interpretation uncertain", "economicConfidence": "Weak / speculative", "region": "GLB", "universe": "MINVOL1M", "metrics": { "sharpe": 1.6, "fitness": 0.8, "returns": 3.11, "turnover": 6.21, "drawdown": 2.55, "margin": 10.03 }, "operators": [ "group_neutralize", "hump", "scale", "ts_backfill", "vec_avg", "vector_neut", "zscore" ], "review": { "economicLogic": 4.56, "robustness": 5.63, "osStability": 7.98, "simplicity": 7.41, "overfittingRisk": "High", "regimeDependency": "Low" } }, { "id": "Alpha164", "score": 6.31, "classification": "B — Strong Research Candidate", "grade": "B", "dataFamily": "Price / Volume", "dataCategories": "Classification / Control, Price / Volume", "strategy": "Market Behaviour", "economicConfidence": "Weak / speculative", "region": "USA", "universe": "TOP3000", "metrics": { "sharpe": 0.68, "fitness": 0.28, "returns": 9.43, "turnover": 54.07, "drawdown": 13.86, "margin": 3.49 }, "operators": [ "group_neutralize", "rank", "ts_std_dev" ], "review": { "economicLogic": 9, "robustness": 7.08, "osStability": 6.16, "simplicity": 10, "overfittingRisk": "Low", "regimeDependency": "Low" } }, { "id": "Alpha037", "score": 6.271, "classification": "D — Regime-Specific Alpha", "grade": "D", "dataFamily": "Price / Volume", "dataCategories": "Price / Volume, Unknown / Proprietary", "strategy": "Market Behaviour", "economicConfidence": "Weak / speculative", "region": "GLB", "universe": "MINVOL1M", "metrics": { "sharpe": 1.15, "fitness": 0.56, "returns": 2.92, "turnover": 9.95, "drawdown": 2.13, "margin": 5.87 }, "operators": [ "rank", "trade_when", "ts_quantile" ], "review": { "economicLogic": 6.5, "robustness": 6.35, "osStability": 5.88, "simplicity": 10, "overfittingRisk": "Low", "regimeDependency": "High" } }, { "id": "Alpha002", "score": 6.261, "classification": "B — Strong Research Candidate", "grade": "B", "dataFamily": "Unknown", "dataCategories": "Classification / Control, Model-derived", "strategy": "Economic interpretation uncertain", "economicConfidence": "Weak / speculative", "region": "GLB", "universe": "MINVOL1M", "metrics": { "sharpe": 0.68, "fitness": 0.19, "returns": 2.25, "turnover": 29.79, "drawdown": 2.46, "margin": 1.51 }, "operators": [ "group_zscore", "trade_when", "ts_rank", "ts_std_dev", "ts_zscore", "zscore" ], "review": { "economicLogic": 9, "robustness": 7.08, "osStability": 6.51, "simplicity": 5.81, "overfittingRisk": "Low", "regimeDependency": "High" } }, { "id": "Alpha007", "score": 6.231, "classification": "B — Strong Research Candidate", "grade": "B", "dataFamily": "Unknown", "dataCategories": "Classification / Control, Model-derived", "strategy": "Economic interpretation uncertain", "economicConfidence": "Weak / speculative", "region": "GLB", "universe": "MINVOL1M", "metrics": { "sharpe": 0.56, "fitness": 0.16, "returns": 0.96, "turnover": 6.7, "drawdown": 3.17, "margin": 2.85 }, "operators": [ "group_zscore", "hump", "scale", "ts_decay_linear", "ts_rank", "zscore" ], "review": { "economicLogic": 9, "robustness": 5.95, "osStability": 6.23, "simplicity": 8.45, "overfittingRisk": "Medium", "regimeDependency": "Low" } }, { "id": "Alpha049", "score": 6.231, "classification": "D — Regime-Specific Alpha", "grade": "D", "dataFamily": "News / Event", "dataCategories": "Classification / Control, News, Options / Volatility, Price / Volume, Sentiment, Unknown / Proprietary", "strategy": "Information Diffusion", "economicConfidence": "Plausible", "region": "USA", "universe": "TOP3000", "metrics": { "sharpe": 0.65, "fitness": 0.45, "returns": 5.87, "turnover": 11.04, "drawdown": 7.38, "margin": 10.64 }, "operators": [ "group_rank", "quantile", "trade_when", "ts_arg_max", "ts_backfill", "ts_delta", "ts_mean" ], "review": { "economicLogic": 8.44, "robustness": 7.57, "osStability": 5.12, "simplicity": 4.86, "overfittingRisk": "Low", "regimeDependency": "High" } }, { "id": "Alpha004", "score": 6.221, "classification": "B — Strong Research Candidate", "grade": "B", "dataFamily": "Unknown", "dataCategories": "Classification / Control, Model-derived", "strategy": "Economic interpretation uncertain", "economicConfidence": "Weak / speculative", "region": "GLB", "universe": "MINVOL1M", "metrics": { "sharpe": 0.49, "fitness": 0.14, "returns": 0.95, "turnover": 9.17, "drawdown": 3.44, "margin": 2.08 }, "operators": [ "group_zscore", "rank", "scale", "trade_when", "ts_rank", "ts_std_dev", "ts_zscore", "zscore" ], "review": { "economicLogic": 9, "robustness": 6.95, "osStability": 6.04, "simplicity": 7.1, "overfittingRisk": "Low", "regimeDependency": "High" } }, { "id": "Alpha017", "score": 6.21, "classification": "B — Strong Research Candidate", "grade": "B", "dataFamily": "Unknown", "dataCategories": "Classification / Control, Model-derived", "strategy": "Economic interpretation uncertain", "economicConfidence": "Weak / speculative", "region": "GLB", "universe": "MINVOL1M", "metrics": { "sharpe": 0.53, "fitness": 0.15, "returns": 1.08, "turnover": 12.99, "drawdown": 2.63, "margin": 1.66 }, "operators": [ "group_zscore", "trade_when", "ts_rank", "ts_std_dev", "ts_zscore", "zscore" ], "review": { "economicLogic": 9, "robustness": 7.08, "osStability": 6.27, "simplicity": 5.83, "overfittingRisk": "Low", "regimeDependency": "High" } }, { "id": "Alpha057", "score": 6.131, "classification": "D — Regime-Specific Alpha", "grade": "D", "dataFamily": "Sentiment", "dataCategories": "Alternative / Proprietary, Classification / Control, Fundamental, Options / Volatility, Price / Volume, Sentiment, Unknown / Proprietary", "strategy": "Behavioral Sentiment", "economicConfidence": "Plausible", "region": "USA", "universe": "TOP1000", "metrics": { "sharpe": 0.63, "fitness": 0.47, "returns": 6.84, "turnover": 5.66, "drawdown": 15.16, "margin": 24.15 }, "operators": [ "bucket", "densify", "group_neutralize", "group_normalize", "if_else", "quantile", "rank", "regression_neut", "tanh", "trade_when", "ts_mean", "ts_std_dev" ], "review": { "economicLogic": 8.44, "robustness": 7.42, "osStability": 4.78, "simplicity": 3.53, "overfittingRisk": "Low", "regimeDependency": "High" } }, { "id": "Alpha003", "score": 6.121, "classification": "B — Strong Research Candidate", "grade": "B", "dataFamily": "Unknown", "dataCategories": "Classification / Control, Model-derived", "strategy": "Economic interpretation uncertain", "economicConfidence": "Weak / speculative", "region": "GLB", "universe": "MINVOL1M", "metrics": { "sharpe": 0.49, "fitness": 0.14, "returns": 1.55, "turnover": 18.38, "drawdown": 2.55, "margin": 1.69 }, "operators": [ "group_zscore", "trade_when", "ts_rank", "ts_std_dev", "ts_zscore", "zscore" ], "review": { "economicLogic": 9, "robustness": 7.08, "osStability": 6.12, "simplicity": 5.81, "overfittingRisk": "Low", "regimeDependency": "High" } }, { "id": "Alpha001", "score": 6.111, "classification": "D — Regime-Specific Alpha", "grade": "D", "dataFamily": "Analyst / Valuation", "dataCategories": "Analyst / Valuation Model, Classification / Control", "strategy": "Analyst Information / Value", "economicConfidence": "Plausible", "region": "GLB", "universe": "MINVOL1M", "metrics": { "sharpe": 0.73, "fitness": 0.28, "returns": 1.81, "turnover": 8.35, "drawdown": 3.51, "margin": 4.34 }, "operators": [ "group_zscore", "rank", "trade_when", "ts_rank", "ts_std_dev", "ts_zscore", "zscore" ], "review": { "economicLogic": 9, "robustness": 6.08, "osStability": 5, "simplicity": 7.54, "overfittingRisk": "Medium", "regimeDependency": "High" } }, { "id": "Alpha071", "score": 6.061, "classification": "D — Regime-Specific Alpha", "grade": "D", "dataFamily": "Price / Volume", "dataCategories": "Classification / Control, Model-derived, Price / Volume", "strategy": "Market Behaviour", "economicConfidence": "Weak / speculative", "region": "CHN", "universe": "TOP3000", "metrics": { "sharpe": 0.33, "fitness": 0.1, "returns": 1.26, "turnover": 9.69, "drawdown": 6.38, "margin": 2.61 }, "operators": [ "bucket", "group_neutralize", "group_vector_neut", "if_else", "rank", "trade_when", "ts_zscore" ], "review": { "economicLogic": 9, "robustness": 7.08, "osStability": 5.71, "simplicity": 7.56, "overfittingRisk": "Low", "regimeDependency": "High" } }, { "id": "Alpha056", "score": 6.041, "classification": "D — Regime-Specific Alpha", "grade": "D", "dataFamily": "Sentiment", "dataCategories": "Alternative / Proprietary, Classification / Control, Fundamental, Options / Volatility, Price / Volume, Sentiment, Unknown / Proprietary", "strategy": "Behavioral Sentiment", "economicConfidence": "Plausible", "region": "USA", "universe": "TOP1000", "metrics": { "sharpe": 0.65, "fitness": 0.52, "returns": 8.06, "turnover": 4.03, "drawdown": 15.57, "margin": 40.02 }, "operators": [ "bucket", "densify", "group_neutralize", "group_normalize", "if_else", "quantile", "rank", "regression_neut", "tanh", "trade_when", "ts_mean", "ts_std_dev" ], "review": { "economicLogic": 8.44, "robustness": 7.42, "osStability": 3.44, "simplicity": 3.53, "overfittingRisk": "Low", "regimeDependency": "High" } }, { "id": "Alpha005", "score": 6.031, "classification": "D — Regime-Specific Alpha", "grade": "D", "dataFamily": "Unknown", "dataCategories": "Classification / Control, Model-derived", "strategy": "Economic interpretation uncertain", "economicConfidence": "Weak / speculative", "region": "GLB", "universe": "MINVOL1M", "metrics": { "sharpe": 0.31, "fitness": 0.07, "returns": 0.59, "turnover": 7.29, "drawdown": 3.24, "margin": 1.63 }, "operators": [ "group_zscore", "rank", "scale", "trade_when", "ts_rank", "ts_std_dev", "ts_zscore", "zscore" ], "review": { "economicLogic": 9, "robustness": 6.95, "osStability": 5.51, "simplicity": 7.1, "overfittingRisk": "Low", "regimeDependency": "High" } }, { "id": "Alpha048", "score": 6.031, "classification": "D — Regime-Specific Alpha", "grade": "D", "dataFamily": "News / Event", "dataCategories": "Classification / Control, News, Options / Volatility, Price / Volume, Sentiment, Unknown / Proprietary", "strategy": "Information Diffusion", "economicConfidence": "Plausible", "region": "USA", "universe": "TOP3000", "metrics": { "sharpe": 0.66, "fitness": 0.42, "returns": 5.47, "turnover": 13.44, "drawdown": 5.99, "margin": 8.14 }, "operators": [ "group_rank", "quantile", "trade_when", "ts_arg_max", "ts_backfill", "ts_delta", "ts_mean" ], "review": { "economicLogic": 8.44, "robustness": 7.57, "osStability": 4.28, "simplicity": 4.86, "overfittingRisk": "Low", "regimeDependency": "High" } }, { "id": "Alpha106", "score": 6.011, "classification": "B — Strong Research Candidate", "grade": "B", "dataFamily": "Sentiment", "dataCategories": "Classification / Control, Sentiment", "strategy": "Behavioral Sentiment", "economicConfidence": "Plausible", "region": "USA", "universe": "TOP3000", "metrics": { "sharpe": 0.19, "fitness": 0.07, "returns": 1.63, "turnover": 4.56, "drawdown": 11.36, "margin": 7.16 }, "operators": [ "group_neutralize" ], "review": { "economicLogic": 9, "robustness": 6.95, "osStability": 5.24, "simplicity": 10, "overfittingRisk": "Low", "regimeDependency": "Low" } }, { "id": "Alpha145", "score": 6.011, "classification": "B — Strong Research Candidate", "grade": "B", "dataFamily": "Sentiment", "dataCategories": "Classification / Control, Sentiment", "strategy": "Behavioral Sentiment", "economicConfidence": "Plausible", "region": "USA", "universe": "TOP3000", "metrics": { "sharpe": 0.29, "fitness": 0.16, "returns": 3.69, "turnover": 11.99, "drawdown": 11.45, "margin": 6.16 }, "operators": [ "group_neutralize" ], "review": { "economicLogic": 9, "robustness": 6.95, "osStability": 5.15, "simplicity": 10, "overfittingRisk": "Low", "regimeDependency": "Low" } }, { "id": "Alpha150", "score": 6.01, "classification": "D — Regime-Specific Alpha", "grade": "D", "dataFamily": "Sentiment", "dataCategories": "Classification / Control, Sentiment", "strategy": "Behavioral Sentiment", "economicConfidence": "Plausible", "region": "USA", "universe": "TOP3000", "metrics": { "sharpe": 0.25, "fitness": 0.1, "returns": 1.95, "turnover": 10.67, "drawdown": 8.09, "margin": 3.66 }, "operators": [ "group_neutralize" ], "review": { "economicLogic": 9, "robustness": 6.95, "osStability": 5.2, "simplicity": 10, "overfittingRisk": "Low", "regimeDependency": "Low" } }, { "id": "Alpha019", "score": 5.951, "classification": "D — Regime-Specific Alpha", "grade": "D", "dataFamily": "Analyst / Valuation", "dataCategories": "Analyst / Valuation Model, Classification / Control", "strategy": "Analyst Information / Value", "economicConfidence": "Plausible", "region": "GLB", "universe": "MINVOL1M", "metrics": { "sharpe": 0.49, "fitness": 0.12, "returns": 1.08, "turnover": 17.32, "drawdown": 2.46, "margin": 1.24 }, "operators": [ "group_rank", "group_zscore", "rank", "ts_rank", "ts_zscore", "zscore" ], "review": { "economicLogic": 9, "robustness": 6.95, "osStability": 4.77, "simplicity": 8.9, "overfittingRisk": "Low", "regimeDependency": "Low" } }, { "id": "Alpha014", "score": 5.931, "classification": "D — Regime-Specific Alpha", "grade": "D", "dataFamily": "Unknown", "dataCategories": "Classification / Control, Model-derived, Unknown / Proprietary", "strategy": "Economic interpretation uncertain", "economicConfidence": "Weak / speculative", "region": "GLB", "universe": "MINVOL1M", "metrics": { "sharpe": 1.39, "fitness": 0.64, "returns": 2.92, "turnover": 13.71, "drawdown": 3.2, "margin": 4.25 }, "operators": [ "group_neutralize", "hump", "scale", "ts_backfill", "vec_avg", "vector_neut", "zscore" ], "review": { "economicLogic": 4.56, "robustness": 5.63, "osStability": 7.72, "simplicity": 7.41, "overfittingRisk": "High", "regimeDependency": "Low" } }, { "id": "Alpha036", "score": 5.921, "classification": "D — Regime-Specific Alpha", "grade": "D", "dataFamily": "Unknown", "dataCategories": "Model-derived, Unknown / Proprietary", "strategy": "Economic interpretation uncertain", "economicConfidence": "Weak / speculative", "region": "GLB", "universe": "MINVOL1M", "metrics": { "sharpe": 0.8, "fitness": 0.3, "returns": 1.81, "turnover": 4.1, "drawdown": 1.72, "margin": 8.86 }, "operators": [ "clamp", "rank", "trade_when", "ts_rank", "ts_returns", "ts_std_dev", "vector_neut" ], "review": { "economicLogic": 5, "robustness": 6.37, "osStability": 6.7, "simplicity": 7.27, "overfittingRisk": "Low", "regimeDependency": "High" } }, { "id": "Alpha045", "score": 5.911, "classification": "D — Regime-Specific Alpha", "grade": "D", "dataFamily": "News / Event", "dataCategories": "Classification / Control, News, Options / Volatility, Price / Volume, Sentiment, Unknown / Proprietary", "strategy": "Information Diffusion", "economicConfidence": "Plausible", "region": "USA", "universe": "TOP3000", "metrics": { "sharpe": 0.46, "fitness": null, "returns": 3.93, "turnover": 26.14, "drawdown": null, "margin": null }, "operators": [ "group_rank", "quantile", "trade_when", "ts_arg_max", "ts_backfill", "ts_delta", "ts_mean" ], "review": { "economicLogic": 8.44, "robustness": 7.57, "osStability": 4.71, "simplicity": 4.86, "overfittingRisk": "Low", "regimeDependency": "High" } }, { "id": "Alpha151", "score": 5.91, "classification": "D — Regime-Specific Alpha", "grade": "D", "dataFamily": "Sentiment", "dataCategories": "Classification / Control, Sentiment", "strategy": "Behavioral Sentiment", "economicConfidence": "Plausible", "region": "USA", "universe": "TOP3000", "metrics": { "sharpe": 0.19, "fitness": 0.06, "returns": 1.34, "turnover": 9.13, "drawdown": 8.72, "margin": 2.94 }, "operators": [ "group_neutralize" ], "review": { "economicLogic": 9, "robustness": 6.95, "osStability": 5.01, "simplicity": 10, "overfittingRisk": "Low", "regimeDependency": "Low" } }, { "id": "Alpha021", "score": 5.891, "classification": "D — Regime-Specific Alpha", "grade": "D", "dataFamily": "Unknown", "dataCategories": "Classification / Control, Model-derived", "strategy": "Economic interpretation uncertain", "economicConfidence": "Weak / speculative", "region": "GLB", "universe": "MINVOL1M", "metrics": { "sharpe": 0.53, "fitness": 0.16, "returns": 1.23, "turnover": 13.62, "drawdown": 3.77, "margin": 1.81 }, "operators": [ "group_rank", "group_zscore", "rank", "trade_when", "ts_rank", "ts_std_dev", "ts_zscore", "zscore" ], "review": { "economicLogic": 9, "robustness": 6.08, "osStability": 5.65, "simplicity": 6.7, "overfittingRisk": "Medium", "regimeDependency": "High" } }, { "id": "Alpha028", "score": 5.891, "classification": "D — Regime-Specific Alpha", "grade": "D", "dataFamily": "Unknown", "dataCategories": "Classification / Control, Unknown / Proprietary", "strategy": "Economic interpretation uncertain", "economicConfidence": "Weak / speculative", "region": "GLB", "universe": "MINVOL1M", "metrics": { "sharpe": 1.44, "fitness": 0.78, "returns": 3.66, "turnover": 11.05, "drawdown": 2.84, "margin": 6.63 }, "operators": [ "group_neutralize", "group_zscore", "ts_rank", "ts_std_dev", "ts_zscore", "zscore" ], "review": { "economicLogic": 4, "robustness": 4.88, "osStability": 7.91, "simplicity": 7.92, "overfittingRisk": "High", "regimeDependency": "Low" } }, { "id": "Alpha132", "score": 5.881, "classification": "D — Regime-Specific Alpha", "grade": "D", "dataFamily": "Sentiment", "dataCategories": "Sentiment, Unknown / Proprietary", "strategy": "Behavioral Sentiment", "economicConfidence": "Plausible", "region": "USA", "universe": "TOP500", "metrics": { "sharpe": 0.7, "fitness": 0.57, "returns": 8.75, "turnover": 13.38, "drawdown": 13.71, "margin": 13.08 }, "operators": [ "one_side", "quantile", "ts_backfill", "ts_std_dev" ], "review": { "economicLogic": 5.67, "robustness": 6.28, "osStability": 6.2, "simplicity": 9.99, "overfittingRisk": "Low", "regimeDependency": "Low" } }, { "id": "Alpha046", "score": 5.861, "classification": "D — Regime-Specific Alpha", "grade": "D", "dataFamily": "News / Event", "dataCategories": "Classification / Control, News, Options / Volatility, Price / Volume, Sentiment, Unknown / Proprietary", "strategy": "Information Diffusion", "economicConfidence": "Plausible", "region": "USA", "universe": "TOP3000", "metrics": { "sharpe": 0.38, "fitness": null, "returns": 3.19, "turnover": 20.7, "drawdown": null, "margin": null }, "operators": [ "group_rank", "quantile", "trade_when", "ts_arg_max", "ts_backfill", "ts_delta", "ts_mean" ], "review": { "economicLogic": 8.44, "robustness": 7.57, "osStability": 4.58, "simplicity": 4.86, "overfittingRisk": "Low", "regimeDependency": "High" } }, { "id": "Alpha146", "score": 5.861, "classification": "D — Regime-Specific Alpha", "grade": "D", "dataFamily": "Sentiment", "dataCategories": "Classification / Control, Sentiment", "strategy": "Behavioral Sentiment", "economicConfidence": "Plausible", "region": "USA", "universe": "TOP3000", "metrics": { "sharpe": 0.3, "fitness": 0.17, "returns": 4.12, "turnover": 11.05, "drawdown": 12.68, "margin": 7.46 }, "operators": [ "group_neutralize" ], "review": { "economicLogic": 9, "robustness": 6.95, "osStability": 4.21, "simplicity": 10, "overfittingRisk": "Low", "regimeDependency": "Low" } }, { "id": "Alpha042", "score": 5.811, "classification": "D — Regime-Specific Alpha", "grade": "D", "dataFamily": "Sentiment", "dataCategories": "Classification / Control, Sentiment", "strategy": "Behavioral Sentiment", "economicConfidence": "Plausible", "region": "USA", "universe": "TOP3000", "metrics": { "sharpe": 0.3, "fitness": 0.14, "returns": 2.86, "turnover": 8.18, "drawdown": 11.25, "margin": 6.99 }, "operators": [ "group_neutralize" ], "review": { "economicLogic": 9, "robustness": 6.95, "osStability": 3.95, "simplicity": 10, "overfittingRisk": "Low", "regimeDependency": "Low" } }, { "id": "Alpha047", "score": 5.781, "classification": "D — Regime-Specific Alpha", "grade": "D", "dataFamily": "News / Event", "dataCategories": "Classification / Control, News, Options / Volatility, Price / Volume, Sentiment, Unknown / Proprietary", "strategy": "Information Diffusion", "economicConfidence": "Plausible", "region": "USA", "universe": "TOP3000", "metrics": { "sharpe": 0.53, "fitness": 0.29, "returns": 4.48, "turnover": 15.25, "drawdown": 5.94, "margin": 5.88 }, "operators": [ "group_rank", "quantile", "trade_when", "ts_arg_max", "ts_backfill", "ts_delta", "ts_mean" ], "review": { "economicLogic": 8.44, "robustness": 7.57, "osStability": 3.94, "simplicity": 4.86, "overfittingRisk": "Low", "regimeDependency": "High" } }, { "id": "Alpha153", "score": 5.771, "classification": "D — Regime-Specific Alpha", "grade": "D", "dataFamily": "Fundamental", "dataCategories": "Classification / Control, Fundamental, Price / Volume", "strategy": "Quality / Value", "economicConfidence": "Plausible", "region": "USA", "universe": "TOP3000", "metrics": { "sharpe": 0.3, "fitness": 0.12, "returns": 2.13, "turnover": 8.79, "drawdown": 6.43, "margin": 4.85 }, "operators": [ "group_neutralize", "rank", "ts_rank" ], "review": { "economicLogic": 9, "robustness": 7.2, "osStability": 3.25, "simplicity": 9.84, "overfittingRisk": "Low", "regimeDependency": "Low" } }, { "id": "Alpha006", "score": 5.761, "classification": "D — Regime-Specific Alpha", "grade": "D", "dataFamily": "Unknown", "dataCategories": "Classification / Control, Model-derived", "strategy": "Economic interpretation uncertain", "economicConfidence": "Weak / speculative", "region": "GLB", "universe": "MINVOL1M", "metrics": { "sharpe": 0.24, "fitness": 0.05, "returns": 0.59, "turnover": 10.62, "drawdown": 3.83, "margin": 1.11 }, "operators": [ "group_zscore", "ts_zscore", "zscore" ], "review": { "economicLogic": 9, "robustness": 7.08, "osStability": 4.13, "simplicity": 9.4, "overfittingRisk": "Low", "regimeDependency": "Low" } }, { "id": "Alpha044", "score": 5.741, "classification": "D — Regime-Specific Alpha", "grade": "D", "dataFamily": "News / Event", "dataCategories": "Classification / Control, News, Options / Volatility, Price / Volume, Sentiment, Unknown / Proprietary", "strategy": "Information Diffusion", "economicConfidence": "Plausible", "region": "USA", "universe": "TOP3000", "metrics": { "sharpe": 0.44, "fitness": 0.14, "returns": 3.54, "turnover": 34.03, "drawdown": 8.45, "margin": 2.08 }, "operators": [ "group_rank", "quantile", "trade_when", "ts_arg_max", "ts_backfill", "ts_delta", "ts_mean" ], "review": { "economicLogic": 8.44, "robustness": 7.57, "osStability": 5.68, "simplicity": 4.86, "overfittingRisk": "Low", "regimeDependency": "High" } }, { "id": "Alpha160", "score": 5.731, "classification": "D — Regime-Specific Alpha", "grade": "D", "dataFamily": "Options / Volatility", "dataCategories": "Options / Volatility", "strategy": "Volatility Relative Value", "economicConfidence": "Plausible", "region": "USA", "universe": "TOP1000", "metrics": { "sharpe": 0.62, "fitness": 0.22, "returns": 4.55, "turnover": 35.11, "drawdown": 6.95, "margin": 2.59 }, "operators": [ "tanh" ], "review": { "economicLogic": 9, "robustness": 6.95, "osStability": 3.43, "simplicity": 10, "overfittingRisk": "Low", "regimeDependency": "Low" } }, { "id": "Alpha149", "score": 5.671, "classification": "D — Regime-Specific Alpha", "grade": "D", "dataFamily": "Sentiment", "dataCategories": "Classification / Control, Sentiment", "strategy": "Behavioral Sentiment", "economicConfidence": "Plausible", "region": "USA", "universe": "TOP3000", "metrics": { "sharpe": 0.13, "fitness": 0.04, "returns": 1.19, "turnover": 11.82, "drawdown": 10.65, "margin": 2.01 }, "operators": [ "group_neutralize" ], "review": { "economicLogic": 9, "robustness": 6.95, "osStability": 4.69, "simplicity": 10, "overfittingRisk": "Low", "regimeDependency": "Low" } }, { "id": "Alpha154", "score": 5.661, "classification": "D — Regime-Specific Alpha", "grade": "D", "dataFamily": "Price / Volume", "dataCategories": "Classification / Control, Price / Volume, Unknown / Proprietary", "strategy": "Market Behaviour", "economicConfidence": "Weak / speculative", "region": "USA", "universe": "TOP200", "metrics": { "sharpe": 0.34, "fitness": 0.18, "returns": 3.54, "turnover": 2.99, "drawdown": 9.89, "margin": 23.64 }, "operators": [ "group_scale", "rank", "ts_backfill", "ts_corr" ], "review": { "economicLogic": 5.67, "robustness": 6.4, "osStability": 5.33, "simplicity": 9.89, "overfittingRisk": "Low", "regimeDependency": "Low" } }, { "id": "Alpha052", "score": 5.511, "classification": "D — Regime-Specific Alpha", "grade": "D", "dataFamily": "Sentiment", "dataCategories": "Classification / Control, Sentiment", "strategy": "Behavioral Sentiment", "economicConfidence": "Plausible", "region": "USA", "universe": "TOP3000", "metrics": { "sharpe": 0.14, "fitness": 0.08, "returns": 3.81, "turnover": 9.38, "drawdown": 25.8, "margin": 8.13 }, "operators": [ "group_neutralize" ], "review": { "economicLogic": 9, "robustness": 6.95, "osStability": 3.61, "simplicity": 10, "overfittingRisk": "Low", "regimeDependency": "Low" } }, { "id": "Alpha135", "score": 5.51, "classification": "E — Historical / Decayed Alpha", "grade": "E", "dataFamily": "Price / Volume", "dataCategories": "Model-derived, Price / Volume", "strategy": "Market Behaviour", "economicConfidence": "Weak / speculative", "region": "CHN", "universe": "TOP3000", "metrics": { "sharpe": -0.09, "fitness": -0.02, "returns": -0.42, "turnover": 13.84, "drawdown": 8.42, "margin": -0.61 }, "operators": [ "bucket", "group_rank", "power", "ts_mean", "ts_rank", "ts_std_dev" ], "review": { "economicLogic": 9, "robustness": 7.2, "osStability": 5.01, "simplicity": 7.74, "overfittingRisk": "Low", "regimeDependency": "Low" } }, { "id": "Alpha138", "score": 5.461, "classification": "D — Regime-Specific Alpha", "grade": "D", "dataFamily": "Alternative Data", "dataCategories": "Alternative / Proprietary, Classification / Control, Unknown / Proprietary", "strategy": "Alternative Information", "economicConfidence": "Weak / speculative", "region": "USA", "universe": "TOP1000", "metrics": { "sharpe": 0.5, "fitness": 0.25, "returns": 3.11, "turnover": 1.06, "drawdown": 6.36, "margin": 58.66 }, "operators": [ "generalized_rank", "group_neutralize", "one_side", "scale", "ts_mean" ], "review": { "economicLogic": 4.83, "robustness": 6.58, "osStability": 3.35, "simplicity": 9.14, "overfittingRisk": "Low", "regimeDependency": "Low" } }, { "id": "Alpha147", "score": 5.421, "classification": "D — Regime-Specific Alpha", "grade": "D", "dataFamily": "Sentiment", "dataCategories": "Classification / Control, Sentiment", "strategy": "Behavioral Sentiment", "economicConfidence": "Plausible", "region": "USA", "universe": "TOP3000", "metrics": { "sharpe": 0.09, "fitness": 0.03, "returns": 1.29, "turnover": 10.95, "drawdown": 12.26, "margin": 2.36 }, "operators": [ "group_neutralize" ], "review": { "economicLogic": 9, "robustness": 6.95, "osStability": 3.57, "simplicity": 10, "overfittingRisk": "Low", "regimeDependency": "Low" } }, { "id": "Alpha010", "score": 5.411, "classification": "E — Historical / Decayed Alpha", "grade": "E", "dataFamily": "Unknown", "dataCategories": "Classification / Control, Model-derived", "strategy": "Economic interpretation uncertain", "economicConfidence": "Weak / speculative", "region": "GLB", "universe": "MINVOL1M", "metrics": { "sharpe": -0.06, "fitness": null, "returns": -0.14, "turnover": 18.56, "drawdown": null, "margin": null }, "operators": [ "group_rank", "hump", "rank", "scale", "trade_when", "ts_rank", "ts_std_dev", "vector_neut", "zscore" ], "review": { "economicLogic": 9, "robustness": 5.95, "osStability": 3.97, "simplicity": 7.39, "overfittingRisk": "Medium", "regimeDependency": "High" } }, { "id": "Alpha060", "score": 5.381, "classification": "D — Regime-Specific Alpha", "grade": "D", "dataFamily": "Sentiment", "dataCategories": "Sentiment", "strategy": "Behavioral Sentiment", "economicConfidence": "Plausible", "region": "USA", "universe": "TOP3000", "metrics": { "sharpe": 0.25, "fitness": 0.18, "returns": 6.39, "turnover": 3.49, "drawdown": 27.27, "margin": 36.63 }, "operators": [ "rank", "ts_mean", "ts_std_dev" ], "review": { "economicLogic": 9, "robustness": 5.95, "osStability": 1.81, "simplicity": 9.11, "overfittingRisk": "Low", "regimeDependency": "Low" } }, { "id": "Alpha026", "score": 5.261, "classification": "D — Regime-Specific Alpha", "grade": "D", "dataFamily": "Unknown", "dataCategories": "Classification / Control, Unknown / Proprietary", "strategy": "Economic interpretation uncertain", "economicConfidence": "Weak / speculative", "region": "GLB", "universe": "MINVOL1M", "metrics": { "sharpe": 0.79, "fitness": null, "returns": 2.15, "turnover": 1.89, "drawdown": null, "margin": null }, "operators": [ "group_rank", "group_zscore", "rank", "ts_rank", "ts_zscore", "zscore" ], "review": { "economicLogic": 4, "robustness": 5.75, "osStability": 4.93, "simplicity": 8.43, "overfittingRisk": "Low", "regimeDependency": "Low" } }, { "id": "Alpha134", "score": 5.251, "classification": "E — Historical / Decayed Alpha", "grade": "E", "dataFamily": "Price / Volume", "dataCategories": "Model-derived, Price / Volume", "strategy": "Market Behaviour", "economicConfidence": "Weak / speculative", "region": "CHN", "universe": "TOP3000", "metrics": { "sharpe": -0.24, "fitness": -0.06, "returns": -1.14, "turnover": 16.82, "drawdown": 9.24, "margin": -1.36 }, "operators": [ "bucket", "group_rank", "power", "ts_mean", "ts_rank", "ts_std_dev" ], "review": { "economicLogic": 9, "robustness": 7.2, "osStability": 4.58, "simplicity": 7.75, "overfittingRisk": "Low", "regimeDependency": "Low" } }, { "id": "Alpha061", "score": 5.241, "classification": "D — Regime-Specific Alpha", "grade": "D", "dataFamily": "Sentiment", "dataCategories": "Sentiment", "strategy": "Behavioral Sentiment", "economicConfidence": "Plausible", "region": "USA", "universe": "TOP3000", "metrics": { "sharpe": 0.37, "fitness": 0.29, "returns": 8.95, "turnover": 14.4, "drawdown": 32.7, "margin": 12.44 }, "operators": [ "rank", "ts_mean", "ts_std_dev" ], "review": { "economicLogic": 9, "robustness": 5.95, "osStability": 2.15, "simplicity": 9.11, "overfittingRisk": "Low", "regimeDependency": "Low" } }, { "id": "Alpha152", "score": 5.241, "classification": "D — Regime-Specific Alpha", "grade": "D", "dataFamily": "Fundamental", "dataCategories": "Fundamental, Unknown / Proprietary", "strategy": "Quality / Value", "economicConfidence": "Plausible", "region": "CHN", "universe": "TOP3000", "metrics": { "sharpe": 0.01, "fitness": 0, "returns": 0.08, "turnover": 4.46, "drawdown": 8.87, "margin": 0.36 }, "operators": [ "quantile", "rank", "ts_rank" ], "review": { "economicLogic": 6.5, "robustness": 6.35, "osStability": 5.38, "simplicity": 10, "overfittingRisk": "Low", "regimeDependency": "Low" } }, { "id": "Alpha018", "score": 5.221, "classification": "E — Historical / Decayed Alpha", "grade": "E", "dataFamily": "Unknown", "dataCategories": "Classification / Control, Model-derived", "strategy": "Economic interpretation uncertain", "economicConfidence": "Weak / speculative", "region": "GLB", "universe": "MINVOL1M", "metrics": { "sharpe": -0.26, "fitness": -0.06, "returns": -0.65, "turnover": 7.42, "drawdown": 3.97, "margin": -1.76 }, "operators": [ "group_zscore", "ts_rank", "ts_zscore", "zscore" ], "review": { "economicLogic": 9, "robustness": 6.95, "osStability": 2.92, "simplicity": 9.39, "overfittingRisk": "Low", "regimeDependency": "Low" } }, { "id": "Alpha144", "score": 5.181, "classification": "E — Historical / Decayed Alpha", "grade": "E", "dataFamily": "Price / Volume", "dataCategories": "Classification / Control, Model-derived, Price / Volume", "strategy": "Market Behaviour", "economicConfidence": "Weak / speculative", "region": "CHN", "universe": "TOP3000", "metrics": { "sharpe": -0.13, "fitness": -0.03, "returns": -0.54, "turnover": 2.5, "drawdown": 5.88, "margin": -4.32 }, "operators": [ "abs", "group_neutralize", "group_rank", "rank", "trade_when", "ts_mean", "ts_std_dev" ], "review": { "economicLogic": 9, "robustness": 7.45, "osStability": 2.6, "simplicity": 6.69, "overfittingRisk": "Low", "regimeDependency": "High" } }, { "id": "Alpha159", "score": 5.111, "classification": "E — Historical / Decayed Alpha", "grade": "E", "dataFamily": "Fundamental", "dataCategories": "Fundamental", "strategy": "Quality / Value", "economicConfidence": "Plausible", "region": "USA", "universe": "TOP3000", "metrics": { "sharpe": -0.11, "fitness": -0.02, "returns": -0.52, "turnover": 3.46, "drawdown": 4.45, "margin": -3.02 }, "operators": [ "ts_rank" ], "review": { "economicLogic": 9, "robustness": 6.83, "osStability": 1.68, "simplicity": 10, "overfittingRisk": "Low", "regimeDependency": "Low" } }, { "id": "Alpha156", "score": 5.061, "classification": "D — Regime-Specific Alpha", "grade": "D", "dataFamily": "Sentiment", "dataCategories": "Classification / Control, Price / Volume, Sentiment", "strategy": "Behavioral Sentiment", "economicConfidence": "Plausible", "region": "USA", "universe": "TOP3000", "metrics": { "sharpe": 0.12, "fitness": 0.04, "returns": 3.74, "turnover": 32.52, "drawdown": 29.82, "margin": 2.3 }, "operators": [ "group_neutralize", "group_rank", "trade_when", "ts_delta", "ts_mean" ], "review": { "economicLogic": 9, "robustness": 7.45, "osStability": 3.34, "simplicity": 6.89, "overfittingRisk": "Low", "regimeDependency": "High" } }, { "id": "Alpha133", "score": 5.041, "classification": "E — Historical / Decayed Alpha", "grade": "E", "dataFamily": "Price / Volume", "dataCategories": "Model-derived, Price / Volume", "strategy": "Market Behaviour", "economicConfidence": "Weak / speculative", "region": "CHN", "universe": "TOP3000", "metrics": { "sharpe": -0.38, "fitness": -0.11, "returns": -1.78, "turnover": 20.87, "drawdown": 10.14, "margin": -1.71 }, "operators": [ "bucket", "group_rank", "power", "ts_mean", "ts_rank", "ts_std_dev" ], "review": { "economicLogic": 9, "robustness": 7.2, "osStability": 4.26, "simplicity": 7.75, "overfittingRisk": "Low", "regimeDependency": "Low" } }, { "id": "Alpha163", "score": 5.041, "classification": "D — Regime-Specific Alpha", "grade": "D", "dataFamily": "Sentiment", "dataCategories": "Classification / Control, Sentiment", "strategy": "Behavioral Sentiment", "economicConfidence": "Plausible", "region": "USA", "universe": "TOP3000", "metrics": { "sharpe": 0.28, "fitness": 0.08, "returns": 4.14, "turnover": 47.8, "drawdown": 15.92, "margin": 1.73 }, "operators": [ "group_neutralize", "rank", "ts_std_dev" ], "review": { "economicLogic": 9, "robustness": 6.95, "osStability": 2.22, "simplicity": 10, "overfittingRisk": "Low", "regimeDependency": "Low" } }, { "id": "Alpha165", "score": 5.041, "classification": "D — Regime-Specific Alpha", "grade": "D", "dataFamily": "Price / Volume", "dataCategories": "Price / Volume, Unknown / Proprietary", "strategy": "Market Behaviour", "economicConfidence": "Weak / speculative", "region": "USA", "universe": "TOP3000", "metrics": { "sharpe": 0.08, "fitness": 0.02, "returns": 0.45, "turnover": 2.46, "drawdown": 4.26, "margin": 3.68 }, "operators": [ "rank", "step", "ts_regression" ], "review": { "economicLogic": 5.67, "robustness": 6.28, "osStability": 4, "simplicity": 9.81, "overfittingRisk": "Low", "regimeDependency": "Low" } }, { "id": "Alpha030", "score": 4.871, "classification": "E — Historical / Decayed Alpha", "grade": "E", "dataFamily": "Unknown", "dataCategories": "Classification / Control, Model-derived", "strategy": "Economic interpretation uncertain", "economicConfidence": "Weak / speculative", "region": "GLB", "universe": "MINVOL1M", "metrics": { "sharpe": -0.29, "fitness": -0.04, "returns": -0.38, "turnover": 16.7, "drawdown": 1.95, "margin": -0.45 }, "operators": [ "group_zscore", "trade_when", "ts_backfill", "ts_rank", "ts_std_dev", "ts_zscore", "zscore" ], "review": { "economicLogic": 9, "robustness": 6.95, "osStability": 1.67, "simplicity": 8.02, "overfittingRisk": "Low", "regimeDependency": "High" } }, { "id": "Alpha041", "score": 4.851, "classification": "E — Historical / Decayed Alpha", "grade": "E", "dataFamily": "Sentiment", "dataCategories": "Classification / Control, Sentiment", "strategy": "Behavioral Sentiment", "economicConfidence": "Plausible", "region": "USA", "universe": "TOP3000", "metrics": { "sharpe": -0.11, "fitness": -0.03, "returns": -1.15, "turnover": 9.17, "drawdown": 14.23, "margin": -2.5 }, "operators": [ "group_neutralize" ], "review": { "economicLogic": 9, "robustness": 6.95, "osStability": 2.05, "simplicity": 10, "overfittingRisk": "Low", "regimeDependency": "Low" } }, { "id": "Alpha148", "score": 4.831, "classification": "E — Historical / Decayed Alpha", "grade": "E", "dataFamily": "Sentiment", "dataCategories": "Classification / Control, Sentiment", "strategy": "Behavioral Sentiment", "economicConfidence": "Plausible", "region": "USA", "universe": "TOP3000", "metrics": { "sharpe": -0.18, "fitness": -0.07, "returns": -1.66, "turnover": 11.15, "drawdown": 11.4, "margin": -2.98 }, "operators": [ "group_neutralize" ], "review": { "economicLogic": 9, "robustness": 6.95, "osStability": 2.17, "simplicity": 10, "overfittingRisk": "Low", "regimeDependency": "Low" } }, { "id": "Alpha141", "score": 4.811, "classification": "E — Historical / Decayed Alpha", "grade": "E", "dataFamily": "Price / Volume", "dataCategories": "Classification / Control, Price / Volume", "strategy": "Market Behaviour", "economicConfidence": "Weak / speculative", "region": "CHN", "universe": "TOP3000", "metrics": { "sharpe": -0.23, "fitness": -0.07, "returns": -1.19, "turnover": 10.89, "drawdown": 6.42, "margin": -2.19 }, "operators": [ "abs", "group_rank", "rank", "trade_when", "ts_mean", "ts_std_dev" ], "review": { "economicLogic": 9, "robustness": 7.33, "osStability": 1.38, "simplicity": 8.5, "overfittingRisk": "Low", "regimeDependency": "High" } }, { "id": "Alpha136", "score": 4.741, "classification": "E — Historical / Decayed Alpha", "grade": "E", "dataFamily": "Unknown", "dataCategories": "Model-derived", "strategy": "Economic interpretation uncertain", "economicConfidence": "Weak / speculative", "region": "CHN", "universe": "TOP3000", "metrics": { "sharpe": -0.93, "fitness": -0.53, "returns": -4.05, "turnover": 3.7, "drawdown": 11.91, "margin": -21.92 }, "operators": [ "bucket", "group_rank", "ts_rank" ], "review": { "economicLogic": 9, "robustness": 6.95, "osStability": 2.49, "simplicity": 9.51, "overfittingRisk": "Low", "regimeDependency": "Low" } }, { "id": "Alpha101", "score": 4.731, "classification": "E — Historical / Decayed Alpha", "grade": "E", "dataFamily": "Fundamental", "dataCategories": "Classification / Control, Fundamental, Price / Volume", "strategy": "Quality / Value", "economicConfidence": "Plausible", "region": "USA", "universe": "TOP3000", "metrics": { "sharpe": -0.12, "fitness": -0.04, "returns": -1.33, "turnover": 7.73, "drawdown": 12.16, "margin": -3.44 }, "operators": [ "group_neutralize", "rank", "trade_when", "ts_rank" ], "review": { "economicLogic": 9, "robustness": 7.33, "osStability": 1.07, "simplicity": 9.47, "overfittingRisk": "Low", "regimeDependency": "High" } }, { "id": "Alpha062", "score": 4.661, "classification": "E — Historical / Decayed Alpha", "grade": "E", "dataFamily": "News / Event", "dataCategories": "Classification / Control, News, Options / Volatility, Sentiment, Unknown / Proprietary", "strategy": "Information Diffusion", "economicConfidence": "Plausible", "region": "USA", "universe": "TOP3000", "metrics": { "sharpe": -0.05, "fitness": -0.01, "returns": -0.33, "turnover": 28.16, "drawdown": 5.38, "margin": -0.23 }, "operators": [ "group_neutralize", "quantile", "rank", "ts_arg_max", "ts_backfill" ], "review": { "economicLogic": 8, "robustness": 7.21, "osStability": 1.7, "simplicity": 7.92, "overfittingRisk": "Low", "regimeDependency": "Low" } }, { "id": "Alpha137", "score": 4.661, "classification": "E — Historical / Decayed Alpha", "grade": "E", "dataFamily": "Unknown", "dataCategories": "Model-derived", "strategy": "Economic interpretation uncertain", "economicConfidence": "Weak / speculative", "region": "CHN", "universe": "TOP3000", "metrics": { "sharpe": -0.97, "fitness": -0.57, "returns": -4.28, "turnover": 5.84, "drawdown": 12.03, "margin": -14.64 }, "operators": [ "bucket", "group_rank", "ts_rank" ], "review": { "economicLogic": 9, "robustness": 6.95, "osStability": 2.27, "simplicity": 9.51, "overfittingRisk": "Low", "regimeDependency": "Low" } }, { "id": "Alpha032", "score": 4.651, "classification": "D — Regime-Specific Alpha", "grade": "D", "dataFamily": "Unknown", "dataCategories": "Classification / Control, Unknown / Proprietary", "strategy": "Economic interpretation uncertain", "economicConfidence": "Weak / speculative", "region": "GLB", "universe": "MINVOL1M", "metrics": { "sharpe": 0.19, "fitness": 0.03, "returns": 0.61, "turnover": 22.68, "drawdown": 3.77, "margin": 0.54 }, "operators": [ "group_zscore", "ts_backfill", "ts_rank", "ts_std_dev", "ts_zscore", "vec_avg", "zscore" ], "review": { "economicLogic": 4, "robustness": 6.5, "osStability": 5.36, "simplicity": 7.79, "overfittingRisk": "Low", "regimeDependency": "Low" } }, { "id": "Alpha025", "score": 4.631, "classification": "D — Regime-Specific Alpha", "grade": "D", "dataFamily": "Unknown", "dataCategories": "Classification / Control, Unknown / Proprietary", "strategy": "Economic interpretation uncertain", "economicConfidence": "Weak / speculative", "region": "GLB", "universe": "MINVOL1M", "metrics": { "sharpe": 0.43, "fitness": 0.09, "returns": 0.6, "turnover": 7.5, "drawdown": 2.59, "margin": 1.61 }, "operators": [ "group_rank", "group_zscore", "rank", "ts_rank", "ts_zscore", "zscore" ], "review": { "economicLogic": 4, "robustness": 5.88, "osStability": 4.02, "simplicity": 8.05, "overfittingRisk": "Low", "regimeDependency": "Low" } }, { "id": "Alpha129", "score": 4.631, "classification": "E — Historical / Decayed Alpha", "grade": "E", "dataFamily": "Price / Volume", "dataCategories": "Classification / Control, Model-derived, Price / Volume", "strategy": "Momentum or Reversal", "economicConfidence": "Weak / speculative", "region": "CHN", "universe": "TOP3000", "metrics": { "sharpe": -1.14, "fitness": -0.66, "returns": -4.13, "turnover": 10.63, "drawdown": 10.47, "margin": -7.77 }, "operators": [ "abs", "group_normalize", "group_rank", "rank", "trade_when", "ts_delta", "ts_std_dev" ], "review": { "economicLogic": 9, "robustness": 7.33, "osStability": 2.25, "simplicity": 8.27, "overfittingRisk": "Low", "regimeDependency": "High" } }, { "id": "Alpha103", "score": 4.611, "classification": "E — Historical / Decayed Alpha", "grade": "E", "dataFamily": "Fundamental", "dataCategories": "Classification / Control, Fundamental, Price / Volume", "strategy": "Quality / Value", "economicConfidence": "Plausible", "region": "USA", "universe": "TOP3000", "metrics": { "sharpe": -0.23, "fitness": -0.11, "returns": -2.87, "turnover": 3.25, "drawdown": 12.85, "margin": -17.66 }, "operators": [ "group_neutralize", "rank", "trade_when", "ts_rank" ], "review": { "economicLogic": 9, "robustness": 7.33, "osStability": 0.82, "simplicity": 9.49, "overfittingRisk": "Low", "regimeDependency": "High" } }, { "id": "Alpha104", "score": 4.611, "classification": "E — Historical / Decayed Alpha", "grade": "E", "dataFamily": "Fundamental", "dataCategories": "Classification / Control, Fundamental, Price / Volume", "strategy": "Quality / Value", "economicConfidence": "Plausible", "region": "USA", "universe": "TOP3000", "metrics": { "sharpe": -0.21, "fitness": -0.1, "returns": -2.62, "turnover": 2.65, "drawdown": 13.92, "margin": -19.74 }, "operators": [ "group_neutralize", "rank", "trade_when", "ts_rank" ], "review": { "economicLogic": 9, "robustness": 7.33, "osStability": 0.81, "simplicity": 9.45, "overfittingRisk": "Low", "regimeDependency": "High" } }, { "id": "Alpha031", "score": 4.581, "classification": "D — Regime-Specific Alpha", "grade": "D", "dataFamily": "Unknown", "dataCategories": "Classification / Control, Model-derived, Unknown / Proprietary", "strategy": "Economic interpretation uncertain", "economicConfidence": "Weak / speculative", "region": "GLB", "universe": "MINVOL1M", "metrics": { "sharpe": 0.04, "fitness": 0, "returns": 0.06, "turnover": 11.48, "drawdown": 1.9, "margin": 0.11 }, "operators": [ "group_zscore", "ts_backfill", "ts_rank", "ts_zscore", "vec_avg", "zscore" ], "review": { "economicLogic": 4.56, "robustness": 6.63, "osStability": 3.66, "simplicity": 8.23, "overfittingRisk": "Low", "regimeDependency": "Low" } }, { "id": "Alpha102", "score": 4.581, "classification": "E — Historical / Decayed Alpha", "grade": "E", "dataFamily": "Fundamental", "dataCategories": "Classification / Control, Fundamental, Price / Volume", "strategy": "Quality / Value", "economicConfidence": "Plausible", "region": "USA", "universe": "TOP3000", "metrics": { "sharpe": -0.24, "fitness": -0.12, "returns": -2.88, "turnover": 4.21, "drawdown": 12.56, "margin": -13.68 }, "operators": [ "group_neutralize", "rank", "trade_when", "ts_rank" ], "review": { "economicLogic": 9, "robustness": 7.33, "osStability": 0.8, "simplicity": 9.49, "overfittingRisk": "Low", "regimeDependency": "High" } }, { "id": "Alpha122", "score": 4.571, "classification": "E — Historical / Decayed Alpha", "grade": "E", "dataFamily": "Sentiment", "dataCategories": "Classification / Control, Sentiment", "strategy": "Behavioral Sentiment", "economicConfidence": "Plausible", "region": "USA", "universe": "TOP3000", "metrics": { "sharpe": -0.2, "fitness": -0.1, "returns": -3.17, "turnover": 7.36, "drawdown": 20.19, "margin": -8.61 }, "operators": [ "group_neutralize" ], "review": { "economicLogic": 9, "robustness": 5.95, "osStability": 2.55, "simplicity": 10, "overfittingRisk": "Medium", "regimeDependency": "Low" } }, { "id": "Alpha024", "score": 4.51, "classification": "F — Weak / Likely Overfit", "grade": "F", "dataFamily": "Unknown", "dataCategories": "Classification / Control, Unknown / Proprietary", "strategy": "Economic interpretation uncertain", "economicConfidence": "Weak / speculative", "region": "GLB", "universe": "MINVOL1M", "metrics": { "sharpe": 0.19, "fitness": 0.04, "returns": 0.6, "turnover": 11.65, "drawdown": 7.64, "margin": 1.04 }, "operators": [ "group_rank", "group_zscore", "rank", "ts_rank", "ts_zscore", "zscore" ], "review": { "economicLogic": 4, "robustness": 5.75, "osStability": 5.05, "simplicity": 8.7, "overfittingRisk": "Low", "regimeDependency": "Low" } }, { "id": "Alpha121", "score": 4.481, "classification": "E — Historical / Decayed Alpha", "grade": "E", "dataFamily": "Sentiment", "dataCategories": "Classification / Control, Sentiment", "strategy": "Behavioral Sentiment", "economicConfidence": "Plausible", "region": "USA", "universe": "TOP3000", "metrics": { "sharpe": -0.28, "fitness": -0.12, "returns": -2.39, "turnover": 8.66, "drawdown": 12.22, "margin": -5.52 }, "operators": [ "group_neutralize" ], "review": { "economicLogic": 9, "robustness": 6.95, "osStability": 0.79, "simplicity": 10, "overfittingRisk": "Low", "regimeDependency": "Low" } }, { "id": "Alpha040", "score": 4.461, "classification": "E — Historical / Decayed Alpha", "grade": "E", "dataFamily": "Sentiment", "dataCategories": "Classification / Control, Sentiment", "strategy": "Behavioral Sentiment", "economicConfidence": "Plausible", "region": "USA", "universe": "TOP3000", "metrics": { "sharpe": -0.33, "fitness": -0.17, "returns": -3.46, "turnover": 10.01, "drawdown": 18.01, "margin": -6.91 }, "operators": [ "group_neutralize" ], "review": { "economicLogic": 9, "robustness": 6.95, "osStability": 1.46, "simplicity": 10, "overfittingRisk": "Low", "regimeDependency": "Low" } }, { "id": "Alpha130", "score": 4.451, "classification": "E — Historical / Decayed Alpha", "grade": "E", "dataFamily": "Price / Volume", "dataCategories": "Classification / Control, Model-derived, Price / Volume", "strategy": "Momentum or Reversal", "economicConfidence": "Weak / speculative", "region": "CHN", "universe": "TOP3000", "metrics": { "sharpe": -0.91, "fitness": -0.47, "returns": -3.35, "turnover": 9.35, "drawdown": 8.34, "margin": -7.15 }, "operators": [ "abs", "group_normalize", "group_rank", "rank", "trade_when", "ts_delta", "ts_std_dev" ], "review": { "economicLogic": 9, "robustness": 7.33, "osStability": 0.79, "simplicity": 8.28, "overfittingRisk": "Low", "regimeDependency": "High" } }, { "id": "Alpha143", "score": 4.451, "classification": "E — Historical / Decayed Alpha", "grade": "E", "dataFamily": "Price / Volume", "dataCategories": "Classification / Control, Price / Volume", "strategy": "Market Behaviour", "economicConfidence": "Weak / speculative", "region": "CHN", "universe": "TOP3000", "metrics": { "sharpe": -0.71, "fitness": -0.33, "returns": -3.32, "turnover": 15.06, "drawdown": 10.32, "margin": -4.41 }, "operators": [ "abs", "group_rank", "rank", "trade_when", "ts_mean", "ts_std_dev" ], "review": { "economicLogic": 9, "robustness": 7.33, "osStability": 1.28, "simplicity": 8.51, "overfittingRisk": "Low", "regimeDependency": "High" } }, { "id": "Alpha029", "score": 4.421, "classification": "E — Historical / Decayed Alpha", "grade": "E", "dataFamily": "Unknown", "dataCategories": "Classification / Control, Model-derived", "strategy": "Economic interpretation uncertain", "economicConfidence": "Weak / speculative", "region": "GLB", "universe": "MINVOL1M", "metrics": { "sharpe": -1.12, "fitness": -0.38, "returns": -1.97, "turnover": 17.24, "drawdown": 6.36, "margin": -2.28 }, "operators": [ "group_zscore", "ts_backfill", "ts_rank", "ts_std_dev", "ts_zscore", "zscore" ], "review": { "economicLogic": 9, "robustness": 6.95, "osStability": 0.93, "simplicity": 8.8, "overfittingRisk": "Low", "regimeDependency": "Low" } }, { "id": "Alpha142", "score": 4.41, "classification": "E — Historical / Decayed Alpha", "grade": "E", "dataFamily": "Price / Volume", "dataCategories": "Classification / Control, Price / Volume", "strategy": "Market Behaviour", "economicConfidence": "Weak / speculative", "region": "CHN", "universe": "TOP3000", "metrics": { "sharpe": -0.8, "fitness": -0.35, "returns": -3.73, "turnover": 19.19, "drawdown": 10.35, "margin": -3.88 }, "operators": [ "abs", "group_rank", "rank", "trade_when", "ts_mean", "ts_std_dev" ], "review": { "economicLogic": 9, "robustness": 7.33, "osStability": 1.25, "simplicity": 8.52, "overfittingRisk": "Low", "regimeDependency": "High" } }, { "id": "Alpha034", "score": 4.341, "classification": "D — Regime-Specific Alpha", "grade": "D", "dataFamily": "Unknown", "dataCategories": "Classification / Control, Unknown / Proprietary", "strategy": "Economic interpretation uncertain", "economicConfidence": "Weak / speculative", "region": "GLB", "universe": "MINVOL1M", "metrics": { "sharpe": 0.56, "fitness": 0.13, "returns": 1.32, "turnover": 23.08, "drawdown": 2.83, "margin": 1.14 }, "operators": [ "bucket", "group_neutralize", "group_rank", "rank", "trade_when", "ts_rank", "ts_std_dev", "vec_avg", "vector_neut", "winsorize" ], "review": { "economicLogic": 4, "robustness": 4.88, "osStability": 4.84, "simplicity": 5.22, "overfittingRisk": "High", "regimeDependency": "High" } }, { "id": "Alpha120", "score": 4.31, "classification": "E — Historical / Decayed Alpha", "grade": "E", "dataFamily": "Sentiment", "dataCategories": "Classification / Control, Sentiment", "strategy": "Behavioral Sentiment", "economicConfidence": "Plausible", "region": "USA", "universe": "TOP3000", "metrics": { "sharpe": -0.39, "fitness": -0.21, "returns": -3.55, "turnover": 10.78, "drawdown": 13.8, "margin": -6.59 }, "operators": [ "group_neutralize" ], "review": { "economicLogic": 9, "robustness": 6.95, "osStability": 0.57, "simplicity": 10, "overfittingRisk": "Low", "regimeDependency": "Low" } }, { "id": "Alpha131", "score": 4.221, "classification": "E — Historical / Decayed Alpha", "grade": "E", "dataFamily": "Price / Volume", "dataCategories": "Classification / Control, Model-derived, Price / Volume", "strategy": "Momentum or Reversal", "economicConfidence": "Weak / speculative", "region": "CHN", "universe": "TOP3000", "metrics": { "sharpe": -1.53, "fitness": -0.91, "returns": -4.79, "turnover": 13.5, "drawdown": 11.05, "margin": -7.1 }, "operators": [ "abs", "group_normalize", "group_rank", "rank", "trade_when", "ts_delta", "ts_std_dev" ], "review": { "economicLogic": 9, "robustness": 7.33, "osStability": 0.53, "simplicity": 8.28, "overfittingRisk": "Low", "regimeDependency": "High" } }, { "id": "Alpha140", "score": 4.211, "classification": "F — Weak / Likely Overfit", "grade": "F", "dataFamily": "Alternative Data", "dataCategories": "Alternative / Proprietary, Unknown / Proprietary", "strategy": "Alternative Information", "economicConfidence": "Weak / speculative", "region": "USA", "universe": "TOP1000", "metrics": { "sharpe": -0.04, "fitness": -0.01, "returns": -0.22, "turnover": 1.04, "drawdown": 8.51, "margin": -4.29 }, "operators": [ "generalized_rank", "one_side", "scale", "ts_mean" ], "review": { "economicLogic": 4.83, "robustness": 6.45, "osStability": 2.04, "simplicity": 9.68, "overfittingRisk": "Low", "regimeDependency": "Low" } }, { "id": "Alpha139", "score": 4.171, "classification": "F — Weak / Likely Overfit", "grade": "F", "dataFamily": "Alternative Data", "dataCategories": "Alternative / Proprietary, Classification / Control, Unknown / Proprietary", "strategy": "Alternative Information", "economicConfidence": "Weak / speculative", "region": "USA", "universe": "TOP1000", "metrics": { "sharpe": -0.1, "fitness": -0.02, "returns": -0.54, "turnover": 0.95, "drawdown": 8.6, "margin": -11.44 }, "operators": [ "generalized_rank", "group_neutralize", "one_side", "scale", "ts_mean" ], "review": { "economicLogic": 4.83, "robustness": 6.58, "osStability": 2.2, "simplicity": 9.11, "overfittingRisk": "Low", "regimeDependency": "Low" } }, { "id": "Alpha161", "score": 4.131, "classification": "E — Historical / Decayed Alpha", "grade": "E", "dataFamily": "News / Event", "dataCategories": "Classification / Control, News, Price / Volume", "strategy": "Information Diffusion", "economicConfidence": "Plausible", "region": "USA", "universe": "TOP500", "metrics": { "sharpe": -3.07, "fitness": -5.07, "returns": -36.11, "turnover": 13.25, "drawdown": 14.68, "margin": -54.51 }, "operators": [ "group_neutralize", "rank", "ts_backfill", "ts_std_dev", "vec_avg" ], "review": { "economicLogic": 9, "robustness": 7.2, "osStability": 0.33, "simplicity": 9.72, "overfittingRisk": "Low", "regimeDependency": "Low" } }, { "id": "Alpha064", "score": 4.041, "classification": "E — Historical / Decayed Alpha", "grade": "E", "dataFamily": "News / Event", "dataCategories": "News", "strategy": "Information Diffusion", "economicConfidence": "Plausible", "region": "USA", "universe": "TOP3000", "metrics": { "sharpe": -0.57, "fitness": -0.15, "returns": -4.24, "turnover": 57.46, "drawdown": 16.5, "margin": -1.48 }, "operators": [ "quantile", "ts_arg_max", "ts_backfill" ], "review": { "economicLogic": 9, "robustness": 6.83, "osStability": 0.62, "simplicity": 10, "overfittingRisk": "Low", "regimeDependency": "Low" } }, { "id": "Alpha157", "score": 4.031, "classification": "E — Historical / Decayed Alpha", "grade": "E", "dataFamily": "Sentiment", "dataCategories": "Classification / Control, Price / Volume, Sentiment, Unknown / Proprietary", "strategy": "Behavioral Sentiment", "economicConfidence": "Plausible", "region": "USA", "universe": "TOP1000", "metrics": { "sharpe": -0.1, "fitness": -0.03, "returns": -2.84, "turnover": 38.46, "drawdown": 23.65, "margin": -1.48 }, "operators": [ "bucket", "group_neutralize", "rank", "step", "ts_regression" ], "review": { "economicLogic": 7.33, "robustness": 6.8, "osStability": 1.9, "simplicity": 8.85, "overfittingRisk": "Low", "regimeDependency": "Low" } }, { "id": "Alpha035", "score": 3.931, "classification": "F — Weak / Likely Overfit", "grade": "F", "dataFamily": "Unknown", "dataCategories": "Unknown / Proprietary", "strategy": "Economic interpretation uncertain", "economicConfidence": "Weak / speculative", "region": "GLB", "universe": "MINVOL1M", "metrics": { "sharpe": -0.07, "fitness": -0.01, "returns": -0.13, "turnover": 9.95, "drawdown": 3.09, "margin": -0.25 }, "operators": [ "rank", "trade_when", "ts_rank", "ts_std_dev", "ts_zscore", "vector_neut", "zscore" ], "review": { "economicLogic": 4, "robustness": 5.62, "osStability": 2.55, "simplicity": 7.3, "overfittingRisk": "Low", "regimeDependency": "High" } }, { "id": "Alpha166", "score": 3.891, "classification": "E — Historical / Decayed Alpha", "grade": "E", "dataFamily": "Price / Volume", "dataCategories": "Price / Volume", "strategy": "Market Behaviour", "economicConfidence": "Weak / speculative", "region": "USA", "universe": "TOP500", "metrics": { "sharpe": -0.12, "fitness": -0.05, "returns": -6.89, "turnover": 41.03, "drawdown": 46.98, "margin": -3.36 }, "operators": [ "and", "log", "rank", "trade_when", "ts_av_diff", "ts_delay", "ts_mean" ], "review": { "economicLogic": 9, "robustness": 6.33, "osStability": 1.6, "simplicity": 4.69, "overfittingRisk": "Low", "regimeDependency": "High" } }, { "id": "Alpha012", "score": 3.881, "classification": "F — Weak / Likely Overfit", "grade": "F", "dataFamily": "Unknown", "dataCategories": "Classification / Control, Unknown / Proprietary", "strategy": "Economic interpretation uncertain", "economicConfidence": "Weak / speculative", "region": "GLB", "universe": "MINVOL1M", "metrics": { "sharpe": -0.16, "fitness": -0.03, "returns": -0.32, "turnover": 12.21, "drawdown": 2.29, "margin": -0.53 }, "operators": [ "group_neutralize", "group_zscore", "if_else", "scale", "ts_zscore", "zscore" ], "review": { "economicLogic": 4, "robustness": 5.88, "osStability": 2.09, "simplicity": 8.64, "overfittingRisk": "Low", "regimeDependency": "High" } }, { "id": "Alpha027", "score": 3.781, "classification": "F — Weak / Likely Overfit", "grade": "F", "dataFamily": "Unknown", "dataCategories": "Classification / Control, Unknown / Proprietary", "strategy": "Economic interpretation uncertain", "economicConfidence": "Weak / speculative", "region": "GLB", "universe": "MINVOL1M", "metrics": { "sharpe": -0.24, "fitness": -0.04, "returns": -0.37, "turnover": 7.18, "drawdown": 3.09, "margin": -1.02 }, "operators": [ "group_neutralize", "group_zscore", "ts_rank", "ts_zscore", "zscore" ], "review": { "economicLogic": 4, "robustness": 5.88, "osStability": 1.62, "simplicity": 8.43, "overfittingRisk": "Low", "regimeDependency": "Low" } }, { "id": "Alpha155", "score": 3.351, "classification": "E — Historical / Decayed Alpha", "grade": "E", "dataFamily": "Sentiment", "dataCategories": "Classification / Control, Sentiment, Unknown / Proprietary", "strategy": "Behavioral Sentiment", "economicConfidence": "Plausible", "region": "USA", "universe": "TOP3000", "metrics": { "sharpe": -0.24, "fitness": -0.12, "returns": -8.12, "turnover": 34.81, "drawdown": 36.09, "margin": -4.67 }, "operators": [ "group_neutralize", "step", "ts_regression" ], "review": { "economicLogic": 6.5, "robustness": 6.47, "osStability": 0.34, "simplicity": 9.67, "overfittingRisk": "Low", "regimeDependency": "Low" } }, { "id": "Alpha158", "score": 3.281, "classification": "E — Historical / Decayed Alpha", "grade": "E", "dataFamily": "Price / Volume", "dataCategories": "Classification / Control, Price / Volume, Unknown / Proprietary", "strategy": "Market Behaviour", "economicConfidence": "Weak / speculative", "region": "USA", "universe": "TOP3000", "metrics": { "sharpe": -1, "fitness": -0.4, "returns": -8.96, "turnover": 56.81, "drawdown": 12, "margin": -3.16 }, "operators": [ "group_neutralize", "vector_neut", "winsorize" ], "review": { "economicLogic": 5.67, "robustness": 6.4, "osStability": 0.52, "simplicity": 9.81, "overfittingRisk": "Low", "regimeDependency": "Low" } } ] }