← 研踪 PaperTrailarXiv:2611.07751 · v1
Adjustment-Anchor Dependence in Formulaic Alpha Languages: A Certified Grammar and a Re-Anchoring Audit
首次提交 2026-11-05 17:56
版本更新 2026-11-05 17:56
雷达观测 2026-11-06 11:06
摘要
Several public scripts for formulaic alpha mining store prices adjusted to the snapshot's last day, so a past day's stored price changes with every later split or dividend and formulas that do not cancel the adjustment factor depend on future corporate actions. We formalise a change of adjustment anchor as a per-stock group action and give a two-sorted type system that soundly certifies anchor invariance from a formula's syntax, under a declared field-adjustment contract and idealised operator semantics; its second sort admits log-returns, and a linear-time checker plugs into any miner. In a re-anchoring audit on Chinese A-shares, pools that five published methods mined in our benchmark pipeline score a mean information coefficient (IC) 0.005 higher on the stored representation than on a cutoff-anchored one, about 14% of their IC. Certified pools move by 0.001 or less, and pools mined on past-anchored data stay sensitive. On the Chinese development folds, certification shows no detectable predictive cost or gain at the design's resolution, about 0.017 IC across cells on pool ICs of 0.03-0.04. We also trace an erroneous index-membership entry to public Qlib data snapshots and show that re-mining exposes the effect of such data defects, which re-evaluating fixed pools misses.
作者备注：12 pages, 4 figures, 7 tables
观测到的版本
相邻记录可能跳过中间版本；首次发现 v2 及以上也会标为版本更新。
v1 · 2026-11-05 17:56 · 最新观测版本
Adjustment-Anchor Dependence in Formulaic Alpha Languages: A Certified Grammar and a Re-Anchoring Audit
Several public scripts for formulaic alpha mining store prices adjusted to the snapshot's last day, so a past day's stored price changes with every later split or dividend and formulas that do not cancel the adjustment factor depend on future corporate actions. We formalise a change of adjustment anchor as a per-stock group action and give a two-sorted type system that soundly certifies anchor invariance from a formula's syntax, under a declared field-adjustment contract and idealised operator semantics; its second sort admits log-returns, and a linear-time checker plugs into any miner. In a re-anchoring audit on Chinese A-shares, pools that five published methods mined in our benchmark pipeline score a mean information coefficient (IC) 0.005 higher on the stored representation than on a cutoff-anchored one, about 14% of their IC. Certified pools move by 0.001 or less, and pools mined on past-anchored data stay sensitive. On the Chinese development folds, certification shows no detectable predictive cost or gain at the design's resolution, about 0.017 IC across cells on pool ICs of 0.03-0.04. We also trace an erroneous index-membership entry to public Qlib data snapshots and show that re-mining exposes the effect of such data defects, which re-evaluating fixed pools misses.
查看此版本解读 →查看此版本原文 ↗