Adaptive Alpha Weighting with PPO: Enhancing Prompt-Based LLM-Generated Alphas in Quant Trading
“Experimental results indicate that the PPO-optimized strategy does not consistently deliver the highest cumulative returns across all stocks, but it achieves comparatively higher Sharpe ratios and smaller maximum drawdowns in most cases.”
AssetEquitiesindices
StrategyNews sentimentmomentum
TechniqueLarge language modelreinforcement learning
GeographyUSJapan
Also stated: Sharpe ratio, Alpha, Excess return, Profit, Drawdown, Long-only, Text and news, benchmark
Missing from abstract: out-of-sample test, costs, multiple testing, universe
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The paper's neighbourhoodNews sentiment and text signals by year
FamilyNews sentiment and text signals148Momentum and trend following289Factor investing240Machine learning return prediction15318 more · 854
AssetEquities97
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