Execution-Aware Alpha Mining: Teaching LLM Factor Agents to Account for Trading Costs
“Rewarding the identical search net of cost cuts turnover 22-38x, drives near-universal adoption of long-lookback smoothing operators, and, for the volatility-anomaly seed, produces a net-profitable factor (Sharpe +0.35, CAGR ~3.8%).”
AssetEquities
StrategyNews sentimentmomentum
TechniqueLarge language modelsymbolic search
FrequencyDaily
Also stated: 1999–2026, Sharpe ratio, Alpha, Profit, Text and news, out-of-sample test, costs
Missing from abstract: benchmark, 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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