Trials-adjusted Out-of-Sample Gating for LLM-proposed Trading Strategies
“A single rule-based strategy selected for its insample Sharpe of 3.07 collapsed to an out-of-sample Sharpe of-4.90 and was rejected.”
AssetEquities
StrategyNews sentimentmomentum
TechniqueLarge language model
GeographyUS
Also stated: Daily, Sharpe ratio, Alpha, Long-only, Macro, Text and news, benchmark, out-of-sample test
Missing from abstract: 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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