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KDD2026Top-tier venue

AlphaMaster: Dual-Chain Feedback for Scalable and Diverse Alpha Factor Discovery

Haozengran Wang, Shuo Yin, Rong Fu, Mengting Zhang, Jiayi Zeng, Simon James Fong

2026Year
2Citations

Abstract

Alpha factor mining aims to discover predictive and interpretable signals for cross-sectional returns, yet automated pipelines based on genetic programming, reinforcement learning, and large language models often converge to a narrow expression family, causing factor homogenization that produces redundant alphas, accelerates decay, and limits scalability. We propose AlphaMaster, an artificial intelligence–driven scientific discovery framework that formulates alpha mining as a closed loop of hypothesis generation, experimental evaluation, and feedback-guided refinement. AlphaMaster integrates reinforcement learning, Generative Flow Network sampling, large language model–based symbolic synthesis, and genetic programming in a dual-chain design (generation for diverse proposals; optimization for multi-objective refinement). Crucially, it enforces correlation-aware diversity to suppress redundancy while improving predictive strength and stability. On CSI 500/CSI 1000 (2010–2025) under realistic trading constraints, AlphaMaster achieves the best overall performance, ranking first on five of six metrics for CSI 500 and on all metrics for CSI 1000: CSI 500 information coefficient (IC) 0.050, annualized return (AR) 0.136, information ratio (IR) 1.464; CSI 1000 IC 0.069, rank information coefficient (RankIC) 0.091, AR 0.150, IR 1.410, demonstrating scalable and reliable factor discovery.

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