After a night of repeated evolution, the system has begun generating strategies that surpass Beta returns! The training used BTC-USDT data from 2018 to 2021. Data after 2021 is all out-of-sample data. The equity curve shows numerous flattening and jagged inflections, indicating that the strategy is gradually approaching the behavior of real traders. The previously stable and smooth curve now looks rather artificial... However, a new pitfall has been encountered... This evolutionary mechanism leads to elite factors continuously dominating the dominant species, severely reducing species diversity. The next goal is to ensure the diversity of factor evolution by limiting the over-proliferation of a single type of strategy. Ideally, the GP system will evolve two highly effective dominant species, one focusing on trend and the other on oscillation. After subsequent training to differentiate market regime, the two multi-factor strategies can be integrated! The previous approach of prioritizing regime seems too hasty. Without good alpha, regime only brings fitting noise, a classic "chicken or egg" problem... Interesting~
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Crypto_Painter
@CryptoPainter
流下了激动的泪水!
经过对GP引擎因子输出的逻辑不断优化,我的策略进化池终于开始能够产出批量化的“多细胞生物”了!
简单来说,GP引擎目前开始有能力发掘“垃圾Alpha”了,举个简单的例子:
之前的遗传算法每次都是从单细胞开始演化,刚演化出原核细胞,迭代训练就结束了,所以一直没有什么发现... x.com/CryptoPainter/…



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