Automated Alpha Mining, Not Useless Formula Factories (opens in new tab)

With our work on OpenForage, many have asked about automated alpha mining, how it works, and how to think about it. Alpha mining is by now at least a decade old, but have only really been taken seriously in the past few years due to an explosion in compute that made really sophisticated searchers possible (e.g. neural networks). The core premise is really simple - you write a simple rule, you rank stocks with it, and you check if this ranking predicts future returns. Today’s article is meant ...