AgentSkillsCN

brain-how-to-pass-AlphaTest

为 WorldQuant BRAIN 算法提交测试提供详尽的要求说明、阈值设定以及优化建议。测试内容涵盖拟合度、夏普比率、换手率、权重分配、子宇宙表现，以及自相关性测试。当用户对算法提交失败的原因、如何提升算法指标，或对测试要求存在疑问时，可使用此技能。

SKILL.md
--- frontmatter
name: brain-how-to-pass-AlphaTest
description: >-
  Provides detailed requirements, thresholds, and improvement tips for WorldQuant BRAIN Alpha submission tests.
  Covers Fitness, Sharpe, Turnover, Weight, Sub-universe, and Self-Correlation tests.
  Use this when the user asks about alpha submission failures, how to improve alpha metrics, or test requirements.

BRAIN Alpha Submission Tests: Requirements and Improvement Tips

This skill provides key requirements and expert tips for passing alpha submission tests. For comprehensive details, thresholds, and community-sourced strategies, please read reference.md.

Overview

Alphas must pass a series of pre-submission checks to ensure they meet quality thresholds.

1. Fitness

Requirements

  • •At least "Average": Greater than 1.3 for Delay-0 or Greater than 1 for Delay-1.
  • •Fitness = Sharpe * sqrt(abs(Returns) / max(Turnover, 0.125)).

Tips to Improve

  • •Increase Sharpe/Returns and reduce Turnover.
  • •Use group operators (e.g., with pv13) to boost fitness.
  • •Check with check_submission tool.

2. Sharpe Ratio

Requirements

  • •Greater than 2 for Delay-0 or Greater than 1.25 for Delay-1.
  • •Sharpe = sqrt(252) * IR, where IR = mean(PnL) / stdev(PnL).

Tips to Improve

  • •Focus on consistent PnL with low volatility.
  • •Decay signals separately for liquid/non-liquid stocks.
  • •If Sharpe is negative (e.g., -1 to -2), try flipping the sign: -original_expression.

3. Turnover

Requirements

  • •1% < Turnover < 70%.

Tips to Improve

  • •Use decay functions (ts_decay_linear) to smooth signals.

4. Weight Test

Requirements

  • •Max weight in any stock <10%.

Tips to Improve

  • •Use neutralization (e.g., neutralize(x, "MARKET")) to distribute weights.

5. Sub-universe Test

Requirements

  • •Sub-universe Sharpe >= 0.75 * sqrt(subuniverse_size / alpha_universe_size) * alpha_sharpe.

Tips to Improve

  • •Avoid size-related multipliers.
  • •Decay liquid/non-liquid parts separately.

6. Self-Correlation

Requirements

  • •<0.7 PnL correlation with own submitted alphas.

Tips to Improve

  • •Submit diverse ideas.
  • •Use check_correlation tool.
  • •Transform negatively correlated alphas.

General Guidance

  • •Start Simple: Use basic operators like ts_rank first.
  • •Optimize Settings: Choose universes like TOP3000 (USA, D1).
  • •ATOM Principle: Avoid mixing datasets to benefit from relaxed "ATOM" submission criteria (Last 2Y Sharpe).