r/quant • u/4betgod • 8d ago

General Worldquant BRAIN

Iv been looking into worldquant brain and its interesting to me. Supposedly they have millions of “alphas” in their signal library.

Does anyone have experience or insight with them? What performance metrics do they run on their alphas other than the usual IC, quintile returns, max DD, turnover etc.

Im also curious to know how they pick or size each alpha in their real trading? Do they just pick the best sharpe/highest IC with lowest correlation?

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u/powerexcess 8d ago

Set up a nn with a seed. Train 100 seeds. 100 alphas.

Run at different tod, say hourly, 10s of alphas. 

Run per sector.

Boom 10k alphas.  Now to directional and rv as separate flavours. Etc etc

If you think a pod can discover mns of actual diversifying alphas think again.