Constrained LLM agents discover cryptocurrency factors that produce a portfolio with 44.55% annualized return and Sharpe ratio of 1.55 in pure out-of-sample 2024-2026 testing after trading costs.
Empirical crypto asset pricing.arXiv preprint arXiv:2405.15716
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From Hypotheses to Factors: Constrained LLM Agents in Cryptocurrency Markets
Constrained LLM agents discover cryptocurrency factors that produce a portfolio with 44.55% annualized return and Sharpe ratio of 1.55 in pure out-of-sample 2024-2026 testing after trading costs.