R&D-Agent-Quant: A Multi-Agent Framework for Data-Centric Factors and Model Joint Optimization
About
Financial markets pose fundamental challenges for asset return prediction due to their high dimensionality, non-stationarity, and persistent volatility. Despite advances in large language models and multi-agent systems, current quantitative research pipelines suffer from limited automation, weak interpretability, and fragmented coordination across key components such as factor mining and model innovation. In this paper, we propose R&D-Agent for Quantitative Finance, in short RD-Agent(Q), the first data-centric multi-agent framework designed to automate the full-stack research and development of quantitative strategies via coordinated factor-model co-optimization. RD-Agent(Q) decomposes the quant process into two iterative stages: a Research stage that dynamically sets goal-aligned prompts, formulates hypotheses based on domain priors, and maps them to concrete tasks, and a Development stage that employs a code-generation agent, Co-STEER, to implement task-specific code, which is then executed in real-market backtests. The two stages are connected through a feedback stage that thoroughly evaluates experimental outcomes and informs subsequent iterations, with a multi-armed bandit scheduler for adaptive direction selection. Empirically, RD-Agent(Q) achieves up to 2X higher annualized returns than classical factor libraries using 70% fewer factors, and outperforms state-of-the-art deep time-series models on real markets. Its joint factor-model optimization delivers a strong balance between predictive accuracy and strategy robustness. Our code is available at: https://github.com/microsoft/RD-Agent.
Related benchmarks
| Task | Dataset | Result | Rank | |
|---|---|---|---|---|
| Alpha Mining | CSI500 (test) | IC (Information Coefficient)5.81 | 9 | |
| Alpha Mining | CSI1000 (test) | IC8.58 | 9 | |
| Stock Prediction | CSI 300 latest (2025 Q4) | Average Return (AR)5.42 | 9 | |
| Stock Prediction and Portfolio Management | CSI 300 (2023 Q4 to 2025 Q3) | AR (Annualized Return)25.02 | 9 | |
| Stock Prediction and Portfolio Management | CSI 500 (2023 Q4 to 2025 Q3) | Annualized Return (AR)23.5 | 9 | |
| Stock Prediction | SSE 50 latest (2025 Q4) | AR (Annualized Return)7.88 | 9 | |
| Alpha Mining | CSI300 (test) | Information Coefficient (IC)4.88 | 9 | |
| Stock Prediction | CSI 500 latest (2025 Q4) | AR13.98 | 9 | |
| Stock Prediction and Portfolio Management | SSE 50 (2023 Q4 to 2025 Q3) | AR (%)22.7 | 9 |