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AI Trading's Alpha Singularity: Emergent Market Reasoning through Agent-to-Agent Self-Evolution

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Automated alpha mining holds the scoring function fixed and varies the search algorithm over it. A search that converges against a fixed scorer overfits whatever the scorer cannot penalize, a primary cause of the out-of-sample generalization gap. We treat the scoring function as a search artifact alongside the alpha factors and study what conditions make this joint search admissible. Sealed Joint Search (SJS) is a framework: a set of structural conditions on information flow in an autonomous-discovery system that prevent joint search from collapsing into self-confirmation while keeping the evaluator sealed. Conditions cover role decomposition, typed inter-role communication, provenance-sealed reads, versioned stores, and substrate-local promotion. Agora tests SJS empirically: five LLM agent classes communicate via three channels, evolving eight skill libraries, with alpha libraries built on AlphaGen operators. Three evaluators write reports aggregated into one brief, carrying forward disagreement instead of voting. We run Agora for 100 rounds on CSI 1000 and evaluate on a 91-day 2026 holdout sealed from all LLM inputs. Agora achieves holdout Sharpe +1.87; best baseline +1.334 at favorable seed and -0.755 cross-seed mean. Pre-loading Agora's two metrics into a frozen-library ablation recovers only +0.40 of the +2.25 Sharpe gap, and adding PPO without library evolution worsens the gap. The two metrics emerge rather than being designed. Caveats: single-seed run, short-side concentrated signal, intended for long-short.

Yuqi Li, Siyuan Liu, Bingjun Liu• 2026

Related benchmarks

TaskDatasetResultRank
Portfolio Performance Evaluation91-day (holdout)
Annualized Sharpe Ratio1.989
8
Quantitative Alpha MiningCSI 1000 2026-01 to 2026-05 (Holdout)
Per-alpha Sharpe Ratio (Median)1.06
8
Portfolio Risk-Adjusted Return AnalysisAlpha-pool (91-day holdout)
Median Return (Agora)2.461
7
Alpha Discoverydaily portfolio returns 91 daily observations (holdout)--
7
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