WorldQuant BRAIN Alpha Research
Independent systematic equity research · WorldQuant BRAIN Challenge · 2026
This project reached Gold tier in the WorldQuant BRAIN Challenge — an independently verifiable, externally judged systematic-alpha competition — building a ten-strategy ACTIVE book with a best Sharpe ratio (a strategy's return per unit of risk taken) of 2.91. Each alpha is produced by a repeatable mining pipeline: generate a candidate signal from a 4,300-field universe, pass it through quality gates (Sharpe, fitness, turnover, drawdown, concentration), reject anything too similar to an existing strategy, then submit for ACTIVE status.
Outcomes
Challenge score: Bronze → Silver → Gold track
Platform snapshots. Rank improved from ~25.8k to ~18.9k as scored alphas and ACTIVE count rose.
ACTIVE book performance
ACTIVE alphas ranked by Sharpe
Hover bars for theme. Best: quality + analyst blend at 2.91.
Turnover-adjusted quality (Fitness)
The top Sharpe alphas hold their lead once turnover is penalised — returns aren't bought with churn.
Book composition by economic theme
Not ten clones of the same OI/equity formula — axes chosen to pass self-correlation.
Research loop
Finding that unlocked submits: OI/equity clones with Sharpe ~2.8–3.0 often fail SELF_CORRELATION (daily corr 0.75–0.90). Wins change the axis — FCF + reverse (~0.37 corr) and OI + 50% options PCR (~0.66) — or move to TOP2000/1000/500 after TOP3000 saturates.
ACTIVE table
| ID | Universe | Sharpe | Fitness | Return | TO | Theme |
|---|---|---|---|---|---|---|
ZYnG1pV1 | TOP3000 | 2.91 | 2.18 | 10.5% | 18.6% | OI/equity + est. EPS |
blq3YEkR | TOP3000 | 2.53 | 1.81 | 10.6% | 20.7% | OI/equity + 5d reverse |
N1roXeEL | TOP3000 | 2.28 | 1.65 | 6.5% | 9.8% | OI/equity + put/call OI |
d50w58jK | TOP3000 | 2.20 | 1.69 | 10.9% | 18.5% | FCF/equity + reverse |
d50Lv3Zv | TOP3000 | 2.01 | 1.32 | 5.4% | 6.3% | Pure OI/equity |
mLbXoLmE | TOP500 | 1.85 | 1.17 | 8.1% | 20.5% | OI + EPS (small univ.) |
N1rONo0L | TOP2000 | 1.69 | 1.44 | 9.1% | 12.1% | Pure est. EPS |
akn233gw | TOP1000 | 1.69 | 1.10 | 5.3% | 6.0% | OI + guidance |
RR80pQnn | TOP3000 | 1.64 | 1.14 | 9.9% | 20.7% | PCR + reverse |
3qRa0A96 | TOP3000 | 1.41 | 1.01 | 6.4% | 3.6% | Multi-leg composite |
Expressions (selected)
/* Top Sharpe — ZYnG1pV1 */
0.5 * group_rank(ts_rank(operating_income / equity, 126), subindustry)
+ 0.5 * group_rank(ts_rank(est_eps / close, 126), industry)
/* Diversifier — d50w58jK (~0.37 corr vs pure OI) */
0.6 * group_rank(ts_rank(free_cash_flow_reported_value / equity, 126), industry)
+ 0.4 * group_rank(-ts_delta(close, 5), industry)
/* Options hybrid — N1roXeEL */
0.5 * group_rank(ts_rank(operating_income / equity, 126), subindustry)
+ 0.5 * group_rank(-ts_rank(pcr_oi_270, 120), industry)Competencies
Equity factor research · IS metrics · turnover control · portfolio self-correlation · multi-universe diversification · API automation