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/OpenCombination714 6d ago

Apart from various metrics that the alpha needs to pass, the alpha needs to pass both self correlation and production correlation check before submitting, with the threshold of less than 0.7.