Machine Learning Enhanced Multi-Factor Quantitative Trading: A Cross-Sectional Portfolio Optimization Approach with Bias Correction

This paper presents a comprehensive machine learning framework for quantitative trading that achieves superior risk-adjusted returns through systematic factor engineering, real-time computation optimization, and cross-sectional portfolio construction. Our approach integrates multi-factor alpha discovery with bias correction techniques, leveraging PyTorch-accelerated factor computation and advanced portfolio optimization. The system processes 500-1000 factors derived from open-source alpha101 extensions and proprietary market microstructure signals. Key innovations include tensor-based factor computation acceleration, geometric Brownian motion data augmentation, and cross-sectional neutralization strategies. Empirical validation on Chinese A-share markets (2010-2024) demonstrates annualized returns of $20\%$ with Sharpe ratios exceeding 2.0, significantly outperforming traditional approaches. Our analysis reveals the critical importance of bias correction in factor construction and the substantial impact of cross-sectional portfolio optimization on strategy performance. Code and experimental implementations are available at: https://github.com/initial-d/ml-quant-trading