CLQT：用于LLM投资组合管理代理诊断评估的闭环、成本感知、策略一致性基准
CLQT: A Closed-Loop, Cost-Aware, Strategy-Consistent Benchmark for Diagnostic Evaluation of LLM Portfolio-Management Agents
AI总结：
提出CLQT基准，通过闭环交易环境诊断LLM代理的决策过程，而非仅排名收益，评估五个维度的能力。
摘要：
LLM代理越来越多地被用作自主投资组合管理者，基准测试已从金融问答转向顺序交易。然而，大多数基准仍通过固定窗口内的收益对代理进行排名——这是一个薄弱的代理指标，因为一个时期的收益由市场路径主导，一旦控制前瞻性泄漏，明显的阿尔法就会消失。这种排名既不能证明合理的推理，也不能证明一致的策略，更不能证明持久的优势。我们引入CLQT，它将闭环交易评估重新定义为诊断而非排名：一种定位代理过程成功或失败的位置和原因的工具。CLQT是一个完全闭环、成本感知、策略一致、时间门控的环境，其代理运行一个五阶段循环：收集、综合、分配、执行、反思。每一轮生成一个完整的决策轮次，并密封到可重计算验证的哈希链中，因此每个指标都可以从轨迹中重建。六个支柱构成基础：硬时间门、机构交易和融资成本建模、策略一致性评分、三层记忆、模型-上下文-协议工具层以及任务感知综合。同一代理作为由专门角色组成的约束委员会或单个完全自主协调器运行，使过程框架成为实验变量。从审计轨迹中，我们计算五轴能力评分卡（APM-CS：连贯性、敏锐性、沉着性、纪律性、可靠性），其中连贯性部分由保留的、非队列的LLM评判，以抑制自我偏好偏差。我们在污染控制的多模型回测（带有消融网格）和实时经纪商轨迹（基于未见过的、截止日期后的数据）上，与重复运行的噪声基线进行验证。CLQT将结果与能力分离，产生的不再是模型排名，而是一张持久、可扩展的代理能力与局限地图。
英文摘要：
LLM agents are increasingly cast as autonomous portfolio managers, yet the dominant evaluation idiom, a leaderboard of returns over a fixed window, certifies neither the soundness of an agent's process nor the durability of its edge: one period's return is dominated by the market path, and apparent alpha can dissolve once look-ahead bias and trading costs are controlled. We introduce CLQT, a closed-loop benchmark that reframes LLM trading evaluation as diagnosis rather than ranking. CLQT enforces point-in-time data access through a hard TimeGate, models institutional transaction and financing costs, scores strategy consistency across rounds, and seals every gather-analyze-decide-execute-reflect cycle into a recompute-verifiable audit chain; the same model runs as a constrained investment committee or a single autonomous orchestrator, making scaffolding an experimental variable. From the audit trail CLQT computes a five-axis capability scorecard (Coherence, Acuity, Composure, Discipline, Reliability), with coherence scored partly by a held-out LLM judge to curb self-preference bias. We validate CLQT on a contamination-controlled, year-long multi-model backtest campaign with a 13-configuration ablation grid and a four-week live broker paper-trading track on post-cutoff data. The diagnosis-first read shows that the capability leader is not the Sharpe leader; that agents' allocations systematically fail to follow their own stated analysis, a stating-versus-doing gap stable across both tracks (+0.30 backtest, +0.23 live); and that module value registers on the capability and behavioral axes when returns alone cannot separate it. Net of realistic costs, agents clear defensive baselines but do not cleanly beat the index. Credible evaluation of LLM investment agents must therefore diagnose the process rather than rank a period's return, the standard CLQT operationalizes and makes auditable.
机构、总结、中文摘要均由AI分析而来，可能存在错误，请以论文正文为准。
