Evolve on the Host, Predict on the Edge: Deploying Online Neuroevolutionary Architecture Search for Cross-sectional Stock Return Prediction

Time series forecasting models are typically compared on pointwise error, which scores a prediction in isolation from the decision it is produced for, and a lower forecast error does not imply a better decision downstream. A parallel debate asks whether modern transformer architectures forecast better than recurrent and other lightweight models. We compare linear, fixed recurrent, transformer, and mixing based architectures against recurrent networks evolved by neuroevolutionary architecture search, evaluating each on forecast accuracy and on the net return of a daily long/short strategy. All models are fit on a pooled panel, one network trained across the whole universe. Across four mid-cap portfolios and three trading years, the evolved networks rank first on both forecast accuracy and net trading performance, while the second most accurate model loses money once positions are formed and costs are charged. The advantage tracks a horizon match, since rank IC for the evolved networks rises from a one-day to a ten-day scoring horizon while every model above 300 parameters declines. They are also the cheapest end to end: a CPU-only search of 16 minutes yields 66-weight networks that predict in 10.8~$μ$s on a Raspberry Pi Zero, against transformer baselines of up to 817,153 parameters that require GPU training.

Accurate prediction of equity returns remains a major challenge in computational finance due to the non-stationary, nonlinear, and low signal-to-noise ratio nature of financial time series. This paper proposes a hybrid two-stage architecture that combines a long short-term memory (LSTM) network with an XGBoost gradient-boosted regressor for multi-horizon stock return prediction across a diversified panel of 14 U.S. equities spanning six industry sectors. The LSTM component, comprising two stacked layers with 64 hidden units, processes 60-day sliding windows of five sequential market features to produce 64-dimensional temporal embeddings that encode learned sequential market dynamics. These embeddings are concatenated with 14 hand-crafted technical indicators to form a 78-dimensional hybrid feature vector, which is subsequently passed to an XGBoost regressor tuned via 3-fold cross-validation grid search. The framework is trained on a multi-stock pooled corpus using strict chronological splits and per-stock MinMaxScaling to prevent look-ahead bias, and evaluated across four prediction horizons of 30, 90, 252, and 365 trading days. Experimental results demonstrate that the hybrid model achieves a test RMSE of 0.0949 on the 30-day horizon, roughly one-third that of the standalone LSTM baseline, while marginally matching or surpassing the XGBoost-Only baseline across the majority of stocks. Directional accuracy rises with horizon length, reaching 97.6% at 365 days; we show, however, that this largely tracks the high base rate of positive long-horizon returns in the sample, and we therefore benchmark directional accuracy against a naive always-positive predictor and treat the above-base-rate gap at short horizons as the more informative signal. A composite investment scoring framework derived from multi-horizon predictions is further proposed to support portfolio ranking and decision support.

Prediction-based approaches are widely used in neural architecture search (NAS), where a predictor estimates the performance of candidate architectures to guide selection. However, existing predictors are typically trained via supervised regression on limited samples, leading to overfitting and poor generalization to unseen architectures. In this work, we propose a fundamentally different formulation that models performance prediction as a conditional function inference problem using a Convolutional Neural Process (ConvNP) with meta-learning capabilities. Instead of fitting a fixed mapping to limited samples, our approach meta-learns to infer performance from partial observations by training with context-target splits across a group of synthesized tasks, explicitly optimizing for generalization under data scarcity and aligning the training procedure with the deployment setting in NAS. We further design simple yet effective meta-features for cell-based architectures and evaluate our method on NAS-Bench-101 and NAS-Bench-201. Extensive experiments show that our approach consistently improves top-K ranking quality and achieves the state-of-the-art architecture selection using limited samples.