Before revision:  In both experiment and real business environment, fully-connected network and recurrent network are good at extracting information from financial time series, but convolution network structure can not effectively extract this information  .
After revision:  In both experiment and real business environment, fully-connected network and recurrent network are good at extracting information from financial time series, but convolution network structure can not effectively extract this information . ADNN effectively enrich the current factor pool because in all cases, ADNN can construct more informative and diversified features than GP. Moreover, features constructed by ADNN can always improve original strategy return, Sharpe ratio and max draw-down .