On ML: For ‘Feature’ Consideration


I’m a big fan of the folks at RobotWealth, the great work they are doing and their efforts to educate others. One of my favorite posts from @Kris goes into great detail about features, the importance of stationarity, and other key considerations when applying ML to trading.

I shared this with a friend recently, and he summarized this gem of a post into key takeaways, and I thought to share some of that here.  Below is a list of useful features that one might explore in their alpha research. Enjoy!

Features Worth Considering For Algorithmic Trading

    • 1-day log return
      Log of todays price/yesterday’s price
    • Trend deviation
      Logarithm of the closing price divided by the lowpass filtered price
    • Momentum
      The price today relative to the price x days ago, normalized by the standard deviation of daily price changes.
    • ATR
      The average true range of the price series
    • Velocity
      A one-step-ahead linear regression forecast on closing prices
    • Linear forecast deviation
      The difference between the most recent closing price and the closing price predicted by a linear regression line
    • Price variance ratio
      The ratio of the variance of the log of closing prices over a short time period to that over a long time period.
    • Delta price variance ratio
      The difference between the current value of the price variance ratio and its value x periods ago.
    • The Market Meanness Index
      A measure of the likelihood of the market being in a state of mean reversion, created by the Financial Hacker.
    • MMI deviation
      The difference between the current value of the Market Meanness Index and its value x periods ago.
    • The Hurst exponent
      A measure of a time series’ memory, used to classify it as mean-reverting, trending, or a random walk.
    • ATR ratio
      The ratio of an ATR of a short (recent) price history to an ATR of a longer period.
    • Delta ATR ratio
      The difference between the current value of the ATR ratio and the value x bars ago.
    • Bollinger width
      The log ratio of the standard deviation of closing prices to the mean of closing prices, that is a moving standard deviation of c
      losing prices relative to the moving average of closing prices.
    • Delta Bollinger width
      The difference between the current value of the Bollinger width and its value x bars ago.
    • Absolute price change oscillator
      The difference between a short and long lookback mean log price divided by a 100-period ATR of the log price.






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