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 closing 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.