File size: 2,690 Bytes
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"feature_count": 17,
"feature_names": [
"ret_1",
"ret_3",
"ret_5",
"ret_accel",
"close_pos",
"vol_20",
"high_vol",
"low_vol",
"rsi_oversold",
"rsi_neutral",
"macd_positive",
"london_open",
"london_close",
"nyse_open",
"hour",
"vwap_deviation",
"atr_stops"
],
"feature_descriptions": {
"ret_1": "Lag-1 return, single bar momentum",
"ret_3": "3-bar cumulative return, medium-term trend",
"ret_5": "5-bar cumulative return, regime identification",
"ret_accel": "Return acceleration, momentum change detection",
"close_pos": "Close position within 20-bar range (0-1)",
"vol_20": "20-bar volume mean, baseline",
"high_vol": "Volume spike flag (binary)",
"low_vol": "Volume drought flag (binary)",
"rsi_oversold": "RSI < 30 flag (binary)",
"rsi_neutral": "30 <= RSI <= 70 flag (binary)",
"macd_positive": "MACD > 0 flag (binary)",
"london_open": "London 8:00 UTC open flag (binary)",
"london_close": "London 16:30 UTC close flag (binary)",
"nyse_open": "NYSE 13:30 UTC open flag (binary)",
"hour": "Hour of day UTC (0-23)",
"vwap_deviation": "Percent deviation from VWAP",
"atr_stops": "14-period ATR * 1.0x multiplier"
},
"feature_types": {
"continuous": ["ret_1", "ret_3", "ret_5", "ret_accel", "close_pos", "vol_20", "hour", "vwap_deviation", "atr_stops"],
"binary": ["high_vol", "low_vol", "rsi_oversold", "rsi_neutral", "macd_positive", "london_open", "london_close", "nyse_open"]
},
"feature_importance": {
"ret_1": 0.0493,
"ret_3": 0.0495,
"ret_5": 0.0496,
"ret_accel": 0.0499,
"close_pos": 0.0482,
"vol_20": 0.0508,
"high_vol": 0.0474,
"low_vol": 0.0480,
"rsi_oversold": 0.0507,
"rsi_neutral": 0.0514,
"macd_positive": 0.0477,
"london_open": 0.0508,
"london_close": 0.0470,
"nyse_open": 0.0502,
"hour": 0.0491,
"vwap_deviation": 0.04,
"atr_stops": 0.04
},
"feature_order_critical": "YES - must match order in training",
"normalization_required": "YES - use provided scaler.pkl",
"missing_value_handling": "Forward fill or drop first 50 rows",
"expected_value_ranges": {
"ret_1": [-0.05, 0.05],
"ret_3": [-0.10, 0.10],
"ret_5": [-0.15, 0.15],
"ret_accel": [-0.10, 0.10],
"close_pos": [0.0, 1.0],
"vol_20": [0, "variable"],
"high_vol": [0, 1],
"low_vol": [0, 1],
"rsi_oversold": [0, 1],
"rsi_neutral": [0, 1],
"macd_positive": [0, 1],
"london_open": [0, 1],
"london_close": [0, 1],
"nyse_open": [0, 1],
"hour": [0, 23],
"vwap_deviation": [-5, 5],
"atr_stops": [0, "variable"]
}
}
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