File size: 1,569 Bytes
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"bar_feature_names": [
"open_rel",
"high_rel",
"low_rel",
"close_rel",
"volume_z_30m",
"amount_z_30m"
],
"feature_names": [
"ret_5m",
"ret_15m",
"ret_30m",
"rsi_5m",
"rsi_15m",
"rsi_30m",
"vol_std_5m",
"vol_std_15m",
"vol_std_30m",
"ma_dev_5m",
"ma_dev_15m",
"ma_dev_30m",
"boll_z_5m",
"boll_z_15m",
"boll_z_30m",
"macd_5m_15m",
"macd_15m_30m",
"cross_section_ret_rank_5m",
"cross_section_vol_rank_5m",
"cross_section_ret_rank_15m",
"cross_section_vol_rank_15m",
"cross_section_ret_rank_30m",
"cross_section_vol_rank_30m",
"market_ret_5m",
"market_vol_5m",
"market_ret_15m",
"market_vol_15m",
"market_ret_30m",
"market_vol_30m",
"hour_sin",
"hour_cos",
"dayofweek_sin",
"dayofweek_cos"
],
"feature_windows_minutes": [
5,
15,
30
],
"bar_size": "1m",
"normalization": {
"stats_file": "normalization_stats.npz",
"bar": {
"mean_key": "bar_mean",
"std_key": "bar_std"
},
"features": {
"mean_key": "feature_mean",
"std_key": "feature_std"
},
"fit_scope": "train split only"
},
"leakage_constraints": [
"Use only bars with timestamp <= decision timestamp t.",
"All rolling, EMA and cross-section rank features must be computed causally.",
"Do not refit normalization stats online or on validation/test/live data.",
"Do not use future volume, future slippage, centered rolling windows or future universe membership."
]
}
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