Feature engineering: what to feed the model

Momentum

• ROC over N bars (N = 6, 24, 96)
• RSI
• Distance from N-bar SMA

Volatility

• stddev of log returns
• ATR (average true range)
• Bollinger band width

Regime

• BTC 1h EMA slope (is the whole market trending?)
• ADX
• VIX-equivalent (crypto volatility index)

Cross-asset

• Correlation to BTC over 24h
• BTC-implied residual (from the strategy we built today)

Never include:

• Current bar's close (if you're predicting that bar's direction)
• Any future-looking moving average
• Any label-derived feature

Students lose MONTHS to leakage. The rule: if your backtest gives Sharpe > 3.0, check leakage BEFORE celebrating.

From the feature list below, mark which ones are safe (no leakage) and which leak.