Feature categories
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)
The LEAKAGE trap
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.
Your task
From the feature list below, mark which ones are safe (no leakage) and which leak.