Chapter 8: Financial Feature Engineering
Point-in-Time Feature Construction and Data Vintages intermediate
A slow-moving feature is admissible only from the moment your strategy could actually have known it.
A slow-moving feature is admissible only from the moment your strategy could actually have known it.
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References
Frontiers of Real-Time Data Analysis
Dean Croushore
(2008)
Advances in Financial Machine Learning
Marcos Lopez de Prado
(2018)
— John Wiley & Sons
Seven Sins of Quantitative Investing
Yin Luo, Xin Zhao, Peng Ying, Lorne Ramchand
(2014)