9/1/25Less than 1 minute
Technical Indicators
- Moving Averages (SMA, EMA)
- Momentum indicators (RSI, MACD, Stochastic)
- Volatility bands (Bollinger Bands, ATR)
Statistical Features
- Rolling volatility & variance
- Asset correlations & covariance matrix
- Autocorrelation (AR terms)
Factor Models
- Style factors (Value, Growth, Momentum, Quality, Size)
- Multi-factor risk models (Fama-French 3/5-factor)
Alternative Data (Alpha Sources)
- News sentiment analysis (NLP-based scores)
- Social media sentiment (Twitter, Reddit, Weibo, etc.)
- Macroeconomic indicators (GDP, inflation, interest rates)
Dimensionality Reduction
- PCA (Principal Component Analysis)
- Autoencoders (for non-linear feature compression)
Feature Selection
- Filter methods (Correlation, Chi-square)
- Wrapper methods (Recursive Feature Elimination)
- Embedded methods (LASSO, Tree-based importance)