Quality Features
Signal quality evaluation FeatureTypes. These measure how reliable and informative a signal is — used to assess signal confidence.
| Feature | Category | Description |
|---|---|---|
| autocorrelation_residual_error | statistics | Autocorrelation residual of a signal at specified lag — measures prediction e... |
| coefficient_of_variation | statistics | Coefficient of variation: rolling_std(signal) / abs(rolling_mean(signal)) — r... |
| large_trade_frequency | order_flow | Frequency of trades above a given size threshold — counts large trades per wi... |
| microstructure_noise_ratio | volatility | Microstructure noise ratio: realized_vol(short_window) / realized_vol(long_wi... |
| rolling_average_pvalue | statistics | Rolling average of a binary indicator — estimates confidence/probability over... |
| rolling_average_trade_size | order_flow | Rolling average of individual trade sizes — measures typical trade magnitude |
| rolling_information_coefficient | statistics | Rolling Information Coefficient: rank correlation between signal and forward ... |
| rolling_sharpe_ratio | statistics | Rolling Sharpe ratio: rolling_mean(return) / rolling_std(return) - risk-adjus... |
| sample_entropy_measure | statistics | Sample entropy — measures time series regularity/pattern repetition over a ro... |
| shannon_entropy_measure | statistics | Shannon entropy — measures distribution uncertainty over a rolling window |
| signal_to_noise_ratio | statistics | Signal-to-noise ratio: rolling_mean(signal) / rolling_std(signal) — measures ... |
| signal_win_rate | statistics | Signal win rate: fraction of observations where signal direction matches retu... |
| total_volume_in_range | order_flow | Total trade volume within a specified time range |