Signal Features
Directional prediction FeatureTypes — the core alpha generation building blocks. Signal features detect buying/selling pressure, momentum, and mean reversion dislocations.
| Feature | Category | Description |
|---|---|---|
| cumulative_volume_delta | order_flow | Cumulative volume delta: rolling sum of signed volume (buy - sell). Positive = net buying pressure. |
| realized_volatility_percentile | volatility | Volatility compression: ratio of short-term to long-term realized vol. Values below 1 indicate compression. |
| amihud_illiquidity | liquidity | Amihud illiquidity: |
| beta_adjusted_lag_spread | cross_asset | Beta-adjusted return spread between leader and follower assets — lead-lag arbitrage signal |
| bid_ask_depth_ratio | order_flow | Ratio of cumulative bid depth to cumulative ask depth at top N levels |
| book_imbalance | microstructure | Normalized book imbalance: (bid_size - ask_size) / (bid_size + ask_size) at best levels |
| book_pressure | order_flow | Book pressure: sum(level_weight * level_imbalance for level in orderbook_leve... |
| breakout_distance | momentum | Signed distance of current price from recent range high — breakout proximity |
| breakout_strength | momentum | Normalized breakout strength: distance / range_width, measuring conviction |
| breakout_strength_index | momentum | Breakout strength index: (price - rolling_high) / (rolling_high - rolling_low... |
| cumulative_delta | flow | Cumulative sum of signed volume over a time window — net directional flow |
| cumulative_depth | order_flow | Cumulative sum of order book depth at top N levels |
| cumulative_depth_slope | order_flow | Slope of cumulative depth across order book levels — measures depth decay rate |
| cumulative_ofi | order_flow | Cumulative Order Flow Imbalance: cumsum(ofi) - running cumulative sum (unboun... |
| depth_change_rate | order_flow | Rate of change of order book depth — detects sudden liquidity evaporation |
| flow_persistence_score | order_flow | Flow persistence score: autocorr(ofi, window) - measures temporal persistence... |
| flow_pressure | order_flow | Flow pressure: rolling_sum(signed_volume, window) - net directional execution... |
| garman_klass_vol | volatility | Garman-Klass volatility: sqrt(0.5ln(H/L)^2 - (2ln2-1)*ln(C/O)^2) from bar OHLC |
| high_low_range_volatility | volatility | High-low range volatility: (high - low) / mid_price - intraday price excursio... |
| iceberg_likelihood_score | order_flow | Likelihood of hidden iceberg orders based on order book depth pattern anomalies |
| intraday_reversal_probability | mean_reversion | Intraday reversal probability score - estimates likelihood that recent direct... |
| jump_volatility_detector | volatility | Jump volatility detector detects discontinuous price movements |
| large_trade_signed_imbalance | flow | Signed flow imbalance from large trades only — institutional footprint detection |
| log_return | momentum | Log return over a time window: log(price_t / price_{t-window}) |
| micro_price_deviation | mean_reversion | Distance between mid-price and micro-price estimated from order book imbalance |
| multi_horizon_momentum | momentum | Multi-horizon return momentum - weighted average of momentum signals across m... |
| normalized_trade_imbalance | order_flow | Normalized trade imbalance: (buy_volume - sell_volume) / (buy_volume + sell_v... |
| ofi | order_flow | Order Flow Imbalance - measures net order flow |
| opening_range_distance | momentum | Distance of current price from opening range boundaries — breakout score |
| opening_range_high | session | Highest trade price during the opening range period — resistance reference |
| opening_range_low | session | Lowest trade price during the opening range period — support reference |
| opening_volume_shock | volume | Opening range volume relative to historical baseline — session participation anomaly |
| order_flow_trend_persistence | momentum | Order flow trend persistence: autocorr(ofi, window) - measures whether direct... |
| parkinson_vol | volatility | Parkinson volatility estimator: sqrt(1/(4*ln2) * ln(H/L)^2) from bar OHLC |
| price_velocity | momentum | Bar-based momentum: price change over a fixed number of bars |
| queue_position_imbalance | order_flow | Queue position adjusted order book imbalance with position weighting |
| rate_of_change | momentum | Rate of change: (price_t - price_{t-window}) / price_{t-window... |
| realized_volatility | volatility | Realized volatility: rolling_std(log_return, window) - observed dispersion of... |
| return_momentum | momentum | Return momentum calculation: sum(returns[-window:]) - basic window sum of ret... |
| roll_measure | liquidity | Roll measure proxy: negative autocorrelation of bar-to-bar price changes |
| rolling_beta | statistics | Rolling linear regression beta of one series on another — cross-asset relationship strength |
| short_term_overextension | mean_reversion | Short-term overextension index - measures how far price has deviated from loc... |
| signed_trade_imbalance | flow | Normalized signed flow imbalance: rolling sum of signed volume / total volume |
| signed_volume | order_flow | Signed volume: volume * trade_sign - net directional capital flow combining t... |
| simple_jump_indicator | volatility | Simple jump indicator: abs(return) > threshold * rolling_std(return) — det... |
| trade_aggressiveness_index | order_flow | Trade aggressiveness: fraction of volume executed at ask vs bid — measures di... |
| trade_flow_imbalance | order_flow | Trade flow imbalance: buy_volume - sell_volume - net aggressive demand pressure |
| trade_sign | order_flow | Trade sign: sign(trade_price - mid_price) - infers whether a trade was buyer ... |
| volatility_adjusted_momentum | momentum | Volatility-adjusted momentum risk-normalized directional strength |
| volume_above_percentile | order_flow | Volume of trades above a given size percentile — detects unusually large trades |
| volume_acceleration | order_flow | Volume acceleration: volume - prev(volume) - rate of change in trading activi... |
| volume_shock | volume | Volume shock: current volume / rolling average volume — spike detection |
| volume_shock_index | order_flow | Volume shock index: volume / rolling_mean_volume - deviation of current volum... |
| volume_weighted_mid_price | order_flow | Volume-weighted mid price: (bid_size * ask_price + ask_size * bid_price) / (b... |
| vpin | order_flow | Volume-synchronized probability of informed trading |
| vwap_deviation_signal | mean_reversion | VWAP deviation signal: price - vwap - measures mispricing relative to volume-... |
| zscore_price_deviation | mean_reversion | Z-score of close deviation: (close - mean(close, window=window)) / std(close,... |