OHLCV + MA5 + MA23 + MA53 + RSI + MACD + VIX + MAVOL = 12 channels Multi-scale moving averages, RSI, MACD, VIX, and volume smoothing — none break 50% DA. Cross-sectional ranking (not direction prediction): - Signal is in slow factors (60-day volatility, momentum), not daily direction 1. DA(diff) ≈ 70% is fake — always use DA(ctx) 2. Global wavelet = look-ahead bias — v3's 53.3% was 100% from leakage 3. More features = overfitting — v4 (25ch) complex — LightGBM (2 sec) > PatchTST (hours) > Kronos (102M params) - notebooks/ — v3-v6 Colab training notebooks - results/ — v3-v6 results JSON files - PROJECTCONCLUSION.md — Full findings + future work - CLAUDE.md — Agent reference (lessons…
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Alex Goldenstein
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