Home / ml4t / skills · features/feature-families/SKILL.md · GitHub

ml4t-feature-families skillA

ml4t-feature-families is agent-read markdown (skill) from ml4t/skills: Five families of financial features - momentum, mean-reversion, volatility, carry, and value. Use when designing a feature set to ensure coverage across complementary market dynamics..

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What the file says

# Feature Families

A model trained on six momentum variants learns one signal six ways. Diversifying across feature families - each driven by a different economic mechanism - produces more robust predictions.

## The Problem

Feature sets dominated by a single family (e.g., all momentum) are highly correlated internally. The model wastes capacity learning redundant information and becomes fragile when that one mechanism stops working. A momentum crash wipes out all signal simultaneously.

## The Pattern

### WRONG
```python
import polars as pl

# All momentum variants - same family, correlated, fragile
features = df.with_columns(
    mom_5d=pl.col("close").pct_change(5).over("symbol"),
    mom_21d=pl.col("close").pct_change(21).over("symbol"),
    mom_63d=pl.col("close").pct_change(63).over("symbol"),
    mom_126d=pl.col("close").pct_change(126).over("symbol"),
    mom_252d=pl.col("close").pct_change(252).over("symbol"),
)
```

### CORRECT
```python
import polars as pl
import numpy as np

# One representative from each family - diverse signals
features = df.sort("symbol", "timestamp").with_columns(
    # Momentum: trend-following
…

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Source

GitHub

ml4t/skills · 19 stars · license Apache-2.0 · pushed 2026-09-24 · branch main

API

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