featureConfig.yaml

# Which index components to include in the feature pool.
index:
  GSPC: true  # S&P 500
  DJI: false  # [WIP, Unsupported] Dow Jones Industrial Average
  IXIC: false # [WIP, Unsupported] NASDAQ Composite
  NDX: false  # [WIP, Unsupported] NASDAQ-100

# Autoregressive feature generation settings.
lagSelection:
  minLagsSelected: 2  # Minimum number of lags to select
  maxLagsSelected: auto         # [int, "auto"] Select based on results of lag significance tests. "auto" uses min(5, maxLag)
  maxLag: 20  # Maximum lag to consider
  selectionMethod: fdrAdjusted  # [fdrAdjusted, rawPval]
  sigLevel: 0.1

  requireStability: true
  stabilityFreq: 0.25  # Proportion of bootstrap samples in which a lag must be significant to be included
  stabilityConfidence: 0.95  # Confidence level for stability check
  stabilityCheckEvery: 25  # Check stability every N bootstrap samples

  bootstrapSamples: 500  # Number of bootstrap samples to draw (Disable early stop to guarantee all samples are drawn)
  minBootstrapSamples: 100  # Minimum number of bootstrap samples to draw before considering early stopping
  earlyStop: true
  blockLen: auto  # [int, "auto"] Block length for bootstrap, "auto" uses max(5, floor(n ** (1 / 3))

  rankTopN: 2  # If no lags are selected by tests, select the top N lags by p-value

  hacBandwidth: auto  # [int, "auto"] Bandwidth for HAC standard errors, "auto" uses Newey-West optimal

  randomSeed: null  # [int, null] Random seed for reproducibility, null for random


featurePool:
  autoregressive: true
  sentiment: true
  sectoral: true
  technical: true