Market-Direction Model Workflow

Feature engineering, walk-forward validation, cost-aware evaluation, and the leakage revise loop

Market-Direction Model Workflow Feature engineering, walk-forward validation, cost-aware evaluation, and the leakage revise loop 01 / Data Prep 02 / Walk-Forward Validation 03 / Evaluation 04 / Deployment EX / Leakage + Overfit Prepare Walk-forward Assess + ship Rolling split Features · returns, vol, RSI · Data Prep › Prepare Features returns, vol, RSI Label Horizon · up / down at h · Data Prep › Prepare Label Horizon up / down at h Train Window · past only · Walk-Forward Validation › Rolling split › Walk-forward · purged gap Train Window past only purged gap Test Window · next block · Walk-Forward Validation › Rolling split › Walk-forward · untouched Test Window next block untouched Evaluate · net of costs · Evaluation › Assess + ship · gate Evaluate net of costs gate Deploy · paper then live · Deployment › Assess + ship Deploy paper then live Revise · cut leak · Leakage + Overfit › Walk-forward · owner: quant Revise cut leak owner: quant split roll forward honest edge too good rebuild Legend User UI Agent logic Policy Tool action Context / trace

One Honest Path

  • • Features and labels are built from information available at decision time
  • • Models train on the past and are scored on an untouched next window
  • • The split rolls forward so every test block is out-of-sample

Stop Conditions

  • • Accuracy that looks too good usually signals look-ahead leakage
  • • A purge gap removes overlapping label windows near the split
  • • Edge that vanishes after transaction costs does not ship

What Ships

  • • Results are net of costs and reported out-of-sample
  • • The revise loop cuts leaky features before another pass
  • • Paper trading precedes any live capital

Workflow diagram • Built with Archify • Create yours ↗ • Hover to trace • R route • Click to focus • +/− zoom • M radar • [/] views • P play story • T theme • E export