ml_prepare_features: Prepare tabular features (weekly + aligned daily volatility)

In PortfolioTesteR: Test Investment Strategies with English-Like Code

Prepare tabular features (weekly + aligned daily volatility)

Description

Constructs a minimal, leakage-safe set of tabular features commonly used in cross-sectional ML: weekly momentum (12/26/52), RSI(14), distance from 20-week MA, and daily rolling volatility aligned to weekly dates (tokens ⁠vol{N}d_walign⁠, e.g., "vol20d_walign").

Usage

ml_prepare_features(
  prices_weekly,
  prices_daily = NULL,
  include = c("mom12", "mom26", "mom52", "vol20d_walign", "dist20", "rsi14"),
  interactions = NULL
)

Arguments

prices_weekly	Wide panel with Date and symbol columns (weekly).
prices_daily	Optional wide panel (daily) if vol*d_walign are included.
include	Character vector of feature tokens to include.
interactions	Optional named list passed to ml_add_interactions().

Details

All outputs are lagged by one period to avoid look-ahead in backtests.

Value

A named list of panels (each a wide data.frame with Date).

Examples

## Not run: 
X <- ml_prepare_features(sample_prices_weekly, sample_prices_daily,
                         include = c("mom12","vol20d_walign","rsi14"))

## End(Not run)

PortfolioTesteR documentation built on Nov. 5, 2025, 5:23 p.m.