BigQuant Return Features Differ Between Stocks and Futures

Summary

A BigQuant support exchange explains a missing-feature error when a derived feature extractor requests a 20-day return field. Although the questioner expects the field to be predefined, the response identifies the likely cause as using the feature name for the wrong asset type.

For stocks, the documented field name is the standard return feature; for futures, the corresponding feature uses a daily-return naming convention. The same distinction applies to the example’s shorter return horizon. This is a narrow platform troubleshooting note: it identifies a naming mismatch, but gives no broader feature-extraction workflow, data requirements, or trading analysis.

Key ideas

• The reported error occurs while extracting a predefined 20-day return feature.
• BigQuant uses different return feature names for stocks and futures.
• Use the daily-return convention for futures and the standard return convention for stocks.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.