Identifying Look-Ahead Bias in Forward Return Features
Summary
The document raises a question about possible look-ahead bias in a stock-selection workflow. It points to a five-day return calculated from prices shifted forward in time and asks whether using that value as a feature in a test set leaks future information.
The post provides no answer, methodology, or results; it is a concise warning about the need to distinguish future-based labels from features available at decision time. Whether the calculation is invalid depends on how the data is aligned and whether the return is used only as an outcome label or improperly supplied to the model as an input. The excerpt does not describe the referenced strategy or explain its train/test setup, so it cannot establish whether leakage actually occurred.
Key ideas
- A return calculated with forward-shifted prices contains information from later dates.
- Using future returns as model inputs can create look-ahead bias.
- The excerpt asks whether such a return is used as a feature in the test data.
- It provides no clarification of the referenced model’s timing or feature-label separation.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.