Point-in-Time Safety of Same-Day Market Features
Summary
The document addresses whether features such as a day’s open, close, and volume introduce look-ahead bias. Its answer is conditional: these values are usable when the data are point-in-time correct and the strategy’s timing makes them available before the trade. The example assumes a signal is generated after one trading day and an order is placed the following day, so the same-day observations are known when the signal is acted upon.
The core lesson is that feature names alone cannot establish whether a strategy has future information; the data timestamp and decision schedule determine that. The short exchange raises a follow-up about how features indexed with a different day offset should be interpreted, but it does not provide an answer. The explanation is brief and does not discuss intraday availability, data revisions, or alternative execution schedules, so users should verify those details in their own pipeline.
Key ideas
- Point-in-time data can be used without look-ahead bias when it was available at the decision time.
- The example assumes signals use one day’s data and orders are placed the next day.
- Whether same-day open, close, and volume are safe depends on the strategy’s signal and execution timing.
- The document raises but does not resolve how differently indexed features relate to the example.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.