Feature Families

A model trained on six momentum variants learns one signal six ways. Diversifying across feature families - each driven by a different economic mechanism - produces more robust predictions.

The Problem

Feature sets dominated by a single family (e.g., all momentum) are highly correlated internally. The model wastes capacity learning redundant information and becomes fragile when that one mechanism stops working. A momentum crash wipes out all signal simultaneously.

The Pattern

WRONG

import polars as pl