Discussing the article: "Feature Engineering for ML (Part 13): Trend-Scanning Features in Python"
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Check out the new article: Feature Engineering for ML (Part 13): Trend-Scanning Features in Python.
Trend-scanning supports both forward and backward windows, and the labeling default is unsafe for features: it looks ahead and boosts next-bar agreement well above chance on random walks. We provide a dedicated wrapper, get trend scanning features, that forces computational causal and returns only window, slope, t value, and rsquared. A second analysis quantifies errors introduced by the default log transform on signed series.
The MetaTrader 5 Machine Learning Blueprint series introduced trend-scanning as a labeling method: fit OLS regressions over several candidate window lengths, keep the window with the largest absolute t-value, and use its sign as the label. That function, trend_scanning_labels, lives in afml.labeling.trend_scanning and has not changed since. What changes in this article is the question asked of it. A label answers "what happened after this bar." A feature must answer "what was knowable at this bar," and the same function can be made to answer either question, because it exposes both directions through a single argument.
This is a different failure mode than the ones covered so far in this series. Part 11 found a leak baked into a centered rolling window with no causal option available at all, and Part 12 carried the corrected, causal fractal features across to their MQL5 port. Here the causal option already exists: lookforward=False is a first-class, tested code path. The risk is using the labeling-appropriate default when building a feature matrix. Nothing in the function signature prevents the call from succeeding. It returns a well-formed DataFrame that looks correct.
This article wraps trend_scanning_labels in a feature-only interface that removes the choice rather than documenting it. It measures the leak caused by the wrong choice and documents a second, unrelated defect that appears when the function is applied to a signed input series rather than raw price.
Author: Patrick Murimi Njoroge