I have wanted to do something like this for a while, purely for learning. The thing which puts me off is that there is a huge amount of knowledge needed in understanding the features vs the ML.
Could you recommend a base system / reference one could use to get started which explains or bakes in some of the feature / signals engineering work?
Also would this approach work with crypto?
Some of it works on crypto. TBH I've stayed away from the asset class, but only because I find it difficult to build mental models and think about features (in my mind, it's a mix of commodity factors and currency factors, but I'd have to test it out).
I seem to remember coming across papers that have tested momentum factors at larger time-frames (e.g. weeklies).
> Could you recommend a base system / reference one could use to get started which explains or bakes in some of the feature / signals engineering work?
The references I put in at the end of the post will really help with this! I might actually write out a separate blog post about starting out in this space from an ML perspective. Thanks for the idea!