Indicator Engineering

Garbage Indicators, Garbage Predictions

A garbage indicator has four structural defects: non-stationary distribution, heavy tails, clumped values, or lookback artifacts. The model treats your input as the truth and propagates the defect into the forecast. Diagnose the indicator before you train anything.

Indicator Engineering

The Indicator Is More Important Than the Model

The indicator sets the ceiling that no model can break through. A linear regression on a high-quality indicator beats a deep neural network on a low-quality one. Most R&D effort is spent on the model, where the marginal returns are smallest. The bigger gains live in the inputs.