Market Research Lab
Research · Ongoing
An ongoing research program asking one narrow question: when a market-data model is given more information — a forecasting signal, filings, fundamentals, news — does anything genuinely add out-of-sample signal?
The question
Most “more data improves the model” stories are backtest stories. The question is whether each information source earns its place under an evaluation that respects time — and if so, which ones, and by how much.
The approach
Built on Microsoft's Qlib, with LightGBM establishing the market-data baseline. Four configurations are compared under one time-aware research framework: point-in-time alignment, walk-forward evaluation, and out-of-sample measurement of each source's contribution. The exact recipes — blends, features, lags — stay private; the design is the public part.
One detail
The modes are compared, never stacked: a more complex configuration is not assumed to be a better one. Every feature carries a “knowable by” timestamp so no evaluation window can read tomorrow's filing today — and each mode faces the same walk-forward discipline as the baseline before any claim is made.
Stack
Python · Qlib · LightGBM · Kronos-based forecasting signal · SEC-related filing data · company fundamentals · news-derived context
- Built on Qlib ↗— the open research framework this builds on
※ Ongoing research; historical experiments only. No returns, rankings, or winning mode are claimed until verified out-of-sample evaluation supports them. Nothing here is investment advice or a trading system.
The experimental matrix
compared, not stackedFour configurations. Different information sources. One question: what genuinely adds out-of-sample signal?
AMarket Baseline
Reference configurationEstablishes the reference point: market-derived signals with LightGBM in the Qlib pipeline — the line every other mode is measured against.
asks — How much predictive signal does the market-data baseline provide before anything else is added?
Reference configuration
BForecast-Augmented
Forecasting-signal experimentPairs the baseline with a signal generated by a pretrained time-series forecaster, Kronos — conceptually a second opinion on where the series is heading. The blending recipe stays private.
asks — Does an independently generated forecasting signal complement the baseline, or add nothing it doesn't already know?
Forecasting-signal experiment
CCompany Context
Running · evaluation pendingEnriches the market view with SEC-related filings and company fundamentals — regulatory and financial context, deliberately without news features. The feature inventory and alignment rules stay internal.
asks — Does company-level context carry predictive information beyond market-derived signals?
Filings & fundamentals experiment
DNews-Enriched Context
Planned · awaiting evaluationBuilds on the same research idea as Mode C, adding time-aware news-derived context on top of market, filing, and fundamentals information.
asks — Does news-derived context contribute incremental information once company context is already present?
News-enriched experiment