16 new features computed directly in the state_gather CUDA kernel
from market data already on GPU. No CPU feature engineering.
Lookback windows: 5, 15, 60, 240 bars (≈5min, 15min, 1hr, 4hr)
Features per window:
- Return over N bars (directional bias)
- Volatility (high-low range / close)
- Volume trend (current / N-bar average)
- Momentum (position within N-bar range [0=bottom, 1=top])
State dim: 66 raw (72 aligned) without OFI, 74 raw (80 aligned) with.
The model now sees price action at 4 timescales simultaneously.
Co-Authored-By: Claude Opus 4.6 (1M context) <noreply@anthropic.com>
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