Module direction 

Direction: what is the best SD can do at calling up or down?

Chapter 2 of the book found that squeeze and momentum measurements, on their own, call direction no better than a coin flip once the market’s upward drift is removed. This module widens the search to every family of measurement that the finance literature says carries some direction information, and lets a walk-forward test (sd_direction) decide which of them earn their place.

The families, and the one-line reason each is here:

Group	Measurements	Why it might know direction
sd	blend, agreement, fired×decay×blend, tier, energy, stretch, semi	SD’s own reading
mom	5/21/63/126-bar returns, 12-minus-1-month return	trends persist; very short moves reverse
trend	distance from 50/200-bar averages, drawdown from 1-year high	trend-following, anchoring
vol	20/126 vol ratio, vol level	calm markets drift up; panics overshoot
rel	63-bar return minus SPY’s	relative strength
mkt	SPY trend, momentum, vol ratio, 5/21-bar return	the tide lifts (and sinks) most boats
vix	VIX vs its 1-year average, VIX level, VIX minus realized vol	fear is paid for: high implied vol precedes better returns
season	November–April flag, month sine/cosine	the “Halloween” seasonal
sdw, sdm	SD’s reading on weekly and monthly bars	Extended SD’s idea: slower squeezes, slower trends

Every value at bar t uses only bars <= t.

Structs

Gbm

A small gradient-boosted tree ensemble for “will it close higher?”.

GbmParams

MarketWeather

Market weather on each SPY date: SPY’s own trend and VIX’s fear gauge.

Enums

GbmNode

Constants

GROUPS

Feature groups, in column order.

Functions

direction_frame

Every direction feature for every bar of one symbol (NaN = unusable).

group_range

Column range of a group.

n_features

slow_sd

SD’s reading on slower bars (weekly or monthly), mapped back to days.