is there any discussion or paper about how to define/design the labels for the ML training? Intuitively I can think of:
Net return of the next future day
Net return using the max candle-high value of the next N candles
There is also a process described in the book "advances in financial machine learning" (https://www.amazon.com/Advances-Financial-Machine-Learning-Marcos/dp/1119482089) but the book lacks somehow on justification and evaluation.
So in general: how to define your target variables (labels if classification) for stock predictions?