I am halfway through "Advances in Financial Machine Learning" by Marcos Lopez de Prado. I understand that a time series like stock prices can be transformed to make it sufficiently stationary. Pretend a stock series has 100 data points for T=1 to T=100 (one data point per time). I also understand (hopefully) that you can label this data by the three barrier method every so often in the time series. For example, label a training point every 2 units of time where the vertical barrier is 10 units of time out from the start point. So you would have labeled training examples for T=1, 3, 5, ... I understand that there is overlap in the training data and it is not IID and thus, you must use a method such as average uniqueness to counteract this act.
Okay. Given that, I still have no idea how this labeled training data can be used as input features in a machine learning model.
Like, each data point is just a number. I get that there's some concept of this number holding some concept of "memory" since the series isn't completely differentiated, but how is this even treated in the model?
For example, let's pretend I'm gonna train a random forest to predict a stock's performance in the future. I collected training data as described above (so I want to know the stock's performance up to 10 time units in the future). Now I come up with features for my model like let's say the temperature outside, yesterday's NASDAQ price, etc. Those are nice easy features. Now I have this huge time series that I want to use as a feature (or multiple features). There are so many complications. Firstly, it's ordered, if there's any alpha to be collected the order definitely is the thing that will lead you to the alpha. Secondly, there's no one-to-one correspondence between a new testing example's price and a price in the training data. For example, if I wanted to use the NASDAQ price feature on a new testing example I would simply look at yesterday's NASDAQ price (there's a one-to-one correspondence). If I wanted to use yesterday's stock price to predict today's I wouldn't know which "yesterday" to use because any of the data point in the time series could he considered "yesterday".
What am I missing here?