Your question is Building a New Alpha Signal. Take a moment with it on the right.
Talk me through your thinking if you like. When you're confident, submit your answer and I'll grade it like a real screen (7/10 or better passes).
If you were tasked with building a new alpha signal, what is the first data source you would investigate?
Explain your choice, the properties you would assess, and how you would determine whether the source contains predictive information rather than noise or leakage. Include a practical validation plan covering feature construction, time-based splits, transaction costs, and robustness across instruments or market regimes.