I've hit a wall. What alternative data actually moved the needle for you?

I run a GBT+MLP ensemble across multiple horizons on about 1,400 US equities. Walk-forward validated, debiased, etc. Short-term pipelines are solid. The long term ones are basically coin flips after 45+ rounds of feature engineering on price/volume/technicals. The one thing that actually moved the needle was yield curve slope. Which makes sense, it's capturing macro regime stuff that technicals just don't see. So now I'm looking for more features with those same properties: daily or better granularity, broad coverage, low sparsity. Tried pulling earnings data from Finnhub but free tier rate limits meant I only got \~3 quarters per symbol useless for anything like SUE where you need 8+. FMP blocked most of the useful endpoints on the free plan. I'm willing to spend on that data too but I'd rather learn more before I drop any more on data. I've already spent a lot on options and stock data. Two things I'm curious about: 1. What data sources have actually improved your medium-term/long-term predictions and held up out of sample? 2. What daily macro features beyond yield curve have you found predictive? FRED has a million series but most of them are monthly/quarterly noise.