Earlier quoted context omitted.
See the last part of this post: https://news.ycombinator.com/item?id=15598117 Can you provide pseudocode consistent with what they described (in the post you responding to) that wouldn't lead to leakage? I can't see it.
Select a training set, leaving out one sample for validation. For all features, train a classifier on the training set using that feature. Keep the one that gives the highest discrimination score on the training set. Repeat with more features. Then evaluate the final classifier on the validation sample, which has so far not been seen in any of the steps. The result provides an estimate of the risk on unseen data from…
Using which set of features? You have 34 different models with different features...