Stress monitoring is an important area of research with significant implications for individuals’ physical and mental health. We present a data-driven approach for stress detection based on convolutional neural networks while addressing the problems of the best sensor channel and the lack of knowledge about stress episodes. Our work is the first to present an analysis of stress-related sensor data collected in real-world conditions from individuals diagnosed with Alcohol Use Disorder (AUD) and undergoing treatment to abstain from alcohol. We developed polynomial-time sensor channel selection algorithms to determine the best sensor modality for a machine learning task. We model the time variation in stress labels expressed by the participants as the subjective effects of stress. We addressed the subjective nature of stress by determining the optimal input length around stress events with an iterative search algorithm.