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f02626b | 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57 58 59 60 61 62 63 64 65 66 67 68 69 70 71 72 73 74 75 76 77 78 79 80 81 82 83 84 85 86 87 88 89 90 91 92 93 94 95 96 97 98 99 100 101 102 103 104 105 106 107 108 109 110 111 112 113 114 115 116 117 118 119 120 121 122 123 124 125 126 127 128 129 130 131 132 133 134 135 136 137 138 139 140 141 142 143 144 145 146 147 148 149 150 151 152 153 154 155 156 157 158 159 160 161 162 163 164 165 166 167 168 169 170 171 172 173 174 175 176 177 178 179 180 181 182 183 184 185 186 187 188 189 190 191 192 193 194 195 196 197 198 199 200 201 202 203 204 205 206 207 208 209 210 211 212 213 214 215 216 217 218 219 220 221 222 223 224 225 226 227 228 229 230 231 232 233 234 235 236 237 238 239 240 241 | """Feature-group filter for the 5-step context ablation (A--E).
The ablation isolates the marginal value of each context source on the
panel-best LLM. Settings nest:
A: OHLCV only
B: A + Fundamentals (XBRL stmt_* + derived_* + shares_outstanding + fullTimeEmployees)
C: B + Macro (fred_* + eia_*)
D: C + Scenario flags (days_since_filing, filing_8k_count_30d,
news_count_7d, has_press_release_7d)
E: D + Filing text (handled in the LLM prompt; numeric features
identical to D)
Only the LLM ablation runs use this filter; classical / sequence / TSFM
methods always see the full feature set in the main panel results.
"""
from __future__ import annotations
import numpy as np
import pandas as pd
ABLATION_SETTINGS: tuple[str, ...] = ("A", "B", "C", "D", "E")
OHLCV: tuple[str, ...] = (
"open", "high", "low", "close", "volume", "adj_close",
)
# Static fundamentals not following a prefix
_STATIC_FUNDAMENTALS: tuple[str, ...] = (
"shares_outstanding", "fullTimeEmployees",
)
# Scenario / event flags (proxy for macro-event signal in the panel;
# the broader 1,130-event scenario layer enters via the prompt for T4
# and via news/8K density features here).
SCENARIO_FLAGS: tuple[str, ...] = (
"days_since_filing",
"filing_8k_count_30d",
"news_count_7d",
"has_press_release_7d",
)
def _is_fundamentals(name: str) -> bool:
return (
name.startswith("stmt_")
or name.startswith("derived_")
or name in _STATIC_FUNDAMENTALS
)
def _is_macro(name: str) -> bool:
return name.startswith("fred_") or name.startswith("eia_")
def _is_scenario(name: str) -> bool:
return name in SCENARIO_FLAGS
def column_mask(feature_names: list[str], setting: str) -> list[bool]:
"""Return a per-column bool mask for the requested setting.
The mask is over ``feature_names``; elements set to True are KEPT.
"""
if setting not in ABLATION_SETTINGS:
raise ValueError(
f"setting must be one of {ABLATION_SETTINGS}, got {setting!r}"
)
keep: list[bool] = []
for n in feature_names:
if n in OHLCV:
keep.append(True)
continue
if setting == "A":
keep.append(False)
continue
if _is_fundamentals(n):
keep.append(True)
continue
if setting == "B":
keep.append(False)
continue
if _is_macro(n):
keep.append(True)
continue
if setting == "C":
keep.append(False)
continue
if _is_scenario(n):
keep.append(True)
continue
# setting D or E: keep nothing else (unknown columns excluded)
keep.append(False)
return keep
def filter_columns(
feature_names: list[str], setting: str,
) -> list[str]:
"""Return the kept feature names for ``setting``."""
mask = column_mask(feature_names, setting)
return [n for n, k in zip(feature_names, mask) if k]
def apply_to_t1_array(
X: np.ndarray, feature_names: list[str], setting: str,
) -> tuple[np.ndarray, list[str]]:
"""Filter T1 ``(N, L, F)`` array to the columns of ``setting``."""
if X.ndim != 3:
raise ValueError(f"T1 X must be 3D (N,L,F); got shape={X.shape}")
if X.shape[2] != len(feature_names):
raise ValueError(
f"T1 X feature dim {X.shape[2]} != len(feature_names) "
f"{len(feature_names)}"
)
mask = column_mask(feature_names, setting)
keep_idx = [i for i, k in enumerate(mask) if k]
if not keep_idx:
raise RuntimeError(
f"setting={setting!r} produced 0 kept columns from "
f"{len(feature_names)} features"
)
new_X = X[:, :, keep_idx].astype(X.dtype, copy=False)
new_names = [feature_names[i] for i in keep_idx]
return new_X, new_names
def apply_to_dataframe(
X: pd.DataFrame, setting: str, *, lookback_cell_col: str | None = None,
) -> pd.DataFrame:
"""Filter a 2D DataFrame to the columns of ``setting``.
For T4 the dataframe carries a ``lookback`` cell column whose values
are ``(L, F)`` numpy arrays; pass ``lookback_cell_col`` so we can also
project the cell-arrays to the same column subset. The prefix-based
test on the dataframe's own columns still runs for any side-by-side
numeric columns.
"""
df = X.copy()
if lookback_cell_col and lookback_cell_col in df.columns:
# The (L, F) arrays in this column do not carry their feature
# names with them. Trust meta.attrs["feature_names"]; resolve at
# the call site that has access to it. This branch is wired
# through ``apply_to_loaded`` below.
pass
# Project numeric columns if any exist
keep = []
for c in df.columns:
if c in OHLCV:
keep.append(c)
continue
if setting == "A":
continue
if _is_fundamentals(c):
keep.append(c)
continue
if setting == "B":
continue
if _is_macro(c):
keep.append(c)
continue
if setting == "C":
continue
if _is_scenario(c):
keep.append(c)
continue
# Always preserve non-feature object cols (sector dummies, text fields
# that the method may consume) by keeping any column that has no
# known prefix and is not numeric.
extra = [c for c in df.columns if c not in keep and df[c].dtype == object]
return df[keep + extra]
def apply_to_loaded(
loaded: "Any", setting: str, # type: ignore[name-defined]
): # -> LoadedData
"""Filter a ``LoadedData`` tuple in-place semantics; returns a new tuple.
Handles the four ablation tasks:
T1: 3D ndarray (N, L, F) -- mask axis 2
T2 / T5: 2D DataFrame -- drop columns
T4: DataFrame with `lookback` cell column -- project each cell
"""
from typing import NamedTuple
X, y, meta = loaded
feat_names = list(meta.attrs.get("feature_names") or [])
task = meta.attrs.get("task")
if task == "T1":
new_X, new_names = apply_to_t1_array(X, feat_names, setting)
new_meta = meta.copy()
new_meta.attrs.update(meta.attrs)
new_meta.attrs["feature_names"] = new_names
new_meta.attrs["ablation_setting"] = setting
return type(loaded)(new_X, y, new_meta)
if task in ("T2", "T5"):
if not isinstance(X, pd.DataFrame):
raise TypeError(f"T2/T5 X expected DataFrame, got {type(X)}")
new_X = apply_to_dataframe(X, setting)
new_meta = meta.copy()
new_meta.attrs.update(meta.attrs)
new_meta.attrs["feature_names"] = list(new_X.columns)
new_meta.attrs["ablation_setting"] = setting
return type(loaded)(new_X, y, new_meta)
if task == "T4":
if not isinstance(X, pd.DataFrame):
raise TypeError(f"T4 X expected DataFrame, got {type(X)}")
if not feat_names:
raise RuntimeError(
"T4 ablation requires meta.attrs['feature_names'] to be "
"set by the loader; was None/empty."
)
mask = column_mask(feat_names, setting)
keep_idx = [i for i, k in enumerate(mask) if k]
new_X = X.copy()
if "lookback" in new_X.columns:
def _project(arr):
if arr is None:
return arr
if hasattr(arr, "shape") and arr.ndim == 2:
return arr[:, keep_idx]
return arr
new_X["lookback"] = new_X["lookback"].apply(_project)
new_meta = meta.copy()
new_meta.attrs.update(meta.attrs)
new_meta.attrs["feature_names"] = [feat_names[i] for i in keep_idx]
new_meta.attrs["ablation_setting"] = setting
return type(loaded)(new_X, y, new_meta)
raise ValueError(
f"Ablation not supported for task={task!r}; "
"ABLATION_TASKS = (T1, T2, T4, T5)"
)
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