| """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: tuple[str, ...] = ( |
| "shares_outstanding", "fullTimeEmployees", |
| ) |
|
|
| |
| |
| |
| 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 |
| |
| 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: |
| |
| |
| |
| |
| pass |
|
|
| |
| 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 |
| |
| |
| |
| 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, |
| ): |
| """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)" |
| ) |
|
|