"""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)" )