Отбор опционных признаков акций с IC и контролем множественного тестирования

# 05_evaluation.py


```py
# ---
# jupyter:
#   jupytext:
#     cell_metadata_filter: tags,-all
#     text_representation:
#       extension: .py
#       format_name: percent
#       format_version: '1.3'
#       jupytext_version: 1.19.3
#   kernelspec:
#     display_name: Python 3
#     language: python
#     name: python3
# ---

# %% [markdown]
# # S&P 500 Equity Option Analytics: Feature Evaluation
#
# This case study has now built two feature sets: the eight families
# `03_financial_features` derives from the option surface and the share price -
# cross-sectional ranks, implied-volatility level and dynamics, skew and term
# structure, the variance risk premium, realized volatility, equity momentum and
# surface quality - and the three conditional-volatility estimators
# `04_model_based_features` fits with a GJR-GARCH model. This notebook screens
# every one of them, one at a time, against the forward equity return the
# configuration names as the primary label.
#
# The statistic it turns on is the **information coefficient**: on each session,
# the rank correlation across names between a feature's value and the return that
# follows it. One number per session gives a series, and the series answers three
# questions in turn - does the feature rank names in the order their returns turn
# out to, does it do so in every walk-forward validation window or only in one,
# and what does having tested the whole candidate set at once cost the
# credibility of whichever looks best. The output is one recorded decision per
# feature.
#
# Both upstream notebooks say the question of whether a feature predicts belongs
# here, and neither screens for it. Nothing downstream applies the answer: the
# models from Ch11 on train on the whole feature matrix and let regularization
# sort it out. A recorded STOP is a judgment about a feature, not a filter applied
# on the reader's behalf.
#
# Every statistic below is computed on development sessions only. The 2021 holdout
# is never read here; it is spent once, on the single selected configuration, in
# Ch20.
#
# **Learning objectives**
#
# - Measure whether a candidate ranks names in the order their next-week returns
#   turn out to, by taking one rank correlation across names per session and
#   averaging the series that gives you.
# - Widen the uncertainty of that average to account for consecutive five-day
#   returns covering four of the same five days, which makes neighbouring
#   sessions carry nearly the same information.
# - Adjust the significance of a whole set of simultaneous tests so the number of
#   features called predictive is not simply the number you would expect from
#   testing that many.
# - Separate a candidate whose association holds in both validation windows from
#   one that reverses between them, and record which of the two each feature is.
#
# **Book Reference**: §7.3 (univariate feature-label evaluation) and §7.4 (search
# accounting and multiple testing). §8.6 is the secondary reference for search
# control.
#
# **What it reads**: `features/financial.parquet`, `features/model_based.parquet`,
# `labels/fwd_ret_5d.parquet`, and the evaluation block of `config/setup.yaml`.
#
# **What it writes**: `evaluation/triage_ledger.parquet`, one row per feature,
# read by `20_strategy_synthesis/02_feature_evaluation.py`, which puts the nine
# case studies' screens side by side; and `evaluation/ic_timeseries.parquet`, the
# per-session series the figures below are drawn from, at the grain they are
# summarized out of.
#
# **Prerequisites**: `03_financial_features.py` and `04_model_based_features.py`
# must have run.

# %%
"""S&P 500 Equity Option Analytics: Feature Evaluation."""

import warnings
from datetime import date

import numpy as np
import plotly.graph_objects as go
import polars as pl
import yaml
from ml4t.diagnostic.evaluation.stats import benjamini_hochberg_fdr
from ml4t.diagnostic.metrics import compute_ic_hac_stats, compute_ic_uncertainty
from plotly.subplots import make_subplots
from scipy.stats import spearmanr
from scipy.stats import t as student_t

import utils.style as style
from case_studies.utils.cv_window import fold_boundary_date, modeling_fold_boundaries
from case_studies.utils.feature_engineering import (
    assign_families,
    families_from_config,
    quantile_profile,
    register_frame,
)
from utils.cv_splits import load_evaluation_config
from utils.data_quality import top_entities, validate_modeling_inputs
from utils.paths import display_path, get_case_study_dir

# Narrow, not blanket: the estimator's own missing-bandwidth warning stays visible.
warnings.filterwarnings("ignore", category=FutureWarning)

# Register the ML4T Plotly template (colorway, fonts, gridlines) as the default
# and expose the book palette so every figure sources color from utils.style.
style.apply_ml4t_style()
COLORS = style.COLORS
GRAY_FILLS = style.GRAY_FILLS
show_plotly_with_alt = style.show_plotly_with_alt

# %% tags=["parameters"]
MAX_SYMBOLS = 0

# %% [markdown]
# ## Configuration
#
# Two kinds of constant, and the difference matters when a reader adapts this to
# their own data. The first kind describes the case study and is read from
# `config/setup.yaml`, so changing it there moves this notebook with it: which
# label is primary, how far forward that label looks, when the holdout begins,
# and which feature families the matrix is supposed to contain. The second kind
# is this screen's own judgment about how much coverage, stability or effect size
# is enough, and there is no configuration file that can settle those - they are
# stated here, and each is displayed below with the decision it makes.
#
# The smallest cross-section a rank correlation may be taken on is one of them.
# Below it the correlation is an ordering of too few names to mean anything, and
# the session is left out of the average rather than entered into it. A reduced
# run loads fewer symbols than production does, so the floor is capped by the
# universe actually loaded once the panel exists, and the gate shrinks with the
# data instead of silently excluding every session.

# %%
CASE_STUDY_ID = "sp500_equity_option_analytics"
CASE_DIR = get_case_study_dir(CASE_STUDY_ID)
EVAL_DIR = CASE_DIR / "evaluation"
EVAL_DIR.mkdir(exist_ok=True)

JOIN_COLS = ["timestamp", "symbol"]
DATE_COL = "timestamp"

setup = yaml.safe_load((CASE_DIR / "config" / "setup.yaml").read_text())
PRIMARY_LABEL = setup["labels"]["primary"]
PRIMARY_LABEL_FILE = f"{PRIMARY_LABEL}.parquet"
# `5D` -> 5 sessions. The horizon is spent twice: it sets how many development
# sessions are dropped at the holdout boundary, and it sets the bandwidth of the
# Newey-West correction in section 2.
LABEL_HORIZON_SESSIONS = int(str(setup["labels"]["horizons"][PRIMARY_LABEL]).rstrip("Dd"))
HAC_MAXLAGS = LABEL_HORIZON_SESSIONS
FEATURE_FAMILIES = families_from_config(setup)
GARCH_FAMILY = "conditional volatility"

# This screen's own bounds.
COVERAGE_MIN = 0.70
STALENESS_MAX = 0.50
FDR_ALPHA = 0.05
SIGN_CONSISTENCY_MIN = 0.60
REDUNDANCY_CUT = 0.70
IC_THRESHOLD = 0.005
N_QUANTILES = 5
MIN_CROSS_SECTION_DEFAULT = 20  # capped by the universe actually loaded, below
NON_FEATURE_COLS = {"fold", "is_holdout"}  # keys and flags, not candidates

# %%
print("Read from config/setup.yaml - what this case study is:")
print(
    f"  The primary label is {PRIMARY_LABEL}, the return over the next "
    f"{LABEL_HORIZON_SESSIONS} sessions. Every feature is screened against it, and "
    f"because two labels one session apart cover {LABEL_HORIZON_SESSIONS - 1} of the "
    f"same {LABEL_HORIZON_SESSIONS} sessions, the significance test has to price that "
    f"overlap in."
)
print(
    f"  The holdout begins {setup['evaluation']['holdout_start']}. No statistic here "
    f"may reach it, either directly or through a label that settles after it."
)
print(
    f"  The walk-forward scheme declares {setup['evaluation']['n_splits']} folds. That "
    f"is how many separate windows a feature has to agree with itself across, and this "
    f"is as few as such a test can have."
)
print("\nThis screen's own bounds - how much is enough:")
print(
    f"  A feature is dropped before its association is measured unless at least "
    f"{COVERAGE_MIN:.0%} of its rows carry a value, because the names a thin surface "
    f"is missing are not a random sample of the universe."
)
print(
    f"  It is also dropped if more than {STALENESS_MAX:.0%} of its rows repeat the "
    f"previous session's value, which is what a stopped feed looks like and would "
    f"show up as a correlation that is really the carry-forward."
)
print(
    f"  Of the features this notebook ends up calling predictive, it accepts that up "
    f"to {FDR_ALPHA:.0%} of them are false."
)
print(
    f"  Fold agreement is set at {SIGN_CONSISTENCY_MIN:.0%} of folds sharing the "
    f"feature's own sign; with two folds that is a yes or no, not a proportion."
)
print(
    f"  The effect-size floor for promotion without significance is a mean absolute "
    f"information coefficient of {IC_THRESHOLD}; section 3 says what sets the level."
)
print(
    f"  Two features are treated as one ordering under two names once their rank "
    f"correlation exceeds {REDUNDANCY_CUT} in absolute value, and only one of them "
    f"then stands for the pair."
)

# %% [markdown]
# ## 0. Load the artifacts and build the evaluation panel
#
# Three artifacts: the financial features from `03_financial_features`, the
# conditional-volatility estimators from `04_model_based_features`, and the
# primary label. The financial columns are deterministic transforms of observable
# prices and surfaces, one row per `(timestamp, symbol)`, and they join straight
# on.
#
# **The model-based artifact now joins the same way, and it did not use to.**
# `04_model_based_features` refits its GJR-GARCH on a schedule over each security's
# own history rather than once inside each fold's training window, so
# `model_based.parquet` carries one row per `(timestamp, symbol)` and no `fold`
# column. Every value comes from the last parameters estimated strictly before the
# session it is stamped with, on a training row exactly as much as on a validation
# row, so there is no in-sample half to cut away and no fold provenance to mix.
#
# What that removes from this notebook is the whole apparatus that used to stand
# here: the per-fold filter, the uniqueness check that caught overlapping
# validation windows, and the restricted screening window that followed from
# keeping only validated rows. The GARCH columns are now defined wherever the
# schedule emitted them, which is every session after a security's own burn-in.
#
# **What it adds is nulls on short names.** A refit schedule emits nothing for a
# security until that security has cleared its burn-in, and a name that lists late
# in the panel may never clear it. The old design never produced those: it fitted
# on each fold's whole training window and emitted backwards across it, so the
# column was complete precisely because it was fitted on its own future. Those
# rows are dropped below and counted, rather than raised on. Keeping them would
# score the financial features on rows where the model-based ones do not exist,
# and this section exists to compare the two on the same rows.

# %%
features = pl.read_parquet(CASE_DIR / "features" / "financial.parquet")
temporal = pl.read_parquet(CASE_DIR / "features" / "model_based.parquet")
label_df = pl.read_parquet(CASE_DIR / "labels" / PRIMARY_LABEL_FILE)

for name, frame in (("financial", features), ("model_based", temporal), (PRIMARY_LABEL, label_df)):
    missing = sorted(set(JOIN_COLS) - set(frame.columns))
    if missing:
        msg = f"{name} does not carry the canonical key columns {missing}: {frame.columns}"
        raise KeyError(msg)

label_col = next(c for c in label_df.columns if c not in JOIN_COLS)
cv_config = load_evaluation_config(CASE_STUDY_ID)

print(f"Financial features: {features.shape[0]:,} rows x {features.shape[1]} columns")
print(f"Model-based features: {temporal.shape[0]:,} rows x {temporal.shape[1]} columns")
print(f"Label {label_col}: {label_df.shape[0]:,} rows")

# %%
financial_cols = [c for c in features.columns if c not in JOIN_COLS and c not in NON_FEATURE_COLS]
temporal_cols = [c for c in temporal.columns if c not in JOIN_COLS and c not in NON_FEATURE_COLS]

# The producer folds, from the same generator stage 04 called, so a fold id means
# the same thing on both sides. The extra whole-development-window fold stage 04
# appends is not in this list and is therefore never selected here.
producer_folds = modeling_fold_boundaries(CASE_STUDY_ID, PRIMARY_LABEL)
if not producer_folds:
    msg = f"No canonical modeling folds for {CASE_STUDY_ID}/{PRIMARY_LABEL}"
    raise RuntimeError(msg)
# That generator indexes the label timeline with a pandas `DatetimeIndex`, so a boundary
# comes back as a `Timestamp` whatever dtype the label parquet holds. Section 3 compares a
# fold's end against `holdout_start_date`, which the configuration states as a calendar
# date, and a `Timestamp` raises against a `date` rather than answering. Converting once
# here is what lets every span below be compared and filtered without a second parse.
_SPAN_FIELDS = ("train_start", "train_end", "val_start", "val_end")
producer_folds = [
    {**f, **{field: fold_boundary_date(f[field]) for field in _SPAN_FIELDS}} for f in producer_folds
]

# The artifact is already one row per key and every row is out of sample in the sense that
# matters: its parameters were fitted strictly before it. What is still cut here is the span,
# so the screens below are measured over the same validation windows the downstream models are
# scored on rather than over the whole panel.
temporal_oos = temporal.filter(
    (pl.col(DATE_COL) >= min(f["val_start"] for f in producer_folds))
    & (pl.col(DATE_COL) <= max(f["val_end"] for f in producer_folds))
)
if temporal_oos.select(JOIN_COLS).n_unique() != len(temporal_oos):
    msg = "model_based.parquet is not one row per (timestamp, symbol)"
    raise ValueError(msg)

# The window the GARCH columns can be screened on. Outside it they are absent by
# construction rather than missing, and section 1 divides by this rather than by
# the whole development panel.
TEMPORAL_WINDOW = (
    min(f["val_start"] for f in producer_folds),
    max(f["val_end"] for f in producer_folds),
)

for f in producer_folds:
    print(
        f"fold {f['fold']}: fitted {f['train_start']} to {f['train_end']}, "
        f"kept {f['val_start']} to {f['val_end']}"
    )
print(
    f"Model-based rows: {len(temporal):,} in the artifact -> {len(temporal_oos):,} taken "
    f"from validation windows only ({TEMPORAL_WINDOW[0]} to {TEMPORAL_WINDOW[1]})"
)

# Left join, so the panel keeps every financial row and the GARCH columns arrive
# as nulls outside the validation windows. The row count is checked rather than
# trusted: a right side with a duplicate key would silently multiply the panel.
eval_panel = features.join(temporal_oos, on=JOIN_COLS, how="left")
if len(eval_panel) != len(features):
    msg = f"Model-based join changed the panel row count: {len(features):,} -> {len(eval_panel):,}"
    raise ValueError(msg)
eval_panel = eval_panel.join(label_df, on=JOIN_COLS, how="inner")

# Inside the screening window a null GARCH column means the security had not cleared its
# burn-in, not that the schedule declined to emit there. Those rows are dropped, and the drop
# has to happen HERE rather than on `temporal_oos`: the join above is a left join, so removing
# them from the right side only puts them back as nulls. Dropping after the join is what
# actually gives section 1 one sample for both feature families - which is the comparison it
# exists to make. Outside the window the columns are absent by construction and the rows stay.
_in_window = (pl.col(DATE_COL) >= TEMPORAL_WINDOW[0]) & (pl.col(DATE_COL) <= TEMPORAL_WINDOW[1])
_window_rows = eval_panel.filter(_in_window).height
eval_panel = eval_panel.filter(~_in_window | pl.all_horizontal(pl.col(temporal_cols).is_not_null()))
_dropped = _window_rows - eval_panel.filter(_in_window).height
if _dropped:
    print(
        f"Dropped {_dropped:,} of {_window_rows:,} rows in the screening window "
        f"({_dropped / _window_rows:.2%}) whose security had not cleared its GARCH burn-in, so "
        "both feature families are now measured on the same rows."
    )

all_feature_cols = financial_cols + temporal_cols

if MAX_SYMBOLS > 0:
    # `top_entities` rather than a local reduction. The rule is the same - the most-observed
    # symbols - but the tie-break is not: this sorted on row count alone, and where counts tie the
    # winner came from frame order, which is not stable across runs or across callers. Two stages
    # reducing the same panel to the same size have to get the same universe, or a symbol only one
    # of them chose carries null features on the other and the run answers wrongly while looking
    # clean.
    eval_panel = eval_panel.filter(
        pl.col("symbol").is_in(top_entities(eval_panel, MAX_SYMBOLS, entity_col="symbol"))
    )

# %% [markdown]
# ### Hold back the 2021 window, and the sessions whose labels reach it
#
# Both upstream notebooks leave the question of predictive content to this one, so
# every statistic below - coverage, staleness, the information coefficient and its
# significance, the multiplicity adjustment, fold stability and the triage - is
# computed on development sessions only.
#
# Dropping sessions dated in 2021 is not enough on its own. The label attached to a
# decision made on the last development session is the return over the five
# sessions that follow it, which are 2021 sessions, so that decision already knows
# something about the held-back period. The last five development sessions are
# therefore dropped as well. This is called an **embargo**: a gap wide enough that
# no observation kept on one side of the boundary has an outcome resolved on the
# other. Its width is the label's own horizon, and it is counted in sessions on
# this panel's own trading calendar rather than in calendar days.

# %%
holdout_start = str(cv_config["holdout_start"])[:10]
holdout_start_date = date.fromisoformat(holdout_start)

dev_sessions = eval_panel.filter(pl.col(DATE_COL) < holdout_start_date)[DATE_COL].unique().sort()
if dev_sessions.len() > LABEL_HORIZON_SESSIONS:
    embargo_cutoff = dev_sessions[-(LABEL_HORIZON_SESSIONS + 1)]
    eval_panel = eval_panel.filter(pl.col(DATE_COL) <= embargo_cutoff)
else:
    eval_panel = eval_panel.filter(pl.col(DATE_COL) < holdout_start_date)

print(
    f"Holdout begins {holdout_start}. Evaluating "
    f"{eval_panel[DATE_COL].min()} to {eval_panel[DATE_COL].max()}: "
    f"{eval_panel[DATE_COL].n_unique():,} development sessions, after a "
    f"{LABEL_HORIZON_SESSIONS}-session embargo at the boundary."
)

n_rows = len(eval_panel)
n_symbols = eval_panel["symbol"].n_unique()
n_dates = eval_panel[DATE_COL].n_unique()
MIN_CROSS_SECTION = min(MIN_CROSS_SECTION_DEFAULT, n_symbols)
print(
    f"Panel: {n_rows:,} rows, {n_symbols} symbols, {n_dates:,} sessions. "
    f"A session enters the average only with at least {MIN_CROSS_SECTION} names "
    f"carrying both the feature and the label."
)

# %% [markdown]
# ### What is being screened
#
# The candidate set is the register `config/setup.yaml` declares, one row per
# family, plus the conditional-volatility columns from `04_model_based_features`.
# The register is what fixes the searched set before any of it is tested: it says
# which families exist, what each is built from and what it is supposed to
# capture, and a column with no register row raises rather than being screened
# under a name nobody declared. `lookback`
# is how many sessions of history the family's longest window spans, and `lag` is
# how late its input becomes knowable - one session for everything read off the
# option surface, because the surface summary is stamped at the close it
# summarizes and is not acted on until the next decision.

# %%
families = assign_families(financial_cols, FEATURE_FAMILIES) | dict.fromkeys(
    temporal_cols, GARCH_FAMILY
)
register = register_frame(FEATURE_FAMILIES, financial_cols).select(
    ["family", "columns", "role", "inputs", "lookback (bars)", "lag (bars)", "representation"]
)
print(
    f"{len(financial_cols)} financial features in {len(FEATURE_FAMILIES)} declared families, "
    f"plus {len(temporal_cols)} in {GARCH_FAMILY} from 04_model_based_features, "
    f"screened against {label_col}."
)
register

# %% [markdown]
# ## The artifact gate
#
# One question before any feature is measured: is anything in these artifacts
# broken outright - a non-finite value, a negative price, a return no equity could
# have produced over a week? That is a property of the files, and it is separate
# from the per-feature coverage and staleness screens in section 1, which ask
# whether a column that is intact is also usable.
#
# The bound on the label is the one judgment in this gate. A share that trebles or
# loses two thirds of its value in a week is possible and rare; a share that moves
# several hundred percent in a week is a corporate action the price series failed
# to adjust for, entering the label as if it were a return. So the bound is set
# above what a market can plausibly do and below what an unadjusted split looks
# like. Setting it at the largest move actually observed would make the gate fire
# on the next genuine one; setting it an order of magnitude above would let the
# artifact it exists to catch through.

# %%
MAX_ABS_LABEL_RETURN = 3.0

quality = validate_modeling_inputs(
    features_df=eval_panel,
    label_df=eval_panel,
    feature_cols=all_feature_cols,
    label_col=label_col,
    join_cols=JOIN_COLS,
    asset_col="symbol",
    max_abs_return=MAX_ABS_LABEL_RETURN,
    fail_on_critical=True,
)
print(
    f"Largest absolute {label_col} in the panel: "
    f"{eval_panel[label_col].abs().max():.3f}, against a bound of {MAX_ABS_LABEL_RETURN}."
)
print(f"Critical issues: {quality['n_critical']}, warnings: {quality['n_warning']}")

# %% [markdown]
# ## 1. Can the definition be trusted?
#
# Two properties a feature has whether or not it predicts anything, and both have
# to hold before measuring whether it does. **Coverage** is the share of rows
# carrying a value at all. **Staleness** is the share of rows repeating the same
# name's previous session, which is what a feed that has stopped updating looks
# like from the inside. Book §7.3 lists four correctness questions; these are two
# of them, and the other two - timing and lag consistency, and mask alignment -
# are settled where each family's lag is declared, in the register above.
#
# Both matter here for reasons particular to option data. A surface summary exists
# only for names with contracts quoted in the right maturity and delta buckets, so
# the less-liquid half of the index carries fewer implied-volatility values than
# the liquid half - and the names that go missing are not a random sample, which is
# what makes low coverage a problem rather than a nuisance. And because every
# surface-derived family is read one session late, a name whose surface did not
# update carries yesterday's number forward; a correlation computed from a column
# that mostly repeats itself is measuring the carry-forward.
#
# A feature clears when its coverage reaches the floor and its staleness stays
# under the ceiling, both printed with the configuration above. The figure shows
# every candidate against both bounds, rather than only the ones that failed,
# because where a feature sits relative to a bound is what tells the reader
# whether the bound is doing any work.
#
# **Each column is screened on the window it can reach.** For the financial
# columns that is every development session. For the three GARCH columns it is
# the union of the folds' validation windows, because outside that window stage 04
# produced no out-of-sample fitted value, so the column is absent by construction
# rather than missing. Dividing those by the whole development panel would report
# the shape of the fold contract as though it were a data-quality failure, and the
# gate would then drop them for a reason that is not true of them.

# %%
coverage = {}
staleness = {}

# The rows each column is eligible on. The GARCH columns exist only inside the
# folds' validation windows; everything else spans the panel.
eligible_rows = {}
for feat in all_feature_cols:
    if feat in temporal_cols:
        eligible_rows[feat] = eval_panel.filter(
            (pl.col(DATE_COL) >= TEMPORAL_WINDOW[0]) & (pl.col(DATE_COL) <= TEMPORAL_WINDOW[1])
        )
    else:
        eligible_rows[feat] = eval_panel

for feat in all_feature_cols:
    frame = eligible_rows[feat]
    denom = len(frame)
    coverage[feat] = frame[feat].drop_nulls().len() / denom

    unchanged = (
        frame.sort(JOIN_COLS)
        .select((pl.col(feat) == pl.col(feat).shift(1).over("symbol")).alias("same"))["same"]
        .sum()
    )
    staleness[feat] = float(unchanged) / max(denom - frame["symbol"].n_unique(), 1)

correctness = {
    feat: coverage[feat] >= COVERAGE_MIN and staleness[feat] <= STALENESS_MAX
    for feat in all_feature_cols
}
n_pass = sum(correctness.values())
n_fail = len(correctness) - n_pass
print(f"Cleared both bounds: {n_pass}. Failed at least one: {n_fail}.")

screened_out = pl.DataFrame(
    {
        "feature": [f for f, ok in correctness.items() if not ok],
        "family": [families[f] for f, ok in correctness.items() if not ok],
        "coverage": [round(coverage[f], 3) for f, ok in correctness.items() if not ok],
        "staleness": [round(staleness[f], 3) for f, ok in correctness.items() if not ok],
    }
).sort("coverage")
screened_out

# %%
fig = go.Figure()
for cleared, color, name in (
    (True, COLORS["blue"], "Cleared both bounds"),
    (False, COLORS["copper"], "Failed at least one"),
):
    members = [f for f in all_feature_cols if correctness[f] is cleared]
    if not members:
        continue
    _ = fig.add_trace(
        go.Scatter(
            x=[staleness[f] for f in members],
            y=[coverage[f] for f in members],
            mode="markers",
            marker={"color": color, "size": 9, "opacity": 0.85},
            text=members,
            name=name,
        )
    )
_ = fig.add_hline(
    y=COVERAGE_MIN,
    line={"color": COLORS["neutral"], "width": 1, "dash": "dash"},
    annotation_text="coverage bound",
)
_ = fig.add_vline(
    x=STALENESS_MAX,
    line={"color": COLORS["neutral"], "width": 1, "dash": "dash"},
    annotation_text="staleness bound",
)
fig.update_layout(
    title="Coverage and staleness each rule out candidates, and no feature fails both",
    xaxis_title="Fraction of rows unchanged from the prior session",
    yaxis_title="Fraction of rows non-null",
    height=520,
    width=1000,
    legend={"orientation": "h", "y": -0.18},
)
show_plotly_with_alt(
    fig,
    "Scatter of every candidate feature, coverage on the vertical axis against staleness on the "
    "horizontal, with a dashed rule at each bound. Most points sit in a dense cluster at the top "
    "left: staleness at or near zero and coverage between about 0.85 and one, all in the colour "
    "used for features that cleared. The features that failed form two separate groups. One is a "
    "band below the coverage rule, between about 0.03 and 0.60 covered, at staleness under 0.16. "
    "The other is a single point at the far right, fully covered but with about 0.99 of its rows "
    "repeating the previous session. No point sits in the lower-right quadrant, which is where a "
    "feature failing both bounds would fall.",
)
only_staleness = sum(
    1
    for f in all_feature_cols
    if not correctness[f] and coverage[f] >= COVERAGE_MIN and staleness[f] > STALENESS_MAX
)
only_coverage = sum(
    1
    for f in all_feature_cols
    if not correctness[f] and coverage[f] < COVERAGE_MIN and staleness[f] <= STALENESS_MAX
)
print(f"Failed on staleness alone: {only_staleness}")
print(f"Failed on coverage alone:  {only_coverage}")
print(f"Failed on both:            {n_fail - only_staleness - only_coverage}")

# %% [markdown]
# ## 2. Does the feature carry information about the label?
#
# The **information coefficient** is one number per session: the Spearman rank
# correlation, across the names quoted that session, between a feature's value and
# the return over the following week. Rank correlation rather than Pearson, because
# what a long-short book acts on is the ordering of names, not the size of the gaps
# between them - and because a single outlier cannot then set the answer. Averaging
# that series over the development window gives the feature's mean information
# coefficient, and the sections after this one ask how reliable that average is.
#
# **Significance has to price in the overlap.** Two labels one session apart cover
# four of the same five days, so consecutive information coefficients are not
# independent draws, and the usual standard error of a mean - which assumes they
# are - is too small. The **Newey-West** estimator replaces it with one that allows
# neighbouring observations to be correlated up to a stated number of lags apart;
# the bandwidth here is the label's own horizon, five sessions, which is exactly
# the distance at which two labels stop sharing any days. It reads the series in
# the order it is given, so the series is sorted by date before it is handed over.
#
# A few columns describe the market as a whole rather than any one name, so they
# take the same value across every symbol on a session. A cross-sectional
# correlation of a constant is undefined, and this is not a defect in those
# columns: they remain valid conditioning variables for a multivariate model. They
# are separated out here rather than measured.

# %%
evaluable_features = [f for f in all_feature_cols if correctness[f]]

# A column with no cross-sectional dispersion on a typical session is a
# market-state variable, not a candidate for a cross-sectional ranking.
cs_std_df = eval_panel.group_by(DATE_COL).agg(
    [pl.col(f).std().alias(f) for f in evaluable_features]
)
date_level_features = set()
for feat in evaluable_features:
    mean_std = cs_std_df[feat].drop_nulls().mean()
    if mean_std is not None and mean_std < 1e-10:
        date_level_features.add(feat)

if date_level_features:
    print(f"Constant across names on a session, so not rankable: {sorted(date_level_features)}")

# %%
# One pass over sessions, every feature scored on each.
cs_features = [f for f in evaluable_features if f not in date_level_features]
cols_needed = [DATE_COL] + cs_features + [label_col]
eval_sub = eval_panel.select(cols_needed).drop_nulls(subset=[label_col])

dates_list = eval_sub[DATE_COL].unique().sort().to_list()
n_total = len(dates_list)

ic_series_data = {feat: [] for feat in cs_features}

for i, dt in enumerate(dates_list):
    cross_section = eval_sub.filter(pl.col(DATE_COL) == dt)
    n_obs = len(cross_section)
    if n_obs < MIN_CROSS_SECTION:
        continue

    label_arr = cross_section[label_col].to_numpy()
    label_valid = ~np.isnan(label_arr)

    for feat in cs_features:
        feat_arr = cross_section[feat].to_numpy()
        valid_mask = label_valid & ~np.isnan(feat_arr)
        n_valid = int(valid_mask.sum())
        if n_valid >= MIN_CROSS_SECTION:
            ic_val, _ = spearmanr(feat_arr[valid_mask], label_arr[valid_mask])
            if not np.isnan(ic_val):
                ic_series_data[feat].append((dt, float(ic_val), n_valid))

    if (i + 1) % 200 == 0:
        print(f"  scored {i + 1} of {n_total} sessions")

print(f"  scored {n_total} of {n_total} sessions")

# %%
MIN_SESSIONS_FOR_INFERENCE = 20

ic_results = {}
ic_timeseries = {}
for feat in cs_features:
    data = ic_series_data[feat]
    if len(data) < MIN_SESSIONS_FOR_INFERENCE:
        continue
    dates_f, ics_f, nobs_f = zip(*data, strict=False)
    ic_df = pl.DataFrame({DATE_COL: list(dates_f), "ic": list(ics_f), "n_obs": list(nobs_f)}).sort(
        DATE_COL
    )
    ic_results[feat] = compute_ic_hac_stats(ic_df, ic_col="ic", maxlags=HAC_MAXLAGS)
    ic_timeseries[feat] = ic_df

print(f"Mean information coefficient and its significance for {len(ic_results)} features.")

# %% [markdown]
# ### The series behind the average
#
# A mean is a summary of a series, and the two things that decide whether a weak
# association is usable are visible only in the series itself: an association
# carried entirely by one episode, and one that changes sign partway through. The
# left panel draws the session-by-session information coefficient of the strongest
# feature under a rolling quarterly mean, so both patterns would show.
#
# The right panel puts three ways of bounding the same average on one axis, for the
# strongest features. The naive interval assumes each session is an independent
# draw. The Newey-West interval allows neighbouring sessions to be correlated. The
# block-bootstrap bounds resample contiguous runs of sessions rather than
# individual ones, and so assume neither a variance formula nor a distribution.
# With a five-session label the sessions overlap heavily, so the distance between
# the grey band and the navy bar is what the independence assumption was buying,
# and whether an interval still excludes zero once it is paid for is the whole
# question this section asks.
#
# The series drawn here is the one written to `evaluation/ic_timeseries.parquet`
# at the end, at the grain everything below is summarized out of.

# %%
IC_ROLLING_WINDOW = 63  # one quarter of sessions
BOOT_BOUNDS = ("ci_boot_lower", "ci_boot_upper")

leaders = sorted(ic_results, key=lambda name: abs(ic_results[name]["mean_ic"]), reverse=True)[:8]
# The bands are asked for the same bandwidth the table above used. This call takes
# a horizon and sets its lag to one less, so it is handed one more than the lag
# count, and the figure and the table are then one correction read two ways.
ic_uncertainty = {
    feature: compute_ic_uncertainty(ic_timeseries[feature], horizon=HAC_MAXLAGS + 1, ic_col="ic")
    for feature in leaders
}
leader = leaders[0] if leaders else None
print(f"Largest absolute mean information coefficient: {leader}")


# %%
def interval_arms(features: list[str], lower: str, upper: str) -> dict:
    """Asymmetric Plotly error bars from a pair of interval bounds."""
    return {
        "type": "data",
        "symmetric": False,
        "array": [
            ic_uncertainty[name][upper] - ic_uncertainty[name]["mean_ic"] for name in features
        ],
        "arrayminus": [
            ic_uncertainty[name]["mean_ic"] - ic_uncertainty[name][lower] for name in features
        ],
    }


# %%
if leader:
    leader_series = (
        ic_timeseries[leader]
        .sort(DATE_COL)
        .with_columns(pl.col("ic").rolling_mean(IC_ROLLING_WINDOW).alias("rolling"))
    )
    interval_features = list(reversed(leaders))
    interval_means = [ic_uncertainty[name]["mean_ic"] for name in interval_features]
    fig = make_subplots(
        rows=1,
        cols=2,
        column_widths=[0.58, 0.42],
        subplot_titles=(
            f"Session-by-session IC of {leader}, under its rolling mean",
            "Mean IC against three ways of bounding it",
        ),
        horizontal_spacing=0.18,
    )
    _ = fig.add_trace(
        go.Scatter(
            x=leader_series[DATE_COL],
            y=leader_series["ic"],
            mode="lines",
            line={"color": COLORS["neutral"], "width": 0.6},
            opacity=0.45,
            name="Daily IC",
        ),
        row=1,
        col=1,
    )
    _ = fig.add_trace(
        go.Scatter(
            x=leader_series[DATE_COL],
            y=leader_series["rolling"],
            mode="lines",
            line={"color": COLORS["blue"], "width": 2},
            name="Rolling mean over one quarter",
        ),
        row=1,
        col=1,
    )
    _ = fig.add_hline(
        y=0, line={"color": COLORS["neutral"], "width": 0.8, "dash": "dash"}, row=1, col=1
    )
    _ = fig.add_trace(
        go.Scatter(
            x=interval_means,
            y=interval_features,
            mode="markers",
            marker={"color": COLORS["neutral"], "size": 1, "opacity": 0.0},
            error_x=interval_arms(interval_features, "ci_naive_lower", "ci_naive_upper")
            | {"color": GRAY_FILLS["tertiary"], "thickness": 11, "width": 0},
            name="Naive interval",
        ),
        row=1,
        col=2,
    )
    _ = fig.add_trace(
        go.Scatter(
            x=interval_means,
            y=interval_features,
            mode="markers",
            marker={"color": COLORS["blue"], "size": 9},
            error_x=interval_arms(interval_features, "ci_hac_lower", "ci_hac_upper")
            | {"color": COLORS["blue"], "thickness": 1.5},
            name="Newey-West interval",
        ),
        row=1,
        col=2,
    )
    _ = fig.add_trace(
        go.Scatter(
            x=[ic_uncertainty[name][bound] for name in interval_features for bound in BOOT_BOUNDS],
            y=[name for name in interval_features for _ in BOOT_BOUNDS],
            mode="markers",
            marker={"color": COLORS["copper"], "size": 8, "symbol": "line-ns-open"},
            name="Block-bootstrap bounds",
        ),
        row=1,
        col=2,
    )
    _ = fig.add_vline(
        x=0, line={"color": COLORS["neutral"], "width": 0.8, "dash": "dash"}, row=1, col=2
    )
    fig.update_layout(
        title="Pricing the overlap widens every interval, and nearly all then cross zero",
        height=560,
        width=1150,
        margin={"l": 60, "r": 210},
        legend={"orientation": "h", "y": -0.2},
    )
    fig.update_yaxes(title_text="Cross-sectional Spearman IC", row=1, col=1)
    fig.update_xaxes(title_text="Development session", row=1, col=1)
    fig.update_xaxes(title_text="Mean IC, 95% intervals", row=1, col=2)
    show_plotly_with_alt(
        fig,
        "Two panels. On the left, the session-by-session information coefficient of the strongest "
        "feature as a pale noisy series spanning roughly minus 0.8 to plus 0.65, with a darker "
        "rolling quarterly mean drawn through it that stays within about 0.1 of zero for most of "
        "the development window and dips to about minus 0.22 during the first half of 2020. On "
        "the right, eight features each drawn three ways: a short pale block for the naive "
        "interval, a longer thin whisker with a dot at the mean for the Newey-West interval, and "
        "a pair of tick marks for the block-bootstrap bounds. The Newey-West whisker is wider "
        "than the naive block for every one of the eight. Seven of the eight whiskers cross the "
        "rule at zero; the near-term term-structure slope is the one that does not, and its "
        "block-bootstrap ticks reach zero even though its whisker stops short of it.",
    )

# %% [markdown]
# ### Is it the same association in every window, or one episode?
#
# An average over the whole development window can be produced by a feature that
# worked throughout and by one that worked once and reversed. The walk-forward
# folds are what separate them: each fold's validation window is a stretch of
# sessions the model fitted on that fold never saw, and a feature that carries
# information should point the same way in each of them.
#
# **Sign consistency** is the share of folds whose mean information coefficient
# has the same sign as the feature's own overall estimate. Measuring it against
# the feature's own direction, rather than against positive, matters: a candidate
# that is negative in every window is exactly as stable as one that is positive in
# every window, and scoring the share of *positive* folds would put every
# inversely predictive feature at zero and make it unpromotable however reliable
# it was. `worst_fold_ic` follows the same rule - it is the fold furthest against
# the feature's own direction, which for a negative feature is its algebraic
# maximum rather than its minimum.
#
# **The fold boundaries come from one place**, the same generator stage 04 called
# to decide which of its rows are out of sample. That keeps a fold id meaning the
# same thing on both sides of the join, and it means stability here is measured on
# the validation windows only. Those cover the later part of the development
# window, because a walk-forward scheme spends its early sessions training, so the
# average in section 2 spans more sessions than these folds do and the two are not
# expected to agree exactly.
#
# With the two folds this case study declares, sign consistency can only be zero,
# one half, or one. A quartile across two numbers is not worth reporting, so the
# figure shows the fold means themselves, and the agreement bar printed with the
# configuration is in effect a yes or no: both windows agree, or the feature does
# not clear it. Two folds is a weak test of stability, and nothing below pretends
# otherwise.

# %%
fold_windows = [(f["val_start"], f["val_end"]) for f in producer_folds]
for f in producer_folds:
    print(
        f"fold {f['fold']}: fitted {f['train_start']} to {f['train_end']}, "
        f"validated {f['val_start']} to {f['val_end']}"
    )
if max(end for _, end in fold_windows) >= holdout_start_date:
    msg = "A validation fold ends at or after the holdout boundary"
    raise ValueError(msg)

fold_stats = {}
for feat in ic_results:
    fold_ics = []
    ts = ic_timeseries[feat]
    for fold_start, fold_end in fold_windows:
        fold_ic = ts.filter((pl.col(DATE_COL) >= fold_start) & (pl.col(DATE_COL) <= fold_end))
        if len(fold_ic) >= 5:
            fold_ics.append(float(fold_ic["ic"].mean()))

    if fold_ics:
        direction = 1.0 if (ic_results[feat]["mean_ic"] or 0.0) >= 0 else -1.0
        signed = [ic * direction for ic in fold_ics]
        fold_stats[feat] = {
            "n_folds": len(fold_ics),
            "sign_consistency": sum(1 for s in signed if s > 0) / len(fold_ics),
            "worst_fold_ic": fold_ics[int(np.argmin(signed))],
            "best_fold_ic": fold_ics[int(np.argmax(signed))],
            "median_fold_ic": float(np.median(fold_ics)),
            "fold_ics": fold_ics,
        }

n_consistent = sum(
    1 for stats in fold_stats.values() if stats["sign_consistency"] >= SIGN_CONSISTENCY_MIN
)
print(
    f"Both validation windows agree with the feature's own direction for "
    f"{n_consistent} of the {len(fold_stats)} features scored across folds."
)

# %%
stability_features = [name for name in reversed(leaders) if name in fold_stats]
if stability_features:
    fig = go.Figure()
    _ = fig.add_trace(
        go.Scatter(
            x=[value for name in stability_features for value in fold_stats[name]["fold_ics"]],
            y=[name for name in stability_features for _ in fold_stats[name]["fold_ics"]],
            mode="markers",
            marker={"color": COLORS["neutral"], "size": 9, "opacity": 0.6},
            name="Fold mean IC",
        )
    )
    _ = fig.add_trace(
        go.Scatter(
            x=[fold_stats[name]["median_fold_ic"] for name in stability_features],
            y=stability_features,
            mode="markers",
            marker={"color": COLORS["blue"], "size": 13, "symbol": "diamond"},
            name="Median fold",
        )
    )
    _ = fig.add_trace(
        go.Scatter(
            x=[fold_stats[name]["worst_fold_ic"] for name in stability_features],
            y=stability_features,
            mode="markers",
            marker={
                "color": COLORS["negative"],
                "size": 12,
                "symbol": "x-thin",
                "line": {"width": 2, "color": COLORS["negative"]},
            },
            name="Least favorable fold",
        )
    )
    _ = fig.add_vline(x=0, line={"color": COLORS["neutral"], "width": 0.8, "dash": "dash"})
    fig.update_layout(
        title="Several of the leading features reverse their IC sign between the two folds",
        xaxis_title="Mean cross-sectional IC within the fold",
        height=500,
        width=1000,
        margin={"l": 220},
        legend={"orientation": "h", "y": -0.18},
    )
    show_plotly_with_alt(
        fig,
        "Eight features, one row each, on an axis of mean information coefficient within a fold "
        "running from about minus 0.04 to plus 0.03 with a rule at zero. Each row carries the two "
        "fold means as plain markers, a diamond at the median fold and a cross at the fold "
        "furthest against the feature's own direction. For five of the eight - the three momentum "
        "columns, the 7-day implied volatility and the near-term term slope - the two fold means "
        "sit on opposite sides of zero, so the cross and the diamond straddle the rule. For "
        "`rv_63` and `gk_vol_21` both folds are negative and the markers bunch together left of "
        "zero. `mom_skip_recent` has both folds positive.",
    )

# %% [markdown]
# ## 3. What did the search cost?
#
# **The searched set comes first.** A p-value answers "how surprising would this
# be if the feature carried nothing", and that question is only interpretable
# against the number of features asked it: test enough candidates at a fixed level
# and some will look significant with nothing behind any of them, purely from the
# count. So the set is stated before the adjustment is applied. It is every column
# in the register above - the declared families and the conditional-volatility
# estimators - restricted to those that cleared section 1. Generation is blind to
# the label; nothing was added to the register after seeing a correlation. Only
# the primary label is screened, and the other declared label variants are not
# tested, so they do not enter the count.
#
# **The adjustment.** The Benjamini-Hochberg procedure sorts the p-values and
# rejects as many of the smallest as it can while holding the expected share of
# false ones among those it rejects to the declared false-discovery rate. That is
# a weaker guarantee than "no false positives at all" and a much more useful one:
# it scales with the size of the search instead of collapsing to nothing, as a
# Bonferroni-style bound would on a set this size.
#
# Three counts are printed, and the distance between them is the point of the
# section: how many features look significant if each session is treated as an
# independent observation, how many still do once the label overlap is priced in,
# and how many survive being one of a whole set tested at once.
#
# **Few or no survivors is a reading of this case study, not a failure of the
# screen.** Implied volatility is a forecast of a name's coming volatility, and
# nothing about it says which direction that name will move; there is no strong
# reason for a level of implied volatility to rank next week's returns on its own.
# Whether these features contribute in combination is a different question, and
# one this notebook does not test.

# %%
feature_names = list(ic_results.keys())
p_values = [ic_results[f]["p_value"] for f in feature_names]

fdr_result = benjamini_hochberg_fdr(p_values, alpha=FDR_ALPHA, return_details=True)

eval_summary = pl.DataFrame(
    {
        "feature": feature_names,
        "source": ["temporal" if f in temporal_cols else "financial" for f in feature_names],
        "ic_mean": [ic_results[f]["mean_ic"] for f in feature_names],
        "hac_se": [ic_results[f]["hac_se"] for f in feature_names],
        "hac_t": [ic_results[f]["t_stat"] for f in feature_names],
        "hac_p": p_values,
        "fdr_p": [float(p) for p in fdr_result["adjusted_p_values"]],
        "fdr_sig": [bool(r) for r in fdr_result["rejected"]],
        "naive_t": [ic_results[f]["naive_t_stat"] for f in feature_names],
    },
    schema_overrides={
        "ic_mean": pl.Float64,
        "hac_se": pl.Float64,
        "hac_t": pl.Float64,
        "hac_p": pl.Float64,
        "fdr_p": pl.Float64,
        "fdr_sig": pl.Boolean,
        "naive_t": pl.Float64,
    },
).sort(pl.col("ic_mean").cast(pl.Float64, strict=False).abs(), descending=True)

# The unadjusted p-value has to be rebuilt from the unadjusted t-statistic: the
# estimator returns the Newey-West p-value and both t-statistics, so the naive
# tier of the comparison below is derived here rather than read off.
naive_p_values = [
    float(2 * student_t.sf(abs(ic_results[f]["naive_t_stat"]), df=ic_results[f]["n_periods"] - 1))
    for f in feature_names
]
n_searched = len(feature_names)
expected_false_positives = FDR_ALPHA * n_searched

n_significant_naive = sum(1 for p in naive_p_values if p < FDR_ALPHA)
n_significant_hac = sum(1 for p in p_values if p < FDR_ALPHA)
n_significant_fdr = int(fdr_result["n_rejected"])


def inflation(naive_count: int, adjusted_count: int) -> str:
    """How much the unadjusted count overstates the adjusted one.

    Undefined when the adjustment rejects nothing: substituting one for a zero
    denominator reports a finite ratio where none exists, and the reader cannot
    tell the substitution from a measurement.
    """
    if adjusted_count == 0:
        return "undefined (the adjustment rejected nothing)"
    return f"{naive_count / adjusted_count:.2f}x"


median_hac_se = float(np.median([ic_results[f]["hac_se"] for f in feature_names] or [float("nan")]))
largest_abs_ic = max((abs(ic_results[f]["mean_ic"]) for f in feature_names), default=float("nan"))

print(f"Searched set: {n_searched} features with a computable IC on {label_col}.")
print(
    f"Testing that many at {FDR_ALPHA:.0%} would produce "
    f"{expected_false_positives:.1f} apparent discoveries with nothing behind them."
)
print(f"  Significant treating sessions as independent: {n_significant_naive}")
print(f"  Significant after Newey-West:                 {n_significant_hac}")
print(f"  Significant after Benjamini-Hochberg:         {n_significant_fdr}")
print(
    f"The independent count overstates the Newey-West one by "
    f"{inflation(n_significant_naive, n_significant_hac)}, and the "
    f"Benjamini-Hochberg one by {inflation(n_significant_naive, n_significant_fdr)}."
)
print(f"\nLargest absolute mean IC in the set: {largest_abs_ic:.4f}")
print(
    f"Median Newey-West standard error of a mean IC: {median_hac_se:.4f}. The "
    f"effect-size floor the second promotion arm uses, {IC_THRESHOLD}, is read against "
    f"that: it sits below the typical standard error, so clearing it is a weaker "
    f"requirement than being distinguishable from zero."
)

# %% [markdown] tags=["results"]
# **What the two corrections cost.** Treating each session as an independent
# observation makes a handful of these features look significant. Pricing in the
# five-session overlap removes all but one, because a feature whose correlation was
# carried by one stretch of sessions has far fewer effectively independent
# observations behind it than the session count suggests. Applying the
# false-discovery adjustment across the whole searched set removes the one that was
# left, so nothing here clears the adjustment.
#
# The interval figure above shows the same thing one feature at a time, and it also
# shows why three bounds are drawn rather than one. The near-term term-structure
# slope is the single candidate whose Newey-West interval still excludes zero - and
# its block-bootstrap bounds, which assume neither a variance formula nor a
# distribution, reach zero anyway. Two corrections that disagree about the same
# average is the reader's signal to treat it as undecided rather than as a finding.
#
# The largest absolute mean information coefficient in the panel is printed above,
# and even it has a Newey-West interval that includes zero. That is the honest
# reading of a univariate screen on weekly equity returns, and it is also why the
# effect-size floor the exploration arm uses in section 6 has to be read as a floor
# on effect size rather than as evidence of one.

# %% [markdown]
# ### Which features rank highest, and what the adjustment does to them
#
# The left panel ranks the leading features by absolute mean information
# coefficient, coloured by whether each cleared the false-discovery adjustment.
# The right panel plots the Newey-West t-statistic against its unadjusted twin for
# every feature in the searched set. A point on the dashed diagonal is a feature
# whose sessions carried independent information; a point pulled toward zero off
# it is one whose apparent significance came from the overlap between consecutive
# five-session returns rather than from the size of its correlation. Bars run
# horizontally because at this many feature names a rotated vertical axis is not
# legible.

# %%
RANKED_FEATURES = 25
top = eval_summary.head(min(RANKED_FEATURES, len(eval_summary))).reverse()

fig = make_subplots(
    rows=1,
    cols=2,
    column_widths=[0.52, 0.48],
    subplot_titles=[
        "Mean IC of the leading features",
        "Newey-West against unadjusted t-statistics",
    ],
    horizontal_spacing=0.2,
)
for cleared, color, name in (
    (True, COLORS["blue"], "Cleared BH-FDR"),
    (False, COLORS["amber"], "Did not clear"),
):
    arm = top.filter(pl.col("fdr_sig").fill_null(False) == cleared)
    if not len(arm):
        continue
    _ = fig.add_trace(
        go.Bar(
            x=arm["ic_mean"].to_list(),
            y=arm["feature"].to_list(),
            orientation="h",
            marker_color=color,
            name=name,
        ),
        row=1,
        col=1,
    )
_ = fig.add_vline(
    x=0, line={"color": COLORS["neutral"], "width": 0.8, "dash": "dash"}, row=1, col=1
)

max_t = (
    max(
        eval_summary["naive_t"].cast(pl.Float64, strict=False).abs().max() or 1.0,
        eval_summary["hac_t"].cast(pl.Float64, strict=False).abs().max() or 1.0,
    )
    * 1.1
)
_ = fig.add_trace(
    go.Scatter(
        x=[-max_t, max_t],
        y=[-max_t, max_t],
        mode="lines",
        line={"dash": "dash", "color": COLORS["neutral"], "width": 1},
        showlegend=False,
    ),
    row=1,
    col=2,
)
for cleared, color, name in (
    (True, COLORS["blue"], "Cleared BH-FDR"),
    (False, COLORS["amber"], "Did not clear"),
):
    arm = eval_summary.filter(pl.col("fdr_sig").fill_null(False) == cleared)
    if not len(arm):
        continue
    _ = fig.add_trace(
        go.Scatter(
            x=arm["naive_t"].to_list(),
            y=arm["hac_t"].to_list(),
            mode="markers",
            marker={"color": color, "size": 8, "opacity": 0.85},
            text=arm["feature"].to_list(),
            name=name,
            showlegend=False,
        ),
        row=1,
        col=2,
    )
fig.update_layout(
    title="Overlapping five-session returns pull the t-statistics toward zero",
    height=620,
    width=1150,
    margin={"l": 210},
    legend={"orientation": "h", "y": -0.14},
)
# Two traces split the ranking by outcome, so the y order has to be restated or the
# categories fall in trace order and the ranking the panel exists to show is lost.
fig.update_yaxes(categoryorder="array", categoryarray=top["feature"].to_list(), row=1, col=1)
fig.update_xaxes(title_text="Mean cross-sectional Spearman IC", row=1, col=1)
fig.update_xaxes(title_text="Unadjusted t", row=1, col=2)
fig.update_yaxes(title_text="Newey-West t", row=1, col=2)
show_plotly_with_alt(
    fig,
    "Two panels. On the left, horizontal bars of mean information coefficient for the leading "
    "features, ordered by absolute size, spanning about minus 0.014 to plus 0.011; the momentum "
    "horizons and the realized volatility columns run negative and the near-term term slope, "
    "skip-month momentum and the skew ratio run positive. Every bar is drawn in the colour the "
    "chart uses for a feature that did not clear the false-discovery adjustment. On the right, "
    "the Newey-West t-statistic against its unadjusted twin for every feature in the searched "
    "set, with a dashed diagonal for equality. The points follow the diagonal in direction and "
    "lie inside it almost everywhere, and the contraction is largest where the unadjusted "
    "statistic is largest: an unadjusted t of about minus 2.7 maps to about minus 1.6, and one "
    "of about plus 3.5 to about plus 2.2. Four of the thirty-six move the other way, every one "
    "of them with a small unadjusted t, and only one is far enough from the diagonal to see - a "
    "point near plus 0.8 that rises to about plus 1.1.",
)

# %% [markdown]
# ## 4. Is the relationship the shape a ranking can use?
#
# A correlation says the ordering is right on average. It does not say the
# relationship is smooth. The strategy this case study builds acts by sorting
# names and holding the ends, so what it needs is for the mean return to change
# steadily from the bottom group to the top - not for one extreme group to carry
# everything while the middle is flat. **Monotonicity** here is the rank
# correlation between a quantile's position and its mean return: one when the
# groups line up perfectly in order, zero when their order says nothing, negative
# when they run backwards.
#
# **The groups are formed inside each session, not over the pooled sample.** On
# every session the names quoted that session are sorted on the feature and split
# into five equal groups. Doing it the other way - one set of cut points over the
# whole development window - would let a session in which the whole market's
# implied volatility was high place all its names in the top group, so the profile
# would be mixing "high for this name relative to its peers today" with "a high-
# volatility period", while the correlation it sits beside is purely
# within-session. The two diagnostics would then be answering different questions
# while appearing to corroborate each other.
#
# **The average is taken twice, and the order matters.** First across the names in
# a group on one session, then across sessions, so a session quoting four hundred
# names counts exactly as much as one quoting forty. Averaging every name-session
# in a group in one pass instead weights the profile by how wide the cross-section
# happened to be, which is neither what a book rebalanced each session earns nor
# what the correlation beside it measures. A session enters here on the same terms
# it enters the correlation on, so the two describe one set of sessions.

# %%
top_features_for_shape = eval_summary.filter(pl.col("fdr_sig").fill_null(False))[
    "feature"
].to_list()[:15]
if not top_features_for_shape:
    top_features_for_shape = eval_summary.head(10)["feature"].to_list()

monotonicity_scores = {}
quantile_spreads = {}

for feat in top_features_for_shape:
    profile = quantile_profile(
        eval_panel,
        feat,
        label_col,
        date_col=DATE_COL,
        n_quantiles=N_QUANTILES,
        min_cross_section=MIN_CROSS_SECTION,
    )
    if profile is None or profile.periods_used < MIN_SESSIONS_FOR_INFERENCE:
        continue
    quantile_spreads[feat] = {"q_means": profile.means, "spread": profile.spread}
    monotonicity_scores[feat] = profile.monotonicity

print(f"Quantile profile built for {len(quantile_spreads)} features.")

# %%
if quantile_spreads:
    n_show = min(6, len(quantile_spreads))
    feats_to_show = list(quantile_spreads.keys())[:n_show]
    n_rows_fig = (n_show + 2) // 3
    fig = make_subplots(
        rows=n_rows_fig,
        cols=3,
        subplot_titles=feats_to_show,
        vertical_spacing=0.22,
    )
    for idx, feat in enumerate(feats_to_show):
        r, c = divmod(idx, 3)
        q_means = quantile_spreads[feat]["q_means"]
        _ = fig.add_trace(
            go.Bar(
                x=[f"Q{i + 1}" for i in range(len(q_means))],
                y=q_means,
                marker_color=COLORS["blue"],
                showlegend=False,
                text=[f"{m:.4f