boruta-quant 0.1.0__tar.gz

boruta_quant-0.1.0/.gitignore

@@ -0,0 +1,58 @@
+# Python-generated files
+__pycache__/
+*.py[oc]
+build/
+dist/
+wheels/
+*.egg-info
+
+# Virtual environments
+.venv
+
+# IDE
+.idea/
+.vscode/
+*.swp
+*.swo
+*~
+
+# Testing
+.pytest_cache/
+.coverage
+.coverage.*
+htmlcov/
+.tox/
+.nox/
+
+# Type checking
+.mypy_cache/
+.pyright/
+
+# Distribution
+*.whl
+*.tar.gz
+
+# Jupyter
+.ipynb_checkpoints/
+
+# OS
+.DS_Store
+Thumbs.db
+
+# UV
+uv.lock
+
+# Claude Code (imported from .ai_workspace_template, not tracked)
+.claude/
+.ai_workspace/
+CLAUDE.md
+CLAUDE_TEMPLATE.md
+CLAUDE_DOMAIN.md
+CLAUDE_REPO.md
+.claude_config.yaml
+
+# Internal development infrastructure (not for public)
+hooks/
+templates/
+STANDARDS.md
+docs/research/

boruta_quant-0.1.0/.pre-commit-config.yaml

@@ -0,0 +1,27 @@
+# Pre-commit hooks configuration for boruta-quant
+# Install: pre-commit install
+# Run manually: pre-commit run --all-files
+
+repos:
+  # Linting, import sorting, and formatting with Ruff (fast Rust-based tool)
+  - repo: https://github.com/astral-sh/ruff-pre-commit
+    rev: v0.12.9
+    hooks:
+      - id: ruff
+        name: Ruff linter (includes import sorting)
+        args: [--fix, --exit-non-zero-on-fix]
+      - id: ruff-format
+        name: Ruff formatter
+
+  # Type checking with Pyright (3-10x faster than mypy)
+  - repo: local
+    hooks:
+      - id: pyright
+        name: Pyright type checker
+        entry: pyright
+        language: node
+        types: [python]
+        pass_filenames: false
+        additional_dependencies: ['pyright@1.1.380']
+        files: '\.py$'
+        exclude: ^tests/fixtures/

boruta_quant-0.1.0/.python-version

@@ -0,0 +1 @@
+3.12

boruta_quant-0.1.0/CHANGELOG.md

@@ -0,0 +1,27 @@
+# Changelog
+
+All notable changes to this project will be documented in this file.
+
+The format is based on [Keep a Changelog](https://keepachangelog.com/en/1.1.0/),
+and this project adheres to [Semantic Versioning](https://semver.org/spec/v2.0.0.html).
+
+## [0.1.0] - 2026-02-26
+
+### Added
+- **BorutaSelector**: Main feature selection class with configurable trials, alpha, percentile, and two-step tentative resolution
+- **Importance Oracles**: Pluggable `ImportanceOracle` protocol with three implementations:
+  - `PermutationOracle` (default) — OOS-safe permutation importance
+  - `DropColumnOracle` — refit-based importance via column removal
+  - `BlockPermutationOracle` — block-preserving permutation for autocorrelated data
+- **Purged Temporal CV**: `PurgedTemporalCV` with configurable purge window, embargo window, and min train size to prevent lookahead bias
+- **Shadow Features**: Shadow feature generation with three shuffle modes:
+  - `RANDOM` — standard i.i.d. permutation (default)
+  - `BLOCK` — block-preserving shuffle for serial correlation
+  - `ERA` — within-era-only shuffle for regime-aware selection
+- **Era Support**: `boundaries_to_eras()` utility for converting date boundaries to era labels
+- **Statistical Testing**: Binomial hypothesis testing with Bonferroni correction and optional two-step rough fix for tentative features
+- **Metrics**: `rank_ic` (Spearman correlation) and `auc_scorer` for alpha research evaluation
+- **Profiling**: Built-in `ProfilingSession` integration for timing and memory tracking during `fit()`
+- **Type Safety**: Full type hints with beartype runtime enforcement and Pyright strict mode
+- **Pydantic Configs**: `BorutaSelectorConfig` and `PurgedCVConfig` with fail-fast validation
+- 229 tests with 92% statement coverage

boruta_quant-0.1.0/LICENSE

@@ -0,0 +1,21 @@
+MIT License
+
+Copyright (c) 2026 BlackArbsCEO
+
+Permission is hereby granted, free of charge, to any person obtaining a copy
+of this software and associated documentation files (the "Software"), to deal
+in the Software without restriction, including without limitation the rights
+to use, copy, modify, merge, publish, distribute, sublicense, and/or sell
+copies of the Software, and to permit persons to whom the Software is
+furnished to do so, subject to the following conditions:
+
+The above copyright notice and this permission notice shall be included in all
+copies or substantial portions of the Software.
+
+THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND, EXPRESS OR
+IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES OF MERCHANTABILITY,
+FITNESS FOR A PARTICULAR PURPOSE AND NONINFRINGEMENT. IN NO EVENT SHALL THE
+AUTHORS OR COPYRIGHT HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER
+LIABILITY, WHETHER IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING FROM,
+OUT OF OR IN CONNECTION WITH THE SOFTWARE OR THE USE OR OTHER DEALINGS IN THE
+SOFTWARE.

boruta_quant-0.1.0/PKG-INFO

@@ -0,0 +1,203 @@
+Metadata-Version: 2.4
+Name: boruta-quant
+Version: 0.1.0
+Summary: Temporal-aware Boruta feature selection for quantitative finance. OOS-only importance with purged cross-validation.
+Project-URL: Homepage, https://github.com/BlackArbsCEO/boruta-quant
+Project-URL: Documentation, https://github.com/BlackArbsCEO/boruta-quant#readme
+Project-URL: Repository, https://github.com/BlackArbsCEO/boruta-quant
+Project-URL: Issues, https://github.com/BlackArbsCEO/boruta-quant/issues
+Project-URL: Changelog, https://github.com/BlackArbsCEO/boruta-quant/blob/main/CHANGELOG.md
+Author-email: BlackArbsCEO <bcr@blackarbs.com>
+Maintainer-email: BlackArbsCEO <bcr@blackarbs.com>
+License: MIT
+License-File: LICENSE
+Keywords: boruta,cross-validation,feature-selection,machine-learning,out-of-sample,permutation-importance,quantitative-finance,temporal-cv
+Classifier: Development Status :: 3 - Alpha
+Classifier: Intended Audience :: Developers
+Classifier: Intended Audience :: Financial and Insurance Industry
+Classifier: Intended Audience :: Science/Research
+Classifier: License :: OSI Approved :: MIT License
+Classifier: Operating System :: OS Independent
+Classifier: Programming Language :: Python :: 3
+Classifier: Programming Language :: Python :: 3.12
+Classifier: Programming Language :: Python :: 3.13
+Classifier: Topic :: Office/Business :: Financial :: Investment
+Classifier: Topic :: Scientific/Engineering :: Artificial Intelligence
+Classifier: Topic :: Scientific/Engineering :: Information Analysis
+Classifier: Typing :: Typed
+Requires-Python: >=3.12
+Requires-Dist: beartype>=0.18.0
+Requires-Dist: numpy>=2.0.0
+Requires-Dist: pandas>=2.0.0
+Requires-Dist: psutil>=5.9.0
+Requires-Dist: pydantic>=2.0.0
+Requires-Dist: scikit-learn>=1.3.0
+Requires-Dist: scipy>=1.11.0
+Provides-Extra: all
+Requires-Dist: lightgbm>=4.0.0; extra == 'all'
+Requires-Dist: matplotlib>=3.7.0; extra == 'all'
+Requires-Dist: seaborn>=0.13.0; extra == 'all'
+Requires-Dist: shap>=0.48.0; extra == 'all'
+Requires-Dist: xgboost>=2.0.0; extra == 'all'
+Provides-Extra: lightgbm
+Requires-Dist: lightgbm>=4.0.0; extra == 'lightgbm'
+Provides-Extra: shap
+Requires-Dist: shap>=0.48.0; extra == 'shap'
+Provides-Extra: viz
+Requires-Dist: matplotlib>=3.7.0; extra == 'viz'
+Requires-Dist: seaborn>=0.13.0; extra == 'viz'
+Provides-Extra: xgboost
+Requires-Dist: xgboost>=2.0.0; extra == 'xgboost'
+Description-Content-Type: text/markdown
+
+# boruta-quant
+
+[![Python 3.12+](https://img.shields.io/badge/python-3.12+-blue.svg)](https://www.python.org/downloads/)
+[![License: MIT](https://img.shields.io/badge/License-MIT-yellow.svg)](https://opensource.org/licenses/MIT)
+[![Ruff](https://img.shields.io/endpoint?url=https://raw.githubusercontent.com/astral-sh/ruff/main/assets/badge/v2.json)](https://github.com/astral-sh/ruff)
+
+**Temporal-aware Boruta feature selection for quantitative finance.**
+
+`boruta-quant` computes feature importance on validation data only, using purged cross-validation to prevent lookahead bias. Built for financial time series where temporal integrity matters.
+
+## Why boruta-quant?
+
+Standard feature selection (SHAP, sklearn permutation importance) computes importance on training data. In financial time series, this leaks future information into feature rankings. `boruta-quant` fixes this:
+
+- **OOS-Only Importance**: Importance computed exclusively on validation folds
+- **Purged Cross-Validation**: Train/test gap with purge and embargo windows
+- **Shadow Features**: Boruta's all-relevant selection via shadow comparison
+
+## Installation
+
+```bash
+# Basic (permutation importance only)
+pip install boruta-quant
+
+# With LightGBM
+pip install boruta-quant[lightgbm]
+
+# With SHAP support
+pip install boruta-quant[shap]
+
+# Everything
+pip install boruta-quant[all]
+```
+
+### Development
+
+```bash
+git clone https://github.com/BlackArbsCEO/boruta-quant.git
+cd boruta-quant
+uv sync --all-extras --dev
+```
+
+## Quick Start
+
+```python
+from boruta_quant import BorutaSelector, BorutaSelectorConfig
+from boruta_quant.oracle import PermutationImportanceOracle
+from boruta_quant.temporal import PurgedTemporalCV, PurgedCVConfig
+from boruta_quant.metrics import rank_ic_scorer
+from lightgbm import LGBMRegressor
+
+# 1. Configure purged temporal CV
+cv = PurgedTemporalCV(PurgedCVConfig(
+    n_splits=5,
+    purge_window_days=5,      # gap before validation fold
+    embargo_window_days=5,    # gap after validation fold
+    min_train_size=100,
+    test_size_ratio=0.2,
+))
+
+# 2. Configure importance oracle (OOS-only)
+oracle = PermutationImportanceOracle(
+    scoring=rank_ic_scorer,   # Spearman rank correlation
+    n_repeats=10,
+    random_state=42,
+)
+
+# 3. Configure Boruta selector
+selector = BorutaSelector(
+    config=BorutaSelectorConfig(
+        n_trials=20,          # Boruta iterations
+        percentile=100,       # shadow threshold percentile
+        alpha=0.05,           # significance level
+        two_step=True,        # resolve tentative features
+        random_state=42,
+    ),
+    oracle=oracle,
+    cv=cv,
+)
+
+# 4. Fit — model goes here, not in the constructor
+result = selector.fit(
+    X, y,
+    timestamps=timestamps,   # must be timezone-aware
+    model=LGBMRegressor(n_estimators=100, random_state=42),
+)
+
+# 5. Results
+print(result.accepted_features)    # confirmed important
+print(result.rejected_features)    # confirmed unimportant
+print(result.tentative_features)   # borderline (resolved if two_step=True)
+```
+
+## Importance Oracles
+
+All oracles fit the model on training data but measure importance on validation data only.
+
+| Oracle | How it works | When to use |
+|--------|-------------|-------------|
+| `PermutationImportanceOracle` | Shuffles one feature in validation set, measures prediction drop | Default — reliable, no refit needed |
+| `DropColumnImportanceOracle` | Removes feature, refits model, measures prediction drop | When refit cost is acceptable |
+| `BlockPermutationImportanceOracle` | Block-shuffles feature (preserves autocorrelation structure) | Autocorrelated time series |
+
+## Temporal Cross-Validation
+
+```
+     Training         Purge   Validation   Embargo
+  |--------------| |-------| |----------| |-------|
+  ^                                                ^
+  train_start                               embargo_end
+
+- Purge: removes observations that could leak into validation
+- Embargo: prevents information from validation bleeding forward
+```
+
+## Shadow Shuffle Modes
+
+Shadow features are shuffled copies of real features. The shuffle mode controls how temporal structure is handled:
+
+| Mode | Description | Use case |
+|------|-------------|----------|
+| `ShuffleMode.RANDOM` | Standard i.i.d. permutation | Default — i.i.d. data |
+| `ShuffleMode.BLOCK` | Block-preserving shuffle | Autocorrelated features |
+| `ShuffleMode.ERA` | Shuffle within eras only | Regime-aware selection |
+
+## Metrics
+
+| Function | Description |
+|----------|-------------|
+| `rank_ic` | Spearman correlation between predictions and actuals |
+| `rank_ic_scorer` | sklearn-compatible scorer wrapping `rank_ic` |
+| `directional_accuracy` | Fraction of correct sign predictions (up vs down) |
+| `directional_accuracy_scorer` | sklearn-compatible scorer wrapping `directional_accuracy` |
+| `auc_score` | Area under ROC curve |
+| `auc_scorer` | sklearn-compatible scorer wrapping `auc_score` |
+
+## Design Principles
+
+1. **OOS-Only**: Importance never computed on training data
+2. **Fail-Fast**: Invalid temporal data (naive timestamps, unsorted) raises immediately
+3. **Type-Safe**: Runtime enforcement with beartype, strict Pyright
+4. **Explicit**: All config parameters required — no hidden defaults
+
+## References
+
+- [Boruta Algorithm](https://www.jstatsoft.org/article/view/v036i11) — Kursa & Rudnicki (2010)
+- [Advances in Financial Machine Learning](https://www.wiley.com/en-us/Advances+in+Financial+Machine+Learning-p-9781119482086) — Lopez de Prado (2018), Ch. 7 (purged CV)
+
+## License
+
+MIT — see [LICENSE](LICENSE).

boruta_quant-0.1.0/README.md

@@ -0,0 +1,151 @@
+# boruta-quant
+
+[![Python 3.12+](https://img.shields.io/badge/python-3.12+-blue.svg)](https://www.python.org/downloads/)
+[![License: MIT](https://img.shields.io/badge/License-MIT-yellow.svg)](https://opensource.org/licenses/MIT)
+[![Ruff](https://img.shields.io/endpoint?url=https://raw.githubusercontent.com/astral-sh/ruff/main/assets/badge/v2.json)](https://github.com/astral-sh/ruff)
+
+**Temporal-aware Boruta feature selection for quantitative finance.**
+
+`boruta-quant` computes feature importance on validation data only, using purged cross-validation to prevent lookahead bias. Built for financial time series where temporal integrity matters.
+
+## Why boruta-quant?
+
+Standard feature selection (SHAP, sklearn permutation importance) computes importance on training data. In financial time series, this leaks future information into feature rankings. `boruta-quant` fixes this:
+
+- **OOS-Only Importance**: Importance computed exclusively on validation folds
+- **Purged Cross-Validation**: Train/test gap with purge and embargo windows
+- **Shadow Features**: Boruta's all-relevant selection via shadow comparison
+
+## Installation
+
+```bash
+# Basic (permutation importance only)
+pip install boruta-quant
+
+# With LightGBM
+pip install boruta-quant[lightgbm]
+
+# With SHAP support
+pip install boruta-quant[shap]
+
+# Everything
+pip install boruta-quant[all]
+```
+
+### Development
+
+```bash
+git clone https://github.com/BlackArbsCEO/boruta-quant.git
+cd boruta-quant
+uv sync --all-extras --dev
+```
+
+## Quick Start
+
+```python
+from boruta_quant import BorutaSelector, BorutaSelectorConfig
+from boruta_quant.oracle import PermutationImportanceOracle
+from boruta_quant.temporal import PurgedTemporalCV, PurgedCVConfig
+from boruta_quant.metrics import rank_ic_scorer
+from lightgbm import LGBMRegressor
+
+# 1. Configure purged temporal CV
+cv = PurgedTemporalCV(PurgedCVConfig(
+    n_splits=5,
+    purge_window_days=5,      # gap before validation fold
+    embargo_window_days=5,    # gap after validation fold
+    min_train_size=100,
+    test_size_ratio=0.2,
+))
+
+# 2. Configure importance oracle (OOS-only)
+oracle = PermutationImportanceOracle(
+    scoring=rank_ic_scorer,   # Spearman rank correlation
+    n_repeats=10,
+    random_state=42,
+)
+
+# 3. Configure Boruta selector
+selector = BorutaSelector(
+    config=BorutaSelectorConfig(
+        n_trials=20,          # Boruta iterations
+        percentile=100,       # shadow threshold percentile
+        alpha=0.05,           # significance level
+        two_step=True,        # resolve tentative features
+        random_state=42,
+    ),
+    oracle=oracle,
+    cv=cv,
+)
+
+# 4. Fit — model goes here, not in the constructor
+result = selector.fit(
+    X, y,
+    timestamps=timestamps,   # must be timezone-aware
+    model=LGBMRegressor(n_estimators=100, random_state=42),
+)
+
+# 5. Results
+print(result.accepted_features)    # confirmed important
+print(result.rejected_features)    # confirmed unimportant
+print(result.tentative_features)   # borderline (resolved if two_step=True)
+```
+
+## Importance Oracles
+
+All oracles fit the model on training data but measure importance on validation data only.
+
+| Oracle | How it works | When to use |
+|--------|-------------|-------------|
+| `PermutationImportanceOracle` | Shuffles one feature in validation set, measures prediction drop | Default — reliable, no refit needed |
+| `DropColumnImportanceOracle` | Removes feature, refits model, measures prediction drop | When refit cost is acceptable |
+| `BlockPermutationImportanceOracle` | Block-shuffles feature (preserves autocorrelation structure) | Autocorrelated time series |
+
+## Temporal Cross-Validation
+
+```
+     Training         Purge   Validation   Embargo
+  |--------------| |-------| |----------| |-------|
+  ^                                                ^
+  train_start                               embargo_end
+
+- Purge: removes observations that could leak into validation
+- Embargo: prevents information from validation bleeding forward
+```
+
+## Shadow Shuffle Modes
+
+Shadow features are shuffled copies of real features. The shuffle mode controls how temporal structure is handled:
+
+| Mode | Description | Use case |
+|------|-------------|----------|
+| `ShuffleMode.RANDOM` | Standard i.i.d. permutation | Default — i.i.d. data |
+| `ShuffleMode.BLOCK` | Block-preserving shuffle | Autocorrelated features |
+| `ShuffleMode.ERA` | Shuffle within eras only | Regime-aware selection |
+
+## Metrics
+
+| Function | Description |
+|----------|-------------|
+| `rank_ic` | Spearman correlation between predictions and actuals |
+| `rank_ic_scorer` | sklearn-compatible scorer wrapping `rank_ic` |
+| `directional_accuracy` | Fraction of correct sign predictions (up vs down) |
+| `directional_accuracy_scorer` | sklearn-compatible scorer wrapping `directional_accuracy` |
+| `auc_score` | Area under ROC curve |
+| `auc_scorer` | sklearn-compatible scorer wrapping `auc_score` |
+
+## Design Principles
+
+1. **OOS-Only**: Importance never computed on training data
+2. **Fail-Fast**: Invalid temporal data (naive timestamps, unsorted) raises immediately
+3. **Type-Safe**: Runtime enforcement with beartype, strict Pyright
+4. **Explicit**: All config parameters required — no hidden defaults
+
+## References
+
+- [Boruta Algorithm](https://www.jstatsoft.org/article/view/v036i11) — Kursa & Rudnicki (2010)
+- [Advances in Financial Machine Learning](https://www.wiley.com/en-us/Advances+in+Financial+Machine+Learning-p-9781119482086) — Lopez de Prado (2018), Ch. 7 (purged CV)
+
+## License
+
+MIT — see [LICENSE](LICENSE).

boruta_quant-0.1.0/domains/PORTFOLIO.md

@@ -0,0 +1,169 @@
+# PORTFOLIO DOMAIN RULES
+
+## 💼 Portfolio Management Requirements
+
+### Core Portfolio Rules
+1. **NEVER exceed position limits** - Risk management is paramount
+2. **ALWAYS maintain audit trail** - Every rebalance must be traceable
+3. **ENFORCE factor attribution** - Know what drives returns
+4. **REQUIRE transaction cost modeling** - Real costs in optimization
+
+### Portfolio Construction Requirements
+
+```python
+# ✅ REQUIRED - Position limits enforcement
+@beartype
+def validate_weights(weights: np.ndarray, limits: PositionLimits):
+    assert abs(weights.sum() - 1.0) < 1e-6, "Weights must sum to 1"
+    assert (weights >= limits.min_weight).all(), f"Below minimum: {weights.min()}"
+    assert (weights <= limits.max_weight).all(), f"Above maximum: {weights.max()}"
+    assert weights[weights != 0].shape[0] <= limits.max_positions, "Too many positions"
+```
+
+### Risk Management Rules
+
+| Metric | Required Check | Failure Action |
+|--------|---------------|----------------|
+| Portfolio VaR | < Risk budget | Scale positions down |
+| Concentration | < 25% per position | Rebalance |
+| Correlation | < 0.8 between positions | Diversify |
+| Leverage | < Maximum allowed | Reduce exposure |
+
+### Rebalancing Requirements
+
+```python
+# Event-driven rebalancing triggers
+RebalanceTriggers = {
+    "drift": 5.0,        # % drift from target
+    "vol_spike": 2.0,    # Volatility multiplier
+    "correlation": 0.85,  # Correlation threshold
+    "calendar": 30,      # Days since last rebalance
+}
+
+# REQUIRED: Rebalancing audit
+RebalanceAudit = {
+    "timestamp": datetime.utcnow(),
+    "trigger": trigger_reason,
+    "weights_before": current_weights.copy(),
+    "weights_after": new_weights.copy(),
+    "turnover": calculate_turnover(current, new),
+    "expected_cost": transaction_costs,
+    "risk_metrics": calculate_risk_metrics(new)
+}
+```
+
+### Factor Attribution Requirements
+
+```python
+# MANDATORY - Track factor exposures
+@dataclass
+class FactorExposure:
+    market_beta: float
+    size: float
+    value: float
+    momentum: float
+    quality: float
+    volatility: float
+
+    def validate(self):
+        assert -3 <= self.market_beta <= 3, "Unrealistic beta"
+        total_exposure = abs(self.size) + abs(self.value) + abs(self.momentum)
+        assert total_exposure > 0, "No factor exposure"
+```
+
+### Optimization Requirements
+
+```python
+# REQUIRED: Robust optimization
+from scipy.optimize import minimize
+
+def optimize_portfolio(
+    expected_returns: np.ndarray,
+    covariance: np.ndarray,
+    constraints: list
+):
+    # MANDATORY: Regularization for numerical stability
+    cov_regularized = covariance + np.eye(len(covariance)) * 1e-8
+
+    # REQUIRED: Multiple objectives
+    objectives = {
+        "return": expected_returns,
+        "risk": cov_regularized,
+        "transaction_costs": cost_model
+    }
+
+    # FORBIDDEN: Unconstrained optimization
+    assert len(constraints) > 0, "Must have constraints"
+```
+
+### Execution Requirements
+
+```python
+# Saga pattern for multi-step execution
+@dataclass
+class RebalanceSaga:
+    saga_id: str
+    steps: list[RebalanceStep]
+    state: SagaState
+
+    def execute(self):
+        for step in self.steps:
+            try:
+                step.execute()
+                self.checkpoint(step)
+            except Exception as e:
+                self.rollback(step)
+                raise SagaFailure(f"Failed at {step}: {e}")
+```
+
+### Performance Attribution
+
+| Component | Calculation | Required |
+|-----------|------------|----------|
+| Asset allocation | Benchmark vs actual weights | Yes |
+| Security selection | Within-sector returns | Yes |
+| Factor contribution | Factor return × exposure | Yes |
+| Transaction costs | Explicit tracking | Yes |
+| Timing | Entry/exit vs benchmark | Optional |
+
+### Data Management
+
+```python
+# Zero-copy optimization for large portfolios
+import pyarrow as pa
+
+# REQUIRED: Efficient data structures
+prices_table = pa.Table.from_pandas(prices_df)
+returns_array = pa.compute.diff(prices_table['close'])
+
+# FORBIDDEN: Repeated DataFrame copies
+# ❌ df2 = df.copy(); df3 = df2.copy()
+# ✅ Use views or Arrow tables
+```
+
+### Forbidden Patterns
+
+| ❌ Forbidden | ✅ Required | Why |
+|--------------|-------------|-----|
+| Optimize without constraints | Constrained optimization | Prevents unrealistic portfolios |
+| Ignore transaction costs | Explicit cost modeling | Real-world performance |
+| Single-period optimization | Multi-period planning | Path dependency |
+| Static risk limits | Dynamic risk budgeting | Market regime changes |
+| Rebalance without audit | Complete audit trail | Regulatory compliance |
+
+### Production Safety
+
+```python
+# MANDATORY: Pre-trade compliance checks
+def pre_trade_compliance(orders: list[Order]) -> list[Order]:
+    validated = []
+    for order in orders:
+        # Position limits
+        assert check_position_limits(order), f"Position limit breach: {order}"
+        # Risk limits
+        assert check_risk_limits(order), f"Risk limit breach: {order}"
+        # Regulatory
+        assert check_regulatory(order), f"Regulatory violation: {order}"
+        validated.append(order)
+    return validated
+```