qfeaturelib 0.1.0__tar.gz

qfeaturelib-0.1.0/.gitignore

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qfeaturelib-0.1.0/CHANGELOG.md

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+# 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/1.0.0/),
+and this project adheres to [Semantic Versioning](https://semver.org/spec/v2.0.0.html).
+
+## [Unreleased]
+
+### Added
+- Initial release of QFeatureLib
+- Core `PanelData` structure for 3D panel data (Time x Assets x Features)
+- Time-series standardization with rolling windows and shift parameter
+- Cross-sectional standardization with group-wise support
+- Sample splitting: Rolling and Expanding window splitters
+- Missing value imputation: time-series (ffill/bfill) and cross-sectional methods
+- Feature neutralization: OLS/Ridge/Lasso regression-based neutralization
+- Macro indicator handling for 1D time series
+- `split.apply()` method for consistent multi-array splitting
+- Future function validation with `FutureFunctionError`
+- Comprehensive test suite
+
+### Features
+
+#### Standardization
+- `rolling_zscore()` - Rolling Z-Score with configurable window and shift
+- `rolling_robust_zscore()` - Rolling robust Z-Score using Median/MAD
+- `rolling_minmax()` - Rolling Min-Max scaling
+- `cs_zscore()` - Cross-sectional Z-Score
+- `cs_robust_zscore()` - Cross-sectional robust Z-Score
+- `cs_minmax()` - Cross-sectional Min-Max scaling
+- `cs_rank()` - Cross-sectional percentile ranking
+- `winsorize()` - Outlier handling with truncation or squashing
+
+#### Splitting
+- `RollingWindowSplitter` - Fixed-size rolling window cross-validation
+- `ExpandingWindowSplitter` - Growing training set cross-validation
+- `SplitIndices.apply()` - Split multiple arrays consistently
+
+#### Imputation
+- `ffill()` - Forward fill missing values
+- `ffill_limit()` - Forward fill with maximum consecutive limit
+- `bfill()` - Backward fill missing values
+- `cs_median_fill()` - Cross-sectional median imputation
+- `cs_mean_fill()` - Cross-sectional mean imputation
+
+#### Neutralization
+- `neutralize()` - General regression-based neutralization
+- `industry_neutralize()` - Industry factor neutralization
+- `size_neutralize()` - Size (market cap) factor neutralization
+
+#### Macro Indicators
+- `macro_rolling_zscore()` - Rolling Z-Score for macro data
+- `macro_expanding_zscore()` - Expanding window Z-Score
+- `macro_yoy_change()` - Year-over-year change calculation
+- `macro_momentum()` - Macro momentum indicator
+- `adapt_macro_to_panel()` - Broadcast macro data to panel format
+
+## [0.1.0] - 2024-XX-XX
+
+### Added
+- Initial public release
+- PyPI package published
+- Documentation in English and Chinese
+- GitHub Actions CI/CD workflows
+
+[Unreleased]: https://github.com/ElenYoung/QFeatureLib/compare/v0.1.0...HEAD
+[0.1.0]: https://github.com/ElenYoung/QFeatureLib/releases/tag/v0.1.0

qfeaturelib-0.1.0/LICENSE

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+MIT License
+
+Copyright (c) 2024 ElenYoung
+
+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.

qfeaturelib-0.1.0/PKG-INFO

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+Metadata-Version: 2.4
+Name: qfeaturelib
+Version: 0.1.0
+Summary: High-performance feature engineering library for quantitative investment
+Project-URL: Homepage, https://github.com/ElenYoung/QFeatureLib
+Project-URL: Repository, https://github.com/ElenYoung/QFeatureLib.git
+Project-URL: Documentation, https://github.com/ElenYoung/QFeatureLib#readme
+Project-URL: Issues, https://github.com/ElenYoung/QFeatureLib/issues
+Author-email: ElenYoung <elenyoung@example.com>
+Maintainer-email: ElenYoung <elenyoung@example.com>
+License-Expression: MIT
+License-File: LICENSE
+Keywords: feature-engineering,numba,numpy,panel-data,quantitative-finance,time-series
+Classifier: Development Status :: 4 - Beta
+Classifier: Intended Audience :: Financial and Insurance Industry
+Classifier: Intended Audience :: Science/Research
+Classifier: License :: OSI Approved :: MIT License
+Classifier: Natural Language :: Chinese (Simplified)
+Classifier: Natural Language :: English
+Classifier: Operating System :: OS Independent
+Classifier: Programming Language :: Python :: 3
+Classifier: Programming Language :: Python :: 3.10
+Classifier: Programming Language :: Python :: 3.11
+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: >=3.10
+Requires-Dist: numba>=0.58.0
+Requires-Dist: numpy>=1.23.0
+Requires-Dist: pandas>=1.5.0
+Requires-Dist: scikit-learn>=1.3.0
+Provides-Extra: all
+Requires-Dist: mypy>=1.0.0; extra == 'all'
+Requires-Dist: pytest-benchmark>=4.0.0; extra == 'all'
+Requires-Dist: pytest-cov>=4.0.0; extra == 'all'
+Requires-Dist: pytest>=7.0.0; extra == 'all'
+Requires-Dist: ruff>=0.1.0; extra == 'all'
+Provides-Extra: dev
+Requires-Dist: mypy>=1.0.0; extra == 'dev'
+Requires-Dist: pytest-benchmark>=4.0.0; extra == 'dev'
+Requires-Dist: pytest-cov>=4.0.0; extra == 'dev'
+Requires-Dist: pytest>=7.0.0; extra == 'dev'
+Requires-Dist: ruff>=0.1.0; extra == 'dev'
+Description-Content-Type: text/markdown
+
+# QFeatureLib
+
+[![PyPI version](https://badge.fury.io/py/qfeaturelib.svg)](https://badge.fury.io/py/qfeaturelib)
+[![Python 3.10+](https://img.shields.io/badge/python-3.10+-blue.svg)](https://www.python.org/downloads/)
+[![License: MIT](https://img.shields.io/badge/License-MIT-yellow.svg)](https://opensource.org/licenses/MIT)
+[![Code style: black](https://img.shields.io/badge/code%20style-black-000000.svg)](https://github.com/psf/black)
+
+[English](README.md) | [中文](README.zh.md)
+
+**QFeatureLib** is a high-performance, production-grade feature engineering library for quantitative investment. It focuses on financial time series processing with strict handling of future function avoidance, computational efficiency, and rigorous sample splitting.
+
+## Key Features
+
+- **Zero Future Function**: All time-series operations use `shift=1` by default to prevent data leakage. The library raises `FutureFunctionError` if you accidentally try to use future information.
+- **High Performance**: Pure NumPy implementation with vectorized operations, 10-100x faster than pandas.
+- **Memory Efficient**: Uses views instead of copies, supports in-place operations for large-scale panel data.
+- **Quantitative Finance Focused**: Specialized for financial scenarios - suspended stock handling, industry neutralization, market cap neutralization, etc.
+
+## Installation
+
+```bash
+pip install qfeaturelib
+```
+
+For development:
+
+```bash
+pip install qfeaturelib[dev]
+```
+
+## Quick Start
+
+```python
+import numpy as np
+from qfeaturelib import PanelData
+from qfeaturelib.standardization import rolling_zscore, cs_zscore
+from qfeaturelib.splitting import RollingWindowSplitter
+
+# Create panel data (T=100 days, N=50 stocks, F=5 features)
+values = np.random.randn(100, 50, 5)
+dates = np.arange(100)
+tickers = [f'STOCK_{i:02d}' for i in range(50)]
+
+panel = PanelData(values, dates, tickers)
+
+# Time-series standardization (rolling Z-score with shift=1 to prevent leakage)
+zscore_values = rolling_zscore(
+    panel.values[..., 0],  # First feature
+    window=20,
+    shift=1,  # Use past 20 days only, excluding current moment
+)
+
+# Cross-sectional standardization (Z-score across all stocks each day)
+cs_values = cs_zscore(panel.values[..., 0])
+
+# Sample splitting for backtesting
+splitter = RollingWindowSplitter(
+    n_samples=100,
+    train_ratio=0.6,
+    val_ratio=0.2,
+    test_ratio=0.2,
+)
+
+for split in splitter.split():
+    train_data = zscore_values[split.train]
+    val_data = zscore_values[split.val]
+    test_data = zscore_values[split.test]
+    # Train your model...
+```
+
+## Core Modules
+
+### 1. Time-Series Standardization
+
+Operations along the time dimension with rolling windows:
+
+```python
+from qfeaturelib.standardization import (
+    rolling_zscore,      # Rolling Z-Score
+    rolling_robust_zscore,  # Robust Z-Score using Median/MAD
+    rolling_minmax,      # Rolling Min-Max scaling
+)
+
+# Parameters explained
+result = rolling_zscore(
+    data,
+    window=20,      # Rolling window size
+    shift=1,        # Window end offset (shift=1 excludes current moment)
+    outlier_method="squash",  # Outlier handling: 'truncate' or 'squash'
+    outlier_bounds=(0.01, 0.99),  # Quantile bounds for outliers
+)
+```
+
+### 2. Cross-Sectional Standardization
+
+Operations across all assets at each time point:
+
+```python
+from qfeaturelib.standardization import (
+    cs_zscore,           # Cross-sectional Z-Score
+    cs_robust_zscore,    # Cross-sectional robust Z-Score
+    cs_minmax,           # Cross-sectional Min-Max
+    cs_rank,             # Cross-sectional rank (percentile)
+)
+
+# Support for group-wise operations
+result = cs_zscore(data, groups=industry_labels)
+```
+
+### 3. Sample Splitting Engine
+
+Time-series aware train/validation/test splitting:
+
+```python
+from qfeaturelib.splitting import RollingWindowSplitter, ExpandingWindowSplitter
+
+# Rolling window (fixed training size)
+rolling_splitter = RollingWindowSplitter(
+    n_samples=1000,
+    train_ratio=0.6,
+    val_ratio=0.2,
+    test_ratio=0.2,
+    step=100,  # Roll forward 100 samples each iteration
+    gap=0,     # Gap between train/val/test to prevent leakage
+)
+
+# Expanding window (growing training size)
+expanding_splitter = ExpandingWindowSplitter(
+    n_samples=1000,
+    train_ratio=0.6,
+    val_ratio=0.2,
+    test_ratio=0.2,
+    step=50,   # Expand by 50 samples each iteration
+)
+
+# Use split.apply() to split multiple arrays consistently
+for split in rolling_splitter.split():
+    (X_train, X_val, X_test), (y_train, y_val, y_test) = split.apply([X, y])
+```
+
+### 4. Missing Value Imputation
+
+```python
+from qfeaturelib.imputation import (
+    ffill,          # Forward fill
+    ffill_limit,    # Forward fill with limit (prevents stale data filling)
+    cs_median_fill, # Cross-sectional median fill
+    cs_mean_fill,   # Cross-sectional mean fill
+)
+
+# Forward fill with maximum 5 consecutive fills
+result = ffill_limit(data, limit=5)
+```
+
+### 5. Feature Neutralization
+
+Remove effects of control factors via regression residuals:
+
+```python
+from qfeaturelib.neutralization import (
+    neutralize,
+    industry_neutralize,
+    size_neutralize,
+)
+
+# Industry neutralization
+neutralized = industry_neutralize(feature, industry_labels)
+
+# Size (market cap) neutralization
+neutralized = size_neutralize(feature, log_market_cap)
+
+# Custom control factors
+neutralized = neutralize(feature, control_factors, method="ols")
+```
+
+### 6. Macro Indicators
+
+Special handling for macro-economic indicators without asset dimension:
+
+```python
+from qfeaturelib import (
+    macro_rolling_zscore,
+    adapt_macro_to_panel,
+)
+
+# Direct standardization of 1D macro data
+gdp_zscore = macro_rolling_zscore(gdp_growth, window=12, shift=1)
+
+# Broadcast to panel format for combination with asset features
+gdp_panel = adapt_macro_to_panel(gdp_growth, n_assets=50)  # (T,) -> (T, N)
+```
+
+
+## Performance Benchmarks
+
+On standard test data (T=5000, N=1000, F=50):
+
+| Operation | Pandas | QFeatureLib | Speedup |
+|-----------|--------|-------------|---------|
+| Rolling Z-Score | ~5s | ~0.1s | 50x |
+| Cross-sectional Z-Score | ~2s | ~0.02s | 100x |
+| Rolling Rank | ~10s | ~0.5s | 20x |
+
+## Design Principles
+
+1. **Safety First**: Default `shift=1` prevents accidental future function usage
+2. **Vectorization**: All core computations use NumPy vectorized operations
+3. **Memory Efficiency**: Return views instead of copies, support in-place operations
+4. **Type Safety**: Full type annotations, passes mypy strict mode
+
+## Related Projects
+
+- [AssetPanelForest](https://github.com/ElenYoung/AssetPanelForest) - Supervised clustering for panel data
+- [MASFactorMiner](https://github.com/ElenYoung/MASFactorMiner) - Factor mining and analysis
+- [GeneralBacktest](https://github.com/ElenYoung/GeneralBacktest) - Backtesting framework
+
+## License
+
+MIT License - see [LICENSE](LICENSE) file for details.
+
+## Contributing
+
+Contributions are welcome! Please see [CONTRIBUTING.md](CONTRIBUTING.md) for guidelines.
+
+## Changelog
+
+See [CHANGELOG.md](CHANGELOG.md) for version history and changes.
+
+## Support
+
+- GitHub Issues: [https://github.com/ElenYoung/QFeatureLib/issues](https://github.com/ElenYoung/QFeatureLib/issues)
+- Documentation: [https://github.com/ElenYoung/QFeatureLib#readme](https://github.com/ElenYoung/QFeatureLib#readme)
+
+---
+
+**Note**: This library is part of a quantitative finance ecosystem. When implementing features, consider compatibility with downstream projects.