#!/usr/bin/env python3 """Summarize how the predefined A-share thresholds change natural labels.""" from __future__ import annotations import argparse import csv import statistics from collections import defaultdict from pathlib import Path def percentile(values: list[float], probability: float) -> float: ordered = sorted(values) position = probability * (len(ordered) - 1) lower = int(position) upper = min(lower + 1, len(ordered) - 1) weight = position - lower return ordered[lower] * (1 - weight) + ordered[upper] * weight def parse_args() -> argparse.Namespace: parser = argparse.ArgumentParser(description=__doc__) parser.add_argument("--input", type=Path, required=True) parser.add_argument("--output", type=Path, required=True) parser.add_argument("--split", default="test") return parser.parse_args() def main() -> None: args = parse_args() grouped: dict[float, list[dict[str, str]]] = defaultdict(list) with args.input.open(newline="", encoding="utf-8") as handle: for row in csv.DictReader(handle): if row["split"] == args.split: grouped[float(row["threshold"])].append(row) rows = [] for threshold, cases in sorted(grouped.items()): stationary_rates = [ int(row["stationary"]) / int(row["n_windows"]) for row in cases ] pooled_n = sum(int(row["n_windows"]) for row in cases) pooled_down = sum(int(row["down"]) for row in cases) pooled_stationary = sum(int(row["stationary"]) for row in cases) pooled_up = sum(int(row["up"]) for row in cases) rows.append( { "split": args.split, "threshold": threshold, "n_stocks": len(cases), "pooled_windows": pooled_n, "pooled_down_rate": pooled_down / pooled_n, "pooled_stationary_rate": pooled_stationary / pooled_n, "pooled_up_rate": pooled_up / pooled_n, "stock_stationary_rate_mean": statistics.fmean(stationary_rates), "stock_stationary_rate_q1": percentile(stationary_rates, 0.25), "stock_stationary_rate_median": statistics.median(stationary_rates), "stock_stationary_rate_q3": percentile(stationary_rates, 0.75), } ) args.output.parent.mkdir(parents=True, exist_ok=True) with args.output.open("w", newline="", encoding="utf-8") as handle: writer = csv.DictWriter(handle, fieldnames=list(rows[0])) writer.writeheader() writer.writerows(rows) markdown = args.output.with_suffix(".md") lines = [ "# Predefined label-threshold sensitivity", "", f"Natural `{args.split}` split; no resampling or model-selection outcome is used.", "", "| threshold | stocks | pooled windows | down | stationary | up | stock stationary median [IQR] |", "|---:|---:|---:|---:|---:|---:|---:|", ] for row in rows: lines.append( f"| {row['threshold']:.4f} | {row['n_stocks']} | " f"{row['pooled_windows']} | {row['pooled_down_rate']:.3f} | " f"{row['pooled_stationary_rate']:.3f} | {row['pooled_up_rate']:.3f} | " f"{row['stock_stationary_rate_median']:.3f} " f"[{row['stock_stationary_rate_q1']:.3f}, " f"{row['stock_stationary_rate_q3']:.3f}] |" ) markdown.write_text("\n".join(lines) + "\n", encoding="utf-8") print(f"wrote {args.output} and {markdown}") if __name__ == "__main__": main()