#!/usr/bin/env python3 """C28: News sentiment features (news_score_1d, news_score_5d_ma). Adds daily news sentiment from the pre-built history cache (data/news_sentiment_history.json) as ML training features. Must run scripts/build_news_history.py first to populate the cache. Features added over CURRENT_FEATURES: news_score_1d — prior-day sentiment score [-1, 1] (non-leaking) news_score_5d_ma — 5-day rolling mean of sentiment Hypothesis: News sentiment provides leading signal beyond price/volume — positive news precedes institutional buying, negative news precedes selling. """ import sys from pathlib import Path ROOT = Path(__file__).resolve().parent.parent sys.path.insert(0, str(ROOT)) import warnings; warnings.filterwarnings("ignore") import json import argparse import numpy as np from scripts.improvement_harness import ( fetch_df, walk_forward, build_triple_barrier_labels, CURRENT_FEATURES, DEFAULT_STOCKS, EXTENDED_STOCKS, PASS_DIR_ACC, PASS_UP_PREC, ) from models.predictor import _build_features from data.news_history import add_news_sentiment, _load_cache # Stock name map — needed for add_news_sentiment cache lookup STOCK_NAMES = { "2330": "台積電", "0050": "元大台灣50", "2317": "鴻海", "2454": "聯發科", "2881": "富邦金", "2303": "聯電", "2382": "廣達", "2308": "台達電", "2882": "國泰金", "2886": "兆豐金", "0056": "元大高股息", "2412": "中華電", } C28_FEATURES = ["news_score_1d", "news_score_5d_ma"] NEW_FEATURES = CURRENT_FEATURES + C28_FEATURES def load_stock(stock_no: str, news_cache: dict): df = fetch_df(stock_no) if df is None or df.empty: return None, None df = add_news_sentiment(df, stock_no, cache=news_cache) feat = _build_features(df) # Append news features (not in _build_features output) for col in C28_FEATURES: feat[col] = df.get(col, 0.0) close = (df.set_index("date")["close"] if "date" in df.columns else df["close"]).values labels = build_triple_barrier_labels(close) return feat, labels def main(): parser = argparse.ArgumentParser() parser.add_argument("--extended", action="store_true") args = parser.parse_args() stocks = EXTENDED_STOCKS if args.extended else DEFAULT_STOCKS tag = "12-stock" if args.extended else "5-stock" suffix = "_12stock" if args.extended else "" print(f"\n=== C28: News sentiment features [{tag}] ===") news_cache = _load_cache() # Summarise cache coverage covered = {s for s in stocks if s in news_cache and len(news_cache[s]) > 4} print(f" Cache: {len(news_cache)} stocks total, {len(covered)}/{len(stocks)} eval stocks covered") if not covered: print("\n ERROR: news_sentiment_history.json is empty.") print(" Run: venv/bin/python scripts/build_news_history.py --months 24") return 1 print(f" C28 features: {C28_FEATURES}\n") per_stock = {} base_results, c28_results = [], [] for stock_no in stocks: print(f" {stock_no}...", end=" ", flush=True) feat, labels = load_stock(stock_no, news_cache) if feat is None: print("no data") continue n_news = (feat.get("news_score_1d", 0) != 0).sum() if "news_score_1d" in feat.columns else 0 m_base = walk_forward(feat, labels, CURRENT_FEATURES) m_c28 = walk_forward(feat, labels, NEW_FEATURES) per_stock[stock_no] = {"baseline": m_base, "c28": m_c28, "news_days": int(n_news)} base_results.append(m_base) c28_results.append(m_c28) b_dir = m_base.get("dir_accuracy", float("nan")) b_up = m_base.get("up_precision", float("nan")) c_dir = m_c28.get("dir_accuracy", float("nan")) c_up = m_c28.get("up_precision", float("nan")) print(f"news_days={n_news} base dir={b_dir}% ↑prec={b_up}% → c28 dir={c_dir}% ↑prec={c_up}%") def _avg(results, key): vals = [m[key] for m in results if m and not np.isnan(m.get(key, float("nan")))] return round(float(np.mean(vals)), 1) if vals else float("nan") base_agg = {"dir_accuracy": _avg(base_results, "dir_accuracy"), "up_precision": _avg(base_results, "up_precision")} c28_agg = {"dir_accuracy": _avg(c28_results, "dir_accuracy"), "up_precision": _avg(c28_results, "up_precision")} passed = c28_agg["dir_accuracy"] >= PASS_DIR_ACC and c28_agg["up_precision"] >= PASS_UP_PREC print(f"\n Baseline avg: dir={base_agg['dir_accuracy']}% ↑prec={base_agg['up_precision']}%") print(f" C28 avg: dir={c28_agg['dir_accuracy']}% ↑prec={c28_agg['up_precision']}%") print(f" Gate (dir≥{PASS_DIR_ACC}% AND ↑prec≥{PASS_UP_PREC}%): {'PASS ✓' if passed else 'FAIL ✗'}") result = { "experiment": "C28", "description": "News sentiment features from local LLM scoring", "new_features": C28_FEATURES, "stocks": stocks, "aggregate": {"baseline": base_agg, "c28": c28_agg}, "passed": passed, "pass_gate": {"dir_accuracy": PASS_DIR_ACC, "up_precision": PASS_UP_PREC}, "per_stock": per_stock, } out = ROOT / f"docs/c28_result{suffix}.json" out.parent.mkdir(exist_ok=True) out.write_text(json.dumps(result, indent=2)) print(f"\n Saved: {out}") return 0 if passed else 1 if __name__ == "__main__": sys.exit(main())