Sector-aware macro feature selection pipeline#67

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v-atharva wants to merge 157 commits intomainfrom

atharva/feature_selection

Commits on Oct 26, 2025

Commits on Oct 28, 2025

Commits on Oct 30, 2025

Mean-Variance Portfolio with Arithmetic and Geometric mean expected ret
rahulkfernandes
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Stabilized mean calc and inversion
rahulkfernandes
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Removed untracked variables

AtharvaVaidya
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AtharvaVaidya
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Commits on Oct 31, 2025

Commits on Nov 1, 2025

Commits on Nov 4, 2025

dulicate dates found, cross-sec mean & vol plot added
rahulkfernandes
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Commits on Nov 5, 2025

Commits on Nov 6, 2025

Distruibutions Tested for all features
rahulkfernandes
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Commits on Nov 7, 2025

Commits on Nov 12, 2025

exploration code implemented
rahulkfernandes
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Commits on Nov 13, 2025

Commits on Nov 15, 2025

Added macro-analysis exploration

AtharvaVaidya
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AtharvaVaidya
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Commits on Nov 20, 2025

Commits on Nov 23, 2025

csv file saving bug fixed
rahulkfernandes
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Commits on Nov 25, 2025

reshaping implmented
rahulkfernandes
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Commits on Nov 28, 2025

sample data fixed
rahulkfernandes
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synthetic data: more years added
rahulkfernandes
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attendtion layer improved
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relu added to attn model
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plots loss curves
rahulkfernandes
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Added splits for macro and modified paths

AtharvaVaidya
authored and
AtharvaVaidya
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Commits on Nov 29, 2025

gets validation alloc weights, calculates equal weight
rahulkfernandes
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plots validation daily returns for each portfolio weight and window
rahulkfernandes
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calculates total return over each window
rahulkfernandes
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Added macro-aware preprocessing, optimized feature broadcasting

AtharvaVaidya
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AtharvaVaidya
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Added path resolutions for data directories

AtharvaVaidya
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AtharvaVaidya
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Commits on Nov 30, 2025

Dropping NaN

AtharvaVaidya
authored and
AtharvaVaidya
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Removing NaN

AtharvaVaidya
authored and
AtharvaVaidya
committed
calculates overall perfomance of portfolios on validation windows
rahulkfernandes
committed
hparams updated
rahulkfernandes
committed
attendtion layer improved
rahulkfernandes
committed
relu added to attn model
rahulkfernandes
committed
plots loss curves
rahulkfernandes
committed
gets validation alloc weights, calculates equal weight
rahulkfernandes
committed
plots validation daily returns for each portfolio weight and window
rahulkfernandes
committed
calculates total return over each window
rahulkfernandes
committed
calculates overall perfomance of portfolios on validation windows
rahulkfernandes
committed
hparams updated
rahulkfernandes
committed
Merge branch 'rahul/loss-functions/models' of https://github.com/travisdesell/exact into rahul/loss-functions/models
rahulkfernandes
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Macro addition commented out for testing
rahulkfernandes
committed

Commits on Dec 1, 2025

Commits on Dec 4, 2025

trainer class refactored to be more modular
rahulkfernandes
committed

Commits on Dec 11, 2025

some tests added for MacroCombiner
rahulkfernandes
committed

Commits on Dec 12, 2025

Commits on Dec 21, 2025

Improved type hints
rahulkfernandes
committed

Commits on Dec 22, 2025

type hints added
rahulkfernandes
committed

Commits on Feb 9, 2026

Add CRSP-macro feature selection pipeline and reports

AtharvaVaidya
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AtharvaVaidya
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Delete financial_loss_functions/data/raw/sample directory
v-atharva
authored
Delete financial_loss_functions/data/feature_selection directory
v-atharva
authored

Commits on Feb 18, 2026

Add sector-aware macro feature selection pipeline

AtharvaVaidya
authored and
AtharvaVaidya
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Added exploration for feature selection

AtharvaVaidya
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AtharvaVaidya
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Commits on Feb 24, 2026

Chore: gitignore fixed before merge
rahulkfernandes
committed