output/v2_feature_selection.json

{
  "total_raw": 949,
  "n_csv_files": 33,
  "stages": [
    {
      "stage": 0,
      "name": "原始指标",
      "count": 949,
      "rule": "33个CSV文件"
    },
    {
      "stage": 1,
      "name": "数据可用性",
      "count": 136,
      "rule": "缺失率<30%, 覆盖>120月"
    },
    {
      "stage": 2,
      "name": "单变量相关性",
      "count": 82,
      "rule": "|corr(feature, return)|>0.03"
    },
    {
      "stage": 3,
      "name": "共线性去重",
      "count": 70,
      "rule": "组内pair |corr|<0.85"
    },
    {
      "stage": 4,
      "name": "MI非线性筛选",
      "count": 70,
      "rule": "MI(feature; return)排序"
    },
    {
      "stage": 5,
      "name": "最终选择",
      "count": 18,
      "rule": "经济学意义+因子组分配"
    }
  ],
  "final_features": [
    {
      "feature": "Brent_spot",
      "factor_group": "Price",
      "mi_score": 0,
      "corr": 0
    },
    {
      "feature": "natgas_spot_henry",
      "factor_group": "Price",
      "mi_score": 0,
      "corr": 0
    },
    {
      "feature": "iron_ore_spot",
      "factor_group": "Price",
      "mi_score": 0,
      "corr": 0
    },
    {
      "feature": "rig_count_us_new",
      "factor_group": "Supply",
      "mi_score": 0.0041,
      "corr": -0.0327
    },
    {
      "feature": "supply_saudi",
      "factor_group": "Supply",
      "mi_score": 0,
      "corr": 0
    },
    {
      "feature": "us_oil_inventory_total",
      "factor_group": "Supply",
      "mi_score": 0,
      "corr": 0
    },
    {
      "feature": "pmi_us_mfg",
      "factor_group": "Demand",
      "mi_score": 0,
      "corr": 0
    },
    {
      "feature": "usd_index",
      "factor_group": "Demand",
      "mi_score": 0.0205,
      "corr": -0.0446
    },
    {
      "feature": "nonfarm_us",
      "factor_group": "Demand",
      "mi_score": 0,
      "corr": 0
    },
    {
      "feature": "ipi_us",
      "factor_group": "Demand",
      "mi_score": 0,
      "corr": 0
    },
    {
      "feature": "vix_lag1",
      "factor_group": "Risk_Geo",
      "mi_score": 0,
      "corr": 0
    },
    {
      "feature": "vix_lag2",
      "factor_group": "Risk_Geo",
      "mi_score": 0.0661,
      "corr": 0.1591
    },
    {
      "feature": "mom1m_lag1",
      "factor_group": "Technical",
      "mi_score": 0.0341,
      "corr": 0.0906
    },
    {
      "feature": "hist_vol_12m",
      "factor_group": "Technical",
      "mi_score": 0.065,
      "corr": 0.2184
    },
    {
      "feature": "rsi12m",
      "factor_group": "Technical",
      "mi_score": 0.0901,
      "corr": 0.2111
    },
    {
      "feature": "news_oil_sentiment",
      "factor_group": "Alternative",
      "mi_score": 0.0,
      "corr": 0.0311
    },
    {
      "feature": "news_geo_tone",
      "factor_group": "Alternative",
      "mi_score": 0.0566,
      "corr": -0.0511
    },
    {
      "feature": "news_article_volume",
      "factor_group": "Alternative",
      "mi_score": 0.017,
      "corr": 0.2619
    }
  ],
  "rejected_examples": [
    "mom1m",
    "bb_pct",
    "mom3m",
    "sota_ts_residual",
    "mom6m",
    "natgas_index",
    "cpi_japan",
    "hibor_3m",
    "gdp_australia_yoy",
    "bb_lower"
  ],
  "file_inventory": [
    {
      "file": "commodities.csv",
      "n_cols": 31,
      "cols": [
        "指标名称",
        "国际现货价格:黄金",
        "国际现货价格:白银",
        "国际现货价格:铜(A级)",
        "国际现货价格:铝",
        "国际现货价格:铅",
        "国际现货价格:锌",
        "国际现货价格:镍",
        "实际市场价:橡胶:全球:当月值",
        "实际市场价:可可豆:全球:当月值"
      ]
    },
    {
      "file": "commodity_extended.csv",
      "n_cols": 38,
      "cols": [
        "natgas_index",
        "agri_prices_橡胶",
        "agri_prices_可可豆",
        "agri_prices_罗布斯塔咖啡(豆)",
        "agri_prices_大豆",
        "agri_prices_大麦",
        "agri_prices_燕麦",
        "agri_prices_猪的肉",
        "agri_prices_家禽",
        "agri_prices_小麦"
      ]
    },
    {
      "file": "financial_markets.csv",
      "n_cols": 22,
      "cols": [
        "指标名称",
        "CBOE:波动率指数(VIX):收盘",
        "CBOE:波动性指数(VVIX):开盘",
        "标准普尔500波动率指数(VIX)",
        "指标名称.1",
        "美元兑欧元",
        "美元兑人民币",
        "美元兑日元",
        "美元兑瑞士法郎",
        "美元兑英镑"
      ]
    },
    {
      "file": "geopolitical_shocks.csv",
      "n_cols": 27,
      "cols": [
        "death_of_king",
        "pingjin",
        "crisis_of_iran",
        "turkey_to_iraq",
        "us_to_iran",
        "dep_of_dollar",
        "finance_crisis",
        "QE1",
        "debt_of_pigs",
        "QE2"
      ]
    },
    {
      "file": "global_gdp.csv",
      "n_cols": 14,
      "cols": [
        "gdp_china",
        "gdp_china_growth",
        "gdp_us",
        "gdp_japan",
        "gdp_germany",
        "gdp_uk",
        "gdp_france",
        "gdp_australia",
        "gdp_newzealand",
        "gdp_india_latam_国内生产总值[亿]"
      ]
    },
    {
      "file": "iea_energy_policy.csv",
      "n_cols": 15,
      "cols": [
        "title",
        "description",
        "status",
        "jurisdiction",
        "source",
        "datePromulgated",
        "yearEnded",
        "learnMore",
        "learnMoreLanguage",
        "dateModified"
      ]
    },
    {
      "file": "live_market_data.csv",
      "n_cols": 16,
      "cols": [
        "wti_futures_live",
        "brent_futures_live",
        "oil_vix_live",
        "vix_live",
        "uso_etf_live",
        "xle_etf_live",
        "xop_etf_live",
        "gold_futures_live",
        "natgas_futures_live",
        "heating_oil_live"
      ]
    },
    {
      "file": "llm_event_scores.csv",
      "n_cols": 3,
      "cols": [
        "event_name",
        "llm_intensity",
        "llm_sentiment"
      ]
    },
    {
      "file": "macro_economics.csv",
      "n_cols": 41,
      "cols": [
        "指标名称",
        "中国:制造业PMI",
        "美国:ISM:制造业PMI",
        "欧洲:制造业PMI",
        "中国:非制造业PMI:服务业",
        "美国:ISM:服务业PMI",
        "美国:工业生产指数:非季调",
        "欧洲:工业生产指数",
        "中国:工业生产指数(生产加权):季调",
        "美国:非农就业人数:季调:环比"
      ]
    },
    {
      "file": "macro_extended.csv",
      "n_cols": 20,
      "cols": [
        "cpi_china",
        "pmi_china",
        "ppi_china",
        "pmi_china_nonsvc",
        "cpi_us",
        "pmi_us",
        "ppi_us_同比",
        "ppi_us_同比.1",
        "pmi_us_svc",
        "employment_us_季调"
      ]
    },
    {
      "file": "oil_composite_features.csv",
      "n_cols": 12,
      "cols": [
        "指标名称",
        "us_oil_consumption",
        "india_oil_consumption",
        "china_oil_consumption",
        "china_oil_import",
        "china_refinery_yoy",
        "global_reserves",
        "murban_futures",
        "rig_count_us_new",
        "rig_count_opec_new"
      ]
    },
    {
      "file": "oil_demand_by_product.csv",
      "n_cols": 42,
      "cols": [
        "指标名称",
        "石油需求量:欧洲四国:液化石油气:当月值",
        "石油需求量:欧洲四国:汽油:当月值",
        "Unnamed: 3",
        "指标名称.1",
        "石油需求量:欧洲四国:石脑油:当月值",
        "Unnamed: 6",
        "指标名称.2",
        "石油需求量:欧洲四国:汽油:当月值.1",
        "石油需求量:欧洲四国:航空煤油:当月值"
      ]
    },
    {
      "file": "oil_futures_positioning.csv",
      "n_cols": 39,
      "cols": [
        "指标名称",
        "期货收盘价(连续):Murban原油:ICE",
        "ICE:原油:期货和期权:净持仓多头前8名占比",
        "ICE:原油:期货:掉期商:多头持仓:交易者数量",
        "ICE:原油:期货:净持仓多头前4名占比",
        "ICE:原油:期货和期权:掉期商:多头持仓",
        "ICE:原油:期货:管理基金:多头持仓:持仓数量占比",
        "ICE:原油:期货和期权:管理基金:套利持仓",
        "ICE:原油:期货:掉期商:多头持仓",
        "ICE:原油:期货和期权:管理基金:空头持仓:持仓数量占比"
      ]
    },
    {
      "file": "oil_market_extended.csv",
      "n_cols": 28,
      "cols": [
        "wti_futures_settlement",
        "brent_futures_settlement",
        "opec_basket",
        "micex_brent",
        "ice_brent",
        "oil_futures_close",
        "ice_positioning_1_ICE低硫轻质原油(WTI)期货期权持仓数量占比净持仓前8名多头",
        "ice_positioning_1_ICE低硫轻质原油(WTI)期货期权持仓数量占比净持仓前4名多头",
        "ice_positioning_1_ICE低硫轻质原油(WTI)期货期权持仓交易者数量报告头寸商业交易商多头",
        "ice_positioning_1_ICE低硫轻质原油(WTI)期货期权持仓数量占比非报告头寸空头总计"
      ]
    },
    {
      "file": "oil_prices.csv",
      "n_cols": 23,
      "cols": [
        "指标名称",
        "现货价:WTI原油",
        "Unnamed: 2",
        "Unnamed: 3",
        "指标名称.1",
        "现货价:Brent原油",
        "Unnamed: 6",
        "Unnamed: 7",
        "指标名称.2",
        "市场价(亚洲FOB):原油:阿曼"
      ]
    }
  ]
}