Analyze

Analyze is the research diagnostics boundary. Use it to understand factors, returns, attribution, robustness, and time-series behavior after data and signals have been produced. Strategy execution and portfolio construction live in skills.backtest.

Phase 03 adds a deterministic AnalyzeFacade for factor-mining preflight, evaluation, and explicit pool comparison. The facade is read-only (no implicit I/O), fails fast on hard preflight/alignment/causality failures before return evaluation, and returns analyze-native structured results. Formal portfolio returns and costs always call skills.backtest.VectorBacktester.

skills.analyze must not import skills.factor_mining, strategies, store global paths, report rendering, controller/role/workflow code, or LLM SDKs.

Install plotting and parallel-analysis dependencies with uv sync --extra analyze.

Public API

from skills.analyze import AnalyzeFacade, ProtocolSnapshot, SpecSnapshot
from skills.analyze.factor_analysis import IC_stat, group_stat, full_stat
from skills.analyze.factor_information import (
    ICInformationResult,
    compute_horizon_ic,
    compute_ic_information_surface,
    compute_lagged_ic,
    rolling_factor_rank_correlation,
)
from skills.analyze.ts_analysis import TimeSeriesAnalyzer, analyze_time_series
from skills.analyze.attribution_counterfactual import performance_metrics

Components

Module family	Purpose
facade / contracts	Deterministic Phase 03 entrypoint and analyze-native snapshots
validation / spec_checks / causality	Panel, formula structure, parameter, and prefix-causality checks
factor_evaluation / factor_robustness / factor_incremental	IC/quantiles/turnover, robustness, pool incremental
factor_analysis	Legacy IC statistics, grouped returns, winsorization helpers
factor_information	Horizon/Lag IC surfaces, HAC summaries, rank correlation, rolling correlation, and Top-N overlap
ts_analysis	KDE/QQ plots, Hurst, ADF, KPSS, trend scoring
attribution_*	Symbol/category PnL, Brinson, decision edges, ranking buckets, Shapley, robustness, stat tests
tearsheet	Factor and artifact-namespace summary report helpers

Recipes

Deterministic factor-mining evaluation (via Phase 02 adapter)

from skills.analyze import AnalyzeFacade
from skills.factor_mining.adapters.analyze import (
    AnalyzeAdapter,
    build_prefix_recompute_capability,
)

# Official issuer signature: FactorSpec + optional verified FactorExecutionResult.
# Preflight (no execution): build_prefix_recompute_capability(factor=spec)
# Evaluate: build_prefix_recompute_capability(factor=spec, execution=execution)
# AnalyzeAdapter.preflight / evaluate wire this automatically.
# The snippet below is illustrative (loaders/request omitted); production code
# injects real resolvers and must not treat ellipsis as runnable.

adapter = AnalyzeAdapter(
    facade=AnalyzeFacade(),
    resolve_brief=resolve_brief,
    resolve_factor=resolve_factor,
    resolve_protocol=resolve_protocol,
    resolve_execution=resolve_execution,
    load_series=load_series,
    load_panel=load_panel,
)
preflight_report = adapter.preflight(evaluation_request)
assert preflight_report.failure is None
# After Phase02 execute(...):
eval_report = adapter.evaluate(evaluation_request_with_execution_ref)
assert eval_report.engine_version

Trust boundary (prefix recompute). BoundPrefixRecompute cannot be constructed publicly. The only production issuer is build_prefix_recompute_capability(factor: FactorSpec, execution=None) — it compiles the exact FactorSpec and optionally checks execution.callable_fingerprint. Analyze does not expose a public API that seals arbitrary callables with hash strings. Process trust boundary: private helpers remain importable in-process; orchestration policy must only use the Phase02 adapter builder. Evaluate additionally requires an issued recompute to reproduce evaluated values (CAUSALITY_RECOMPUTE_VALUE_MISMATCH).

FunctionRef has no module allowlist. It may point to generated strategy code, skills.compute, or another importable local dependency. Analyze checks the research contract—fields, parameter/window/lag consistency, output alignment, and time causality—rather than treating the local Python module as untrusted.

Trust boundary (resolvers / artifact loaders). Production resolve_brief / resolve_factor / resolve_execution / load_series ports are trusted orchestration inputs. ArtifactRef.content_hash must be verified by a store-backed loader (e.g. DataManagerArtifactStore.get). Arbitrary in-process malicious reflection is outside the security boundary; private issuers only prevent accidental public-API misuse, not same-process attackers.

Trust boundary (formal pool pair). Portfolio deltas require an officially issued FormalBacktestPair from run_official_formal_backtest_pair, which constructs module VectorBacktester twice on explicit before/after target weights (no caller factory). Issuance is a canonical digest over before/after result_df/executed_weights plus panel/candidate/pool/protocol/shared-sample/ target-weight hashes and engine name/version. The pair rejects ordinary setattr after freeze; is_issued() recomputes the digest so object.__setattr__ tampering invalidates compare. There is no helper that accepts caller-supplied BacktestResult objects as verified.

Protocol vs Brief authority. Brief owns horizon/rebalance/cost/universe/ execution_delay_bars (mapped to signal_lag). trade_at and return_mode are Analyze/ProtocolSnapshot fields with no Brief counterpart — they are not silently inferred from Brief; callers must set them on the protocol.

Execution-aligned labels. Predictive IC, group returns, and pool residual / R² use one canonical label: forward P[t+L+H]/P[t+L]-1 or backward P[t+L]/P[t+L-H]-1 on protocol.trade_at prices, with signal_lag=L and holding window horizon_bars=H. Formal trading asserts the same semantics and is unavailable for horizon_bars != 1 (one-bar VectorBacktester limit).

Overlapping horizons (horizon_bars > 1) mark iid IC t-tests unavailable and report Newey–West HAC t/se/p instead. Pool marginal value is joint CS R² delta / residual IC under residual df and full-rank checks — never candidate IC minus mean member IC, and never saturated n == n_params mechanical R²=1.

Horizon IC and Lagged IC

from skills.analyze.factor_information import compute_horizon_ic, compute_lagged_ic

horizon_result = compute_horizon_ic(
    factors,
    close_prices,
    horizons=[1, 3, 5, 10, 20, 40, 60],
    signal_lag=1,
)
lagged_result = compute_lagged_ic(
    factors,
    close_prices,
    horizons=[1, 5, 10, 20],
    lags=[0, 1, 2, 3, 5, 10, 20, 40, 60],
    signal_lag=1,
)

Both return ICInformationResult(summary, daily_ic). Horizon IC fixes lag=0; Lagged IC changes signal-use delay independently of the return horizon. The execution-aligned return is P[t+signal_lag+lag+horizon] / P[t+signal_lag+lag] - 1, and each summary row uses Newey-West lag horizon-1.

Factor evaluation (legacy helpers)

from skills.analyze.factor_analysis import IC_stat, group_stat

ic_stat_dict, ic_series = IC_stat(df, rank_IC=True, n=5)
group_return, turnover = group_stat(df, n=5, g=5, verbose=True)

Time-series stationarity check

from skills.analyze.ts_analysis import TimeSeriesAnalyzer

analyzer = TimeSeriesAnalyzer(price_series)
analyzer.analyze_windows([60, 120, 240])
results_df = analyzer.get_results_dataframe()

Return-distribution KDE and QQ analysis

from skills.analyze.ts_analysis import ts_analysis

fig, axes = ts_analysis(
    price_series,
    plot_title="asset",
    plot_path="reports/asset.png",
    show=False,
    save_csv=True,
)

The input is a price-level series. The combined chart and CSV summarize standardized log-return distributions for lags 1 through 34; QQ theoretical quantiles are deterministic standard-normal quantiles.