multi-level-aggregation-overfitting

multi-level-aggregation-overfitting is a skill for Claude Code, Codex from topprismdata/cultivating-ml-agent. It costs 82 tokens per session (628 once invoked), scanned A, original, MIT.

A warning about using family- and store-level summary data in models that predict one forecast day at a time.

In plain words
What is it for?
Use it when adding grouped features such as family averages, store rolling means, or store-family ratios, especially when cross-validation improves but test performance falls.
Why use it?
These extra summaries can make validation results look better while making predictions for new data worse, because they may repeat information the model already has or capture noise.

Skill for Claude CodeCodex

Written for no agent in particular: nothing here depends on one.

Good fit Use it when adding grouped features such as family averages, store rolling means, or store-family ratios, especially when cross-validation improves but test performance falls.

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Install with agentmods
npx agentmods add skills/topprismdata/cultivating-ml-agent/multi-level-aggregation-overfitting
Install

Getting it into your agent

One page per mod, every tool's command on it. A separate URL per tool would split the same page into five that compete with each other.

Any agent
npx skills add topprismdata/cultivating-ml-agent --skill multi-level-aggregation-overfitting
Clone the repo
git clone --depth 1 https://github.com/topprismdata/cultivating-ml-agent

Made for: Claude Code, Codex.

Wrote this? Show the measurements

A badge with what this costs and how it scanned, read live from this page, so it follows the numbers instead of freezing them. Markdown for a README, HTML for a documentation site or a project page.

agentmods badge for multi-level-aggregation-overfitting

README.md
[![agentmods](https://agentmods.dev/badge/skills/topprismdata/cultivating-ml-agent/multi-level-aggregation-overfitting.svg)](https://agentmods.dev/skills/topprismdata/cultivating-ml-agent/multi-level-aggregation-overfitting)
Your own site
<a href="https://agentmods.dev/skills/topprismdata/cultivating-ml-agent/multi-level-aggregation-overfitting"><img src="https://agentmods.dev/badge/skills/topprismdata/cultivating-ml-agent/multi-level-aggregation-overfitting.svg" alt="Measured on agentmods" height="20"></a>
Per session 82 Skills are progressive disclosure: only the name and description are preloaded; the body loads when the skill is used.
When invoked 628 The whole file, excluding the scripts and references it only reads on demand.
Security scan A 0 findings. A grade says what 26 rules found in the file — not that it is safe.
Origin original No closer match found in the catalogue.
Token cost

What it costs to keep this loaded

Counted locally with the o200k_base tokenizer, which is exact for GPT models; Claude uses its own tokenizer and its counts differ. Treat this as one consistent yardstick across the catalogue rather than a bill. Prices are per million input tokens.

ModelPer sessionOnce invoked
Fable 5.1 $0.00082 $0.00628
Opus 5 $0.00041 $0.00314
Sonnet 5 $0.00016 $0.00126
Haiku 4.5 $0.00008 $0.00063

Measured 7d ago against content hash c004b1d9e8ac, method: parsed. Prices are Anthropic first-party input rates as of 2026-09-07, from the pricing page.

Security

Grade A, and why

multi-level-aggregation-overfitting scanned grade A with 0 findings against 26 rules in 11 categories — prompt injection, anti-refusal, data exfiltration, privilege escalation, supply chain, agent snooping, system-prompt leakage, SSRF and excessive agency — measured 7d ago.

A static scan of the body, not an audit. Every finding is printed with the line that produced it so you can judge whether it matters here. A mod is markdown that instructs an agent; that is exactly why what it instructs is worth reading.

Nothing flagged

None of the 26 patterns this scan looks for appear in this file: no shell pipes, no recursive deletes, no credential paths, no hidden text, no instruction-override or anti-refusal phrasing, no agent-config snooping. That is not a guarantee, it is the absence of the things that are checkable.

skills/examples/multi-level-aggregation-overfitting/SKILL.md · 61 lines

How it starts

The opening of the file, as written. The whole thing — 61 lines — stays where its author put it; the contents beside it link to each section on GitHub.

Multi-Level Aggregation Overfitting in Day-Specific Models

Problem

1st place solutions often use family-level and store-level aggregation features (family lag, store rolling mean, store-family ratio features). However, when applied to day-specific models (separate model per horizon day), these features can cause overfitting: CV improves but LB degrades.

Why It Overfits

In day-specific models, each model trains on ~2.87M samples covering all (store, family) pairs. The model already sees sufficient examples per pair. Family/store level features add redundancy:

  1. Leakage via aggregation: Family-level lags are highly correlated with individual store-family lags (especially for families with few stores). The ratio features (sf_to_fam_ratio) may capture noise rather than signal.

  2. Cross-pair interference: Day-specific models learn patterns across all pairs simultaneously. Adding aggregated features increases the feature space without adding truly independent information.

  3. CV overfitting: The expanding-window CV may not penalize these features enough because the family/store patterns are stable across time, but they don't generalize to the test period's specific dynamics.

Evidence

Version Features CV RMSLE LB
R11b (base) 82 features 0.42041 0.40073
R12 multilevel 82 + 18 agg 0.41668 (better) 0.39874 (worse vs R11c=0.39824)

CV improved by 0.00373 but LB got worse by 0.00050 relative to R11c.

In contrast, YoY features (only 4 features) improved LB by 0.00045 with less CV improvement.

Rule of Thumb

  • Unified model: Multi-level aggregation likely helps (model needs hints about hierarchy)
  • Day-specific model: Multi-level aggregation may overfit (model already sees all pairs)
  • Safer alternative: Use target encoding at family/store level instead of raw aggregation
  • Feature budget: Prefer fewer high-signal features (like YoY) over many correlated ones

Read the full file on GitHub · 61 lines

Changes

What this file has done since we first saw it

Hashed on every crawl. A supply-chain change to an agent config is a question of when, not whether, so the history is kept rather than the latest state alone.

  1. 7d ago First seen · 61 lines · 82 tokens per session scan A c004b1d9e8ac

Subscribe to this mod's changes

multi-level-aggregation-overfitting is a skill published in the GitHub repository topprismdata/cultivating-ml-agent (5 stars, last pushed 9d ago), licensed MIT. It adds 82 tokens to every session and 628 once invoked, about $0.0004 per session on Opus 5. A static security scan graded it A with 0 findings. No closer match exists in the catalogue, so it is treated as the original; first seen 2026-08-31.

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