"""MacroLens unified-API evaluation layer (Phase 1E). Public API ---------- >>> import whatif_bench.eval as ev >>> metrics = ev.score("T1", y_true, y_pred, ... cluster_keys=meta["ticker"].values, ... close_last=meta["close_last"].values) >>> df = ev.compare_methods("T1", run_records, correction="holm") Hard rules (definitive — see the unified-API plan §5 / §7b): * **Default ``resample="cluster"``** — bootstrap by ``ticker`` for T1 / T2 / T3 / T5 / T6 / T7, by ``scenario_id`` for T4. Statistically correct on panel data. * **Adaptive ``n_boot``** — start at B=1,000; if ``(ci_hi - ci_lo) / max(|mean|, 1e-12) > 0.05`` escalate to B=10,000. Cap at 10,000. Actual ``B`` recorded on the returned ``MetricValue``. * **Close-anchor DA everywhere** — for T1, directional accuracy is ``mean(sign(y_pred[t] - close_last) == sign(y_true[t] - close_last))`` over the horizon. The legacy ``np.diff``-based formula is REMOVED. ``close_last`` is supplied via the ``close_last=`` kwarg (or ``meta["close_last"]`` by the runner). When unavailable we fall back to ``y_pred[:, 0]`` as the anchor and document the fallback in the metric's metadata. * **APE clip uniformly at 10×.** With ``return_sensitivity=True`` we also emit MAPE at clips ``{5, 10, 20, ∞}``. * **Multiple-comparisons correction is per-task** (Holm or BH). NO cross-task FWER claim. * All metric values are wrapped in ``MetricValue`` Pydantic models. The per-task numerical logic is lifted verbatim from the legacy ``agents/valuation/evaluate.py`` module (which still passes the ``tests/test_evaluator_contract.py`` contract). This module is a leaf — it does NO IO, imports nothing from ``methods/``, ``dataloader/`` or ``experiments/``. """ from __future__ import annotations import logging from typing import Any, Callable, Iterable, Literal import numpy as np import pandas as pd from .macrolens._types import MetricValue logger = logging.getLogger(__name__) # =================================================================== # Constants # =================================================================== _BOOTSTRAP_INITIAL_N = 1_000 _BOOTSTRAP_MAX_N = 10_000 _BOOTSTRAP_CI_TOL = 0.05 # widen → escalate threshold _APE_CLIP_DEFAULT = 10.0 # 1000% per-instance cap _APE_SENSITIVITY_CLIPS: tuple[float, ...] = (5.0, 10.0, 20.0, float("inf")) # =================================================================== # Cluster bootstrap # =================================================================== def _bootstrap_ci( values: np.ndarray, *, cluster_keys: np.ndarray | None = None, agg_fn: Callable[[np.ndarray], float] = np.mean, n_boot: int | Literal["adaptive"] = "adaptive", alpha: float = 0.05, seed: int = 42, ) -> tuple[float, float, float, float, int]: """Bootstrap confidence interval for ``agg_fn(values)``. Parameters ---------- values 1-D float array of per-instance summary statistics. cluster_keys Optional cluster ID per row. When supplied, performs **cluster bootstrap** (resample whole clusters with replacement; aggregate all member rows). When ``None``, performs IID bootstrap. agg_fn Aggregator (default ``np.mean``). n_boot Either an explicit integer, or ``"adaptive"`` to start at 1,000 and escalate to 10,000 if the CI half-width is wider than 5% of the point estimate. alpha Two-sided coverage; default 0.05 → 95% CI. seed RNG seed. Returns ------- ``(value, ci_lo, ci_hi, std, n_boot_used)`` """ values = np.asarray(values, dtype=np.float64).ravel() n = values.size if n == 0: nan = float("nan") return nan, nan, nan, nan, 0 point = float(agg_fn(values)) # Build cluster index lookup once. if cluster_keys is not None: ck = np.asarray(cluster_keys).ravel() if ck.size != n: raise ValueError( f"cluster_keys length {ck.size} != values length {n}" ) # Map cluster → row indices. unique_clusters, inverse = np.unique(ck, return_inverse=True) # cluster_idx[c] = np.array of row positions in `values`. cluster_rows: list[np.ndarray] = [ np.where(inverse == c)[0] for c in range(unique_clusters.size) ] n_clusters = unique_clusters.size else: cluster_rows = [] n_clusters = 0 rng = np.random.default_rng(seed) def _draw(b: int) -> np.ndarray: out = np.empty(b, dtype=np.float64) if cluster_keys is not None: for i in range(b): pick = rng.integers(0, n_clusters, size=n_clusters) # Concatenate row indices for all picked clusters. idx = np.concatenate([cluster_rows[c] for c in pick]) out[i] = agg_fn(values[idx]) else: for i in range(b): out[i] = agg_fn(values[rng.integers(0, n, size=n)]) return out # Decide B. if n_boot == "adaptive": boot = _draw(_BOOTSTRAP_INITIAL_N) lo = float(np.quantile(boot, alpha / 2)) hi = float(np.quantile(boot, 1 - alpha / 2)) rel_width = (hi - lo) / max(abs(point), 1e-12) if rel_width > _BOOTSTRAP_CI_TOL and _BOOTSTRAP_MAX_N > _BOOTSTRAP_INITIAL_N: extra = _draw(_BOOTSTRAP_MAX_N - _BOOTSTRAP_INITIAL_N) boot = np.concatenate([boot, extra]) lo = float(np.quantile(boot, alpha / 2)) hi = float(np.quantile(boot, 1 - alpha / 2)) b_used = boot.size else: b_used = int(n_boot) boot = _draw(b_used) lo = float(np.quantile(boot, alpha / 2)) hi = float(np.quantile(boot, 1 - alpha / 2)) std = float(np.std(boot)) return point, lo, hi, std, b_used def _wrap_metric( values: np.ndarray, *, cluster_keys: np.ndarray | None, agg_fn: Callable[[np.ndarray], float], n_boot: int | Literal["adaptive"], alpha: float, seed: int, resample: Literal["cluster", "iid"], ) -> MetricValue: """Bootstrap a per-instance vector and box it into a ``MetricValue``. Returns a ``MetricValue`` with all fields ``None`` when ``values`` is empty or every entry is non-finite (the metric cannot be defined). """ arr = np.asarray(values, dtype=np.float64).ravel() finite_mask = np.isfinite(arr) if arr.size == 0 or not finite_mask.any(): return _none_metric(resample=resample) if not finite_mask.all(): # Drop non-finite entries; align cluster_keys if supplied. if cluster_keys is not None: ck_arr = np.asarray(cluster_keys).ravel() if ck_arr.size == arr.size: cluster_keys = ck_arr[finite_mask] # else: leave cluster_keys alone — _align_cluster_keys upstream # may have already pre-filtered. arr = arr[finite_mask] if resample == "iid": ck = None else: ck = cluster_keys # Cluster bootstrap with one unique cluster collapses to a delta — fall # back to IID resampling on that array so the std is still defined. if ck is not None: unique_ck = np.unique(np.asarray(ck).ravel()) if unique_ck.size < 2: ck = None point, lo, hi, std, b_used = _bootstrap_ci( arr, cluster_keys=ck, agg_fn=agg_fn, n_boot=n_boot, alpha=alpha, seed=seed, ) if not np.isfinite(point): return _none_metric(resample=resample) # CI half-width / std may legitimately collapse to 0 (1-row arrays); keep # those numerics rather than substituting None. lo_v = lo if np.isfinite(lo) else point hi_v = hi if np.isfinite(hi) else point std_v = std if np.isfinite(std) else 0.0 return MetricValue( value=float(point), ci_lo=float(lo_v), ci_hi=float(hi_v), std=float(std_v), n_boot=int(b_used), resample=resample, ) def _scalar_metric( value: float | None, *, resample: Literal["cluster", "iid"], n_boot: int = 0, ) -> MetricValue: """Wrap a deterministic scalar (e.g. counts) without a bootstrap. When ``value`` is ``None`` or NaN we emit a ``MetricValue`` whose ``value`` / ``ci_lo`` / ``ci_hi`` / ``std`` are all ``None`` so consumers can detect "metric not applicable" via ``value is None`` rather than with a NaN finiteness probe. """ if value is None or (isinstance(value, float) and np.isnan(value)): return MetricValue( value=None, ci_lo=None, ci_hi=None, std=None, n_boot=int(n_boot), resample=resample, ) v = float(value) return MetricValue( value=v, ci_lo=v, ci_hi=v, std=0.0, n_boot=int(n_boot), resample=resample, ) def _none_metric( *, resample: Literal["cluster", "iid"], ) -> MetricValue: """Return a ``MetricValue`` indicating "metric not applicable / not computed".""" return MetricValue( value=None, ci_lo=None, ci_hi=None, std=None, n_boot=0, resample=resample, ) # =================================================================== # Anchored DA helper # =================================================================== def _close_anchor_da( y_true: np.ndarray, y_pred: np.ndarray, close_last: np.ndarray, ) -> np.ndarray: """Per-row close-anchor directional accuracy (T1). For each row ``i`` and horizon step ``t`` we compare ``sign(y_true[i, t] - close_last[i])`` to ``sign(y_pred[i, t] - close_last[i])``. Per-row DA is the mean over the horizon. Returns a length-N float array (NaN allowed for rows where ``close_last`` is NaN). NB: the legacy ``np.diff`` formula is intentionally removed. """ y_true = np.asarray(y_true, dtype=np.float64) y_pred = np.asarray(y_pred, dtype=np.float64) cl = np.asarray(close_last, dtype=np.float64).reshape(-1, 1) if y_true.shape != y_pred.shape: raise ValueError( f"_close_anchor_da: shape mismatch y_true {y_true.shape} vs y_pred {y_pred.shape}" ) if cl.shape[0] != y_true.shape[0]: raise ValueError( f"_close_anchor_da: close_last length {cl.shape[0]} != y rows {y_true.shape[0]}" ) true_sign = np.sign(y_true - cl) pred_sign = np.sign(y_pred - cl) agree = (true_sign == pred_sign).astype(np.float64) return agree.mean(axis=1) # =================================================================== # Per-task helpers # =================================================================== def _ape_per_instance( pred: np.ndarray, actual: np.ndarray, *, clip: float = _APE_CLIP_DEFAULT, near_zero: float = 0.0, ) -> tuple[np.ndarray, np.ndarray]: """Return (ape_vector_pct, kept_row_mask) clipped at ``clip × 100 %``. Rows where ``|actual| <= near_zero`` (or NaN) are dropped from the returned vectors; the second return value is the boolean mask of rows that survived (in the original ordering). """ pred = np.asarray(pred, dtype=np.float64).ravel() actual = np.asarray(actual, dtype=np.float64).ravel() mask = ( np.isfinite(pred) & np.isfinite(actual) & (np.abs(actual) > near_zero) ) p = pred[mask] a = actual[mask] ape = np.abs((p - a) / a) if np.isfinite(clip): ape = np.minimum(ape, clip) return ape * 100.0, mask # percent units def _normalize_field_col(df: pd.DataFrame) -> pd.DataFrame: """T6 (Gen-Eval) GT uses ``generator_field``; T3 uses ``field``.""" if "field" not in df.columns and "generator_field" in df.columns: return df.rename(columns={"generator_field": "field"}) return df # ------------------------------------------------------------------- # T1 — Time-Series Forecasting # ------------------------------------------------------------------- def _per_task_score_T1( y_true: Any, y_pred: Any, *, cluster_keys: np.ndarray | None, close_last: np.ndarray | None, n_boot: int | Literal["adaptive"], alpha: float, seed: int, resample: Literal["cluster", "iid"], return_sensitivity: bool, ) -> dict[str, MetricValue]: y_true_a = np.asarray(y_true, dtype=np.float64) y_pred_a = np.asarray(y_pred, dtype=np.float64).copy() if y_true_a.ndim != 2 or y_pred_a.ndim != 2 or y_true_a.shape != y_pred_a.shape: raise ValueError( f"T1 score: shape mismatch — y_true {y_true_a.shape}, " f"y_pred {y_pred_a.shape}; expected matching (N, horizon) arrays." ) n, horizon = y_true_a.shape if n == 0: raise ValueError("T1 score: empty arrays.") # NaN penalty: substitute any NaN/inf prediction row with ZERO. # Failed parses thus get a clear no-signal penalty (MSE ≈ y_true², # MAE = |y_true|) that is distinct from any meaningful model output. nan_row_mask = ~np.isfinite(y_pred_a).all(axis=1) if nan_row_mask.any(): y_pred_a[nan_row_mask, :] = 0.0 # Per-instance aggregates (the bootstrap unit is the instance, with # cluster bootstrap pooling across ticker rows). per_inst_mse = ((y_pred_a - y_true_a) ** 2).mean(axis=1) per_inst_mae = np.abs(y_pred_a - y_true_a).mean(axis=1) # Close-anchor DA. Fall back to y_pred[:, 0] if unavailable (documented). da_fallback = False if close_last is None: close_last_v = y_pred_a[:, 0].astype(np.float64) da_fallback = True logger.warning( "T1 score: close_last not supplied; falling back to y_pred[:, 0] " "as the directional anchor. This degrades the DA interpretation." ) else: close_last_v = np.asarray(close_last, dtype=np.float64).ravel() per_inst_da = _close_anchor_da(y_true_a, y_pred_a, close_last_v) out: dict[str, MetricValue] = {} out["mse"] = _wrap_metric( per_inst_mse, cluster_keys=cluster_keys, agg_fn=np.mean, n_boot=n_boot, alpha=alpha, seed=seed, resample=resample, ) out["mae"] = _wrap_metric( per_inst_mae, cluster_keys=cluster_keys, agg_fn=np.mean, n_boot=n_boot, alpha=alpha, seed=seed, resample=resample, ) # rmse is sqrt(mean(mse_per_inst)) — bootstrap on the same sqrt(mean) # aggregator gives an honest CI. rmse_ck = cluster_keys if resample == "cluster" else None if rmse_ck is not None: unique_rmse_ck = np.unique(np.asarray(rmse_ck).ravel()) if unique_rmse_ck.size < 2: rmse_ck = None rmse_val, rmse_lo, rmse_hi, rmse_std, rmse_b = _bootstrap_ci( per_inst_mse, cluster_keys=rmse_ck, agg_fn=lambda x: float(np.sqrt(np.mean(x))), n_boot=n_boot, alpha=alpha, seed=seed, ) if not np.isfinite(rmse_val): out["rmse"] = _none_metric(resample=resample) else: out["rmse"] = MetricValue( value=float(rmse_val), ci_lo=float(rmse_lo) if np.isfinite(rmse_lo) else float(rmse_val), ci_hi=float(rmse_hi) if np.isfinite(rmse_hi) else float(rmse_val), std=float(rmse_std) if np.isfinite(rmse_std) else 0.0, n_boot=int(rmse_b), resample=resample, ) out["directional_accuracy"] = _wrap_metric( per_inst_da, cluster_keys=cluster_keys, agg_fn=np.nanmean, n_boot=n_boot, alpha=alpha, seed=seed, resample=resample, ) # MASE — Mean Absolute Scaled Error. Per-instance MASE divides each # row's MAE by the in-sample seasonal-naive MAE (1-step persistence on # close_last as the anchor: |y[h+1] - y[h]| averaged over the lookback # is approximated by |y_true[i, 0] - close_last[i]| as a proxy when # only the last close is available). Cluster-bootstraps over instances. denom = np.abs(y_true_a[:, 0] - close_last_v) denom_safe = np.where(denom > 1e-9, denom, np.nan) per_inst_mase = per_inst_mae / denom_safe valid_mase = np.isfinite(per_inst_mase) if valid_mase.any(): ck_mase = (cluster_keys[valid_mase] if cluster_keys is not None else None) out["mase"] = _wrap_metric( per_inst_mase[valid_mase], cluster_keys=ck_mase, agg_fn=np.mean, n_boot=n_boot, alpha=alpha, seed=seed, resample=resample, ) else: out["mase"] = _none_metric(resample=resample) out["n_instances"] = _scalar_metric(n, resample=resample) if da_fallback: # Best-effort metadata — store a sentinel so consumers can detect. out["directional_accuracy_anchor_fallback"] = _scalar_metric( 1.0, resample=resample, ) if return_sensitivity: # T1's natural target is MSE/MAE; APE-style sensitivity is most # meaningful relative to ``close_last``. Compute APE between # final-step prediction and the realised final close. if close_last is not None: denom = np.abs(close_last_v) denom_mask = denom > 0 if denom_mask.any(): final_err = np.abs(y_pred_a[:, -1] - y_true_a[:, -1]) ape_full = (final_err[denom_mask] / denom[denom_mask]) * 100.0 for clip in _APE_SENSITIVITY_CLIPS: if np.isfinite(clip): clipped = np.minimum(ape_full, clip * 100.0) else: clipped = ape_full key = ( f"mape_at_clip_{int(clip)}x" if np.isfinite(clip) else "mape_at_clip_inf" ) out[key] = _wrap_metric( clipped, cluster_keys=( cluster_keys[denom_mask] if cluster_keys is not None else None ), agg_fn=np.mean, n_boot=n_boot, alpha=alpha, seed=seed, resample=resample, ) return out # ------------------------------------------------------------------- # T2 / T5 — Point-in-time valuation # ------------------------------------------------------------------- def _adapt_t2_t5(y_true: Any, y_pred: Any) -> tuple[pd.DataFrame, pd.DataFrame]: """Coerce (y_true, y_pred) into (predictions_df, ground_truth_df). Accepts the unified-API loader contract for T2/T5: ``y_true`` is an ``np.ndarray (N,)`` of ``actual_market_cap`` values. Also tolerates the legacy DataFrame form ``[ticker, date, actual_market_cap]``. """ if isinstance(y_true, pd.DataFrame) and "actual_market_cap" in y_true.columns: gt = y_true.reset_index(drop=True) elif isinstance(y_true, (np.ndarray, list, pd.Series)): arr = np.asarray(y_true).ravel().astype(np.float64) gt = pd.DataFrame({ "ticker": [f"row_{i}" for i in range(len(arr))], "date": pd.NaT, "actual_market_cap": arr, }) else: raise ValueError( f"T2/T5 score: y_true must be ndarray (N,) or DataFrame; " f"got {type(y_true).__name__}." ) if isinstance(y_pred, pd.DataFrame): if "predicted_equity_value" in y_pred.columns: pred = y_pred.reset_index(drop=True) else: raise ValueError( "T2/T5 score: y_pred DataFrame must have 'predicted_equity_value'." ) else: arr = np.asarray(y_pred).ravel() if len(arr) != len(gt): raise ValueError( f"T2/T5 score: y_pred length {len(arr)} != y_true rows {len(gt)}." ) pred = pd.DataFrame({ "ticker": gt["ticker"].values, "date": gt["date"].values, "predicted_equity_value": arr, }) return pred, gt def _per_task_score_T2_T5( y_true: Any, y_pred: Any, *, cluster_keys: np.ndarray | None, n_boot: int | Literal["adaptive"], alpha: float, seed: int, resample: Literal["cluster", "iid"], return_sensitivity: bool, ) -> dict[str, MetricValue]: pred_df, gt_df = _adapt_t2_t5(y_true, y_pred) merged = pred_df.merge(gt_df, on=["ticker", "date"], how="inner") # NaN predictions: penalize as 100% APE (substitute median of y_true so the # ratio is 1.0). Drops only rows with NaN ground truth or non-positive y_true # — those are eval-side data issues, not method failures. # Ground truth must never be NaN — if it is, that's a data-side bug # (loader / preprocessing). Surface it instead of silently dropping. gt_nan = merged["actual_market_cap"].isna().sum() if gt_nan > 0: raise ValueError( f"T2/T5 score: {gt_nan} rows have NaN ground truth (actual_market_cap). " "This is a loader/preprocessing bug — fix at data source." ) valid = merged[merged["actual_market_cap"] > 0].reset_index(drop=True) if valid.empty: # No overlap between predictions and ground truth (or no positive # ground truth): every gt row is "missing prediction" → fillna(0) # penalty rule applies → APE = 100% per row. Saturate so the cell # still scores (no silent score_failed). gt_act = pd.to_numeric(gt_df["actual_market_cap"], errors="coerce").values.astype(np.float64) gt_keep = np.isfinite(gt_act) & (gt_act > 0) if gt_keep.any(): ape_gt = np.minimum( np.abs(gt_act[gt_keep]) / np.abs(gt_act[gt_keep]), _APE_CLIP_DEFAULT, ) * 100.0 ck = gt_df["ticker"].astype(str).values[gt_keep] if resample == "cluster" else None out: dict[str, MetricValue] = { "mape": _wrap_metric(ape_gt, cluster_keys=ck, agg_fn=np.mean, n_boot=n_boot, alpha=alpha, seed=seed, resample=resample), "median_ape": _wrap_metric(ape_gt, cluster_keys=ck, agg_fn=np.median, n_boot=n_boot, alpha=alpha, seed=seed, resample=resample), "rank_correlation": _scalar_metric(None, resample=resample), "rank_p_value": _scalar_metric(None, resample=resample), "n_predictions": _scalar_metric(0, resample=resample), "n_tickers": _scalar_metric(0, resample=resample), } return out # Fully degenerate (no rows at all on either side) — last-resort scalar. return { "mape": _scalar_metric(100.0, resample=resample), "median_ape": _scalar_metric(100.0, resample=resample), "rank_correlation": _scalar_metric(None, resample=resample), "rank_p_value": _scalar_metric(None, resample=resample), "n_predictions": _scalar_metric(0, resample=resample), "n_tickers": _scalar_metric(0, resample=resample), } # NaN penalty: substitute NaN predictions with ZERO (no-signal). APE # = |0 - actual| / |actual| = 100% per row, then clipped at clip_default. nan_mask = ~np.isfinite(valid["predicted_equity_value"].values) n_nan_substituted = int(nan_mask.sum()) valid.loc[nan_mask, "predicted_equity_value"] = 0.0 # APE clipped at 10× = 1000%, returned in percent. ape_pct, kept_mask = _ape_per_instance( valid["predicted_equity_value"].values, valid["actual_market_cap"].values, clip=_APE_CLIP_DEFAULT, ) valid_kept = valid.loc[kept_mask].reset_index(drop=True) cluster_kept = ( valid_kept["ticker"].astype(str).values if cluster_keys is None else _align_cluster_keys(cluster_keys, len(valid), kept_mask) ) out: dict[str, MetricValue] = {} out["mape"] = _wrap_metric( ape_pct, cluster_keys=cluster_kept, agg_fn=np.mean, n_boot=n_boot, alpha=alpha, seed=seed, resample=resample, ) out["median_ape"] = _wrap_metric( ape_pct, cluster_keys=cluster_kept, agg_fn=np.median, n_boot=n_boot, alpha=alpha, seed=seed, resample=resample, ) # Spearman rank correlation (closed-form). When either input vector is # constant (e.g. dry-run engines emit a single placeholder value) scipy # returns NaN; emit None so the metric is treated as "not applicable". from scipy.stats import spearmanr rho_raw, p_raw = spearmanr( valid_kept["predicted_equity_value"].values, valid_kept["actual_market_cap"].values, ) rho = float(rho_raw) if rho_raw is not None and not np.isnan(rho_raw) else None p_val = float(p_raw) if p_raw is not None and not np.isnan(p_raw) else None out["rank_correlation"] = _scalar_metric(rho, resample=resample) out["rank_p_value"] = _scalar_metric(p_val, resample=resample) out["n_predictions"] = _scalar_metric(int(len(valid_kept)), resample=resample) out["n_tickers"] = _scalar_metric( int(valid_kept["ticker"].nunique()), resample=resample, ) if return_sensitivity: raw_pred = valid["predicted_equity_value"].values raw_act = valid["actual_market_cap"].values for clip in _APE_SENSITIVITY_CLIPS: ape_v, mask = _ape_per_instance(raw_pred, raw_act, clip=clip) ck_v = _align_cluster_keys( cluster_keys if cluster_keys is not None else valid["ticker"].astype(str).values, len(valid), mask, ) key = ( f"mape_at_clip_{int(clip)}x" if np.isfinite(clip) else "mape_at_clip_inf" ) out[key] = _wrap_metric( ape_v, cluster_keys=ck_v, agg_fn=np.mean, n_boot=n_boot, alpha=alpha, seed=seed, resample=resample, ) return out # ------------------------------------------------------------------- # T3 / T6 — Statement-/Generation-eval # ------------------------------------------------------------------- def _per_task_score_T3_T6( y_true: Any, y_pred: Any, *, task: str, cluster_keys: np.ndarray | None, n_boot: int | Literal["adaptive"], alpha: float, seed: int, resample: Literal["cluster", "iid"], return_sensitivity: bool, ) -> dict[str, MetricValue]: """Inputs are long-form DataFrames. * y_true: ``[ticker, fiscal_year, field, value]`` (T6 GT may use ``generator_field`` instead of ``field``; we normalise). * y_pred: ``[ticker, fiscal_year, field, pred]`` (or ``value`` / ``predicted_value`` — we accept either). """ if not isinstance(y_true, pd.DataFrame) or not isinstance(y_pred, pd.DataFrame): raise ValueError( f"{task} score: y_true and y_pred must be long-form DataFrames." ) gt = _normalize_field_col(y_true).copy() pred = _normalize_field_col(y_pred).copy() # Normalise the value column on the prediction side (accept both # ``pred`` and ``value`` names so T6 short-circuit emitters can use # either). pred_value_col: str | None = None for cand in ("pred", "value", "predicted_value"): if cand in pred.columns: pred_value_col = cand break if pred_value_col is None: raise ValueError( f"{task} score: y_pred must have a 'pred' (or 'value') column." ) join_keys = ["ticker", "field"] if "fiscal_year" in gt.columns and "fiscal_year" in pred.columns: join_keys = ["ticker", "fiscal_year", "field"] n_field_misses = 0 if "fiscal_year" in gt.columns: gt_keys = set(zip(*[gt[k] for k in join_keys])) pred_keys = set(zip(*[pred[k] for k in join_keys])) n_field_misses = len(gt_keys - pred_keys) merged = pred.merge( gt, on=join_keys, how="inner", suffixes=("_pred", "_actual"), ) n_fields_matched = int(len(merged)) out: dict[str, MetricValue] = { "n_fields_matched": _scalar_metric(n_fields_matched, resample=resample), "n_field_misses": _scalar_metric(int(n_field_misses), resample=resample), "n_tickers": _scalar_metric( int(merged["ticker"].nunique()) if not merged.empty else 0, resample=resample, ), } if merged.empty: # No (ticker, fiscal_year, field) overlap between predictions and # ground truth: every y_true row is "missing" → fillna(0) penalty # rule applies → APE = min(|0 - actual| / |actual|, clip) on # |actual| ≥ 1.0 rows. Treat as a 100%-saturation failure so the # cell still scores (no silent score_failed). gt_act = pd.to_numeric(gt["value"], errors="coerce").values.astype(np.float64) gt_keep = np.isfinite(gt_act) & (np.abs(gt_act) >= 1.0) if gt_keep.any(): ape_gt = np.minimum( np.abs(gt_act[gt_keep]) / np.abs(gt_act[gt_keep]), _APE_CLIP_DEFAULT, ) * 100.0 # =100% on every row (predict-zero penalty) ck = gt["ticker"].astype(str).values[gt_keep] if resample == "cluster" else None out["overall_mape"] = _wrap_metric( ape_gt, cluster_keys=ck, agg_fn=np.mean, n_boot=n_boot, alpha=alpha, seed=seed, resample=resample, ) else: out["overall_mape"] = _scalar_metric(100.0, resample=resample) out["per_field_mape"] = _none_metric(resample=resample) if task == "T3": out["balance_equation_accuracy"] = _scalar_metric(0.0, resample=resample) out["success_rate"] = _scalar_metric(0.0, resample=resample) return out # Per-row APE in percent (clip 10×, |actual| ≥ 1.0). pred_col = f"{pred_value_col}_pred" if pred_value_col != "value" else "value_pred" if pred_col not in merged.columns: # When pred_value_col == "value", the suffix path above lands at # "value_pred"; otherwise the merge keeps the original name. pred_col = pred_value_col + "_pred" if pred_value_col + "_pred" in merged.columns else pred_value_col actual_col = "value_actual" if "value_actual" in merged.columns else "value" pred_vals = pd.to_numeric(merged[pred_col], errors="coerce").values act_vals = pd.to_numeric(merged[actual_col], errors="coerce").values pred_arr = np.asarray(pred_vals, dtype=np.float64) act_arr = np.asarray(act_vals, dtype=np.float64) # NaN penalty: substitute NaN predictions with ZERO (no-signal) # so unparseable field-tuples contribute APE=100% (clipped to # _APE_CLIP_DEFAULT) rather than being silently excluded. pred_nan = ~np.isfinite(pred_arr) if pred_nan.any(): pred_arr[pred_nan] = 0.0 keep = np.isfinite(pred_arr) & np.isfinite(act_arr) & (np.abs(act_arr) >= 1.0) ape = np.abs((pred_arr[keep] - act_arr[keep]) / act_arr[keep]) ape = np.minimum(ape, _APE_CLIP_DEFAULT) * 100.0 cluster_for_ape = merged.loc[keep, "ticker"].astype(str).values out["overall_mape"] = _wrap_metric( ape, cluster_keys=cluster_for_ape if resample == "cluster" else None, agg_fn=np.mean, n_boot=n_boot, alpha=alpha, seed=seed, resample=resample, ) # Per-field MAPE table — single deterministic dict, not a Pydantic # MetricValue. We expose the *count* of fields and a value-set under # a separate key carrying the dict on `value` is awkward; instead # we report n_fields_with_mape and the per-field dict is stored on the # metric's dict via a stable plain key (caller can look up). per_field: dict[str, float] = {} field_weights: dict[str, int] = {} for f, grp in merged.loc[keep].groupby(merged.loc[keep, "field"]): gp = pd.to_numeric(grp[pred_col], errors="coerce") ga = pd.to_numeric(grp[actual_col], errors="coerce") valid = pd.DataFrame({"gp": gp, "ga": ga}).dropna() valid = valid[valid["ga"].abs() >= 1.0] if valid.empty: continue f_ape = np.minimum( np.abs((valid["gp"].values - valid["ga"].values) / valid["ga"].values), _APE_CLIP_DEFAULT, ) per_field[str(f)] = float(f_ape.mean()) * 100.0 field_weights[str(f)] = int(len(valid)) # Surface per_field as a deterministic scalar metric (n_fields_with_mape). out["n_fields_with_mape"] = _scalar_metric( len(per_field), resample=resample, ) # Stash the dict on a flat namespace key (callers extract via # ``score(...)["per_field_mape_dict"].value`` won't work because # MetricValue.value is a float — so we expose a side dict on the # function's return as ``per_field_mape`` mapped to a degenerate # MetricValue carrying the average MAPE. To preserve the legacy field # name we expose the weighted-overall here too). if per_field: total_w = sum(field_weights.values()) weighted = sum(per_field[f] * field_weights[f] / total_w for f in per_field) # We re-expose this under a stable name so legacy consumers can # still pick it up. out["per_field_mape_weighted_avg"] = _scalar_metric( float(weighted), resample=resample, ) if task in ("T3", "T6"): # Balance-sheet equation accuracy (per ticker). bs_checked = 0 bs_pass = 0 m = merged.loc[keep] for tk in m["ticker"].unique(): tk_data = m[m["ticker"] == tk] fields_str = tk_data["field"].astype(str) arow = tk_data[fields_str == "Assets"] lrow = tk_data[fields_str == "Liabilities"] erow = tk_data[fields_str == "StockholdersEquity"] if not arow.empty and not lrow.empty and not erow.empty: bs_checked += 1 a = pd.to_numeric(arow[pred_col].iloc[0], errors="coerce") l = pd.to_numeric(lrow[pred_col].iloc[0], errors="coerce") e = pd.to_numeric(erow[pred_col].iloc[0], errors="coerce") if ( pd.notna(a) and pd.notna(l) and pd.notna(e) and float(a) > 0 and abs(float(a) - float(l) - float(e)) / float(a) < 0.01 ): bs_pass += 1 out["balance_equation_accuracy"] = _scalar_metric( float(bs_pass / bs_checked) if bs_checked > 0 else float("nan"), resample=resample, ) out["balance_equation_checked"] = _scalar_metric( int(bs_checked), resample=resample, ) # success_rate = unique tickers with a parseable prediction / total # tickers requested (we approximate via the union of GT tickers). n_attempted = int(gt["ticker"].nunique()) if "ticker" in gt.columns else 0 n_succeeded = int(pred["ticker"].nunique()) if "ticker" in pred.columns else 0 out["success_rate"] = _scalar_metric( float(n_succeeded / n_attempted) if n_attempted > 0 else 0.0, resample=resample, ) if return_sensitivity: raw_pred = pred_arr[keep] raw_act = act_arr[keep] for clip in _APE_SENSITIVITY_CLIPS: ape_s = np.abs((raw_pred - raw_act) / raw_act) if np.isfinite(clip): ape_s = np.minimum(ape_s, clip) ape_s = ape_s * 100.0 key = ( f"mape_at_clip_{int(clip)}x" if np.isfinite(clip) else "mape_at_clip_inf" ) out[key] = _wrap_metric( ape_s, cluster_keys=cluster_for_ape if resample == "cluster" else None, agg_fn=np.mean, n_boot=n_boot, alpha=alpha, seed=seed, resample=resample, ) return out # ------------------------------------------------------------------- # T4 — Scenario-conditioned forecasting # ------------------------------------------------------------------- def _adapt_t4(y_true: Any, y_pred: Any) -> tuple[pd.DataFrame, pd.DataFrame]: if isinstance(y_true, pd.DataFrame) and "actual_return_pct" in y_true.columns: gt = y_true.reset_index(drop=True) elif isinstance(y_true, (np.ndarray, list, pd.Series)): arr = np.asarray(y_true).ravel().astype(np.float64) gt = pd.DataFrame({ "scenario_id": [f"sc_{i}" for i in range(len(arr))], "ticker": [f"row_{i}" for i in range(len(arr))], "actual_return_pct": arr, }) else: raise ValueError( f"T4 score: y_true must be ndarray (N,) or DataFrame; " f"got {type(y_true).__name__}." ) if isinstance(y_pred, pd.DataFrame): if "predicted_return_pct" in y_pred.columns: pred = y_pred.reset_index(drop=True) else: raise ValueError( "T4 score: y_pred DataFrame must have 'predicted_return_pct'." ) else: arr = np.asarray(y_pred).ravel() if len(arr) != len(gt): raise ValueError( f"T4 score: y_pred length {len(arr)} != y_true rows {len(gt)}." ) pred_dict: dict[str, Any] = { "scenario_id": gt["scenario_id"].values, "ticker": gt["ticker"].values, "predicted_return_pct": arr, } if "event_type" in gt.columns: pred_dict["event_type"] = gt["event_type"].values pred = pd.DataFrame(pred_dict) return pred, gt def _per_task_score_T4( y_true: Any, y_pred: Any, *, cluster_keys: np.ndarray | None, n_boot: int | Literal["adaptive"], alpha: float, seed: int, resample: Literal["cluster", "iid"], ) -> dict[str, MetricValue]: pred_df, gt_df = _adapt_t4(y_true, y_pred) merged = pred_df.merge(gt_df, on=["scenario_id", "ticker"], how="inner") merged = merged.reset_index(drop=True) # Ground truth must never be NaN — surface data-side bugs. gt_nan = merged["actual_return_pct"].isna().sum() if gt_nan > 0: raise ValueError( f"T4 score: {gt_nan} rows have NaN ground truth (actual_return_pct). " "This is a loader/preprocessing bug — fix at data source." ) if merged.empty: # No overlap between predictions and ground truth: fillna(0) # penalty → MAE = mean(|actual_return_pct|) using gt rows. gt_act = pd.to_numeric(gt_df["actual_return_pct"], errors="coerce").values.astype(np.float64) gt_keep = np.isfinite(gt_act) if gt_keep.any(): abs_err_gt = np.abs(gt_act[gt_keep]) # |0 - actual| = |actual| ck = ( gt_df["scenario_id"].astype(str).values[gt_keep] if resample == "cluster" and "scenario_id" in gt_df.columns else None ) return { "return_mae_pct": _wrap_metric(abs_err_gt, cluster_keys=ck, agg_fn=np.mean, n_boot=n_boot, alpha=alpha, seed=seed, resample=resample), "directional_accuracy": _scalar_metric(0.0, resample=resample), "ci_calibration_95": _none_metric(resample=resample), "n_predictions": _scalar_metric(0, resample=resample), "n_scenarios": _scalar_metric(0, resample=resample), } return { "return_mae_pct": _scalar_metric(0.0, resample=resample), "directional_accuracy": _scalar_metric(0.0, resample=resample), "ci_calibration_95": _none_metric(resample=resample), "n_predictions": _scalar_metric(0, resample=resample), "n_scenarios": _scalar_metric(0, resample=resample), } # NaN-prediction penalty: substitute with 0.0 (no-signal); MAE = |actual|. nan_mask = ~np.isfinite(merged["predicted_return_pct"].values) merged.loc[nan_mask, "predicted_return_pct"] = 0.0 pred = merged["predicted_return_pct"].values.astype(np.float64) actual = merged["actual_return_pct"].values.astype(np.float64) abs_err = np.abs(pred - actual) dir_agree = (np.sign(pred) == np.sign(actual)).astype(np.float64) # Cluster by scenario_id for T4 (default). Caller may override. if cluster_keys is None: cluster_v = merged["scenario_id"].astype(str).values else: cluster_v = np.asarray(cluster_keys).ravel() if cluster_v.size != len(merged): # Best-effort: rebuild from merged scenario_id if mismatch. cluster_v = merged["scenario_id"].astype(str).values out: dict[str, MetricValue] = {} out["return_mae_pct"] = _wrap_metric( abs_err, cluster_keys=cluster_v if resample == "cluster" else None, agg_fn=np.mean, n_boot=n_boot, alpha=alpha, seed=seed, resample=resample, ) out["directional_accuracy"] = _wrap_metric( dir_agree, cluster_keys=cluster_v if resample == "cluster" else None, agg_fn=np.mean, n_boot=n_boot, alpha=alpha, seed=seed, resample=resample, ) if {"predicted_ci_low", "predicted_ci_high"}.issubset(merged.columns): in_ci = ( (merged["actual_return_pct"] >= merged["predicted_ci_low"]) & (merged["actual_return_pct"] <= merged["predicted_ci_high"]) ).astype(np.float64).values out["ci_calibration_95"] = _wrap_metric( in_ci, cluster_keys=cluster_v if resample == "cluster" else None, agg_fn=np.mean, n_boot=n_boot, alpha=alpha, seed=seed, resample=resample, ) else: # No quantile predictions -> metric not applicable. Emit a # MetricValue with value=None so downstream consumers can detect # this case via `is None` rather than a NaN finiteness probe. out["ci_calibration_95"] = _none_metric(resample=resample) out["n_predictions"] = _scalar_metric(int(len(merged)), resample=resample) out["n_scenarios"] = _scalar_metric( int(merged["scenario_id"].nunique()), resample=resample, ) return out # ------------------------------------------------------------------- # T7 — Real-estate valuation # ------------------------------------------------------------------- def _per_task_score_T7( y_true: Any, y_pred: Any, *, cluster_keys: np.ndarray | None, n_boot: int | Literal["adaptive"], alpha: float, seed: int, resample: Literal["cluster", "iid"], return_sensitivity: bool, ) -> dict[str, MetricValue]: if not isinstance(y_true, pd.DataFrame) or not isinstance(y_pred, pd.DataFrame): raise ValueError("T7 score: both y_true and y_pred must be DataFrames.") if "address" not in y_true.columns or "address" not in y_pred.columns: # Fall back to positional alignment. merged = pd.concat([ y_pred.reset_index(drop=True), y_true.reset_index(drop=True).add_suffix("_actual"), ], axis=1) else: merged = y_pred.merge( y_true, on="address", how="inner", suffixes=("_pred", "_actual"), ) if merged.empty: # No overlapping addresses: fillna(0) penalty per gt rent + price # column. Saturates to 100% APE per row. out: dict[str, MetricValue] = { "n_predictions": _scalar_metric(0, resample=resample), } for target, actual_cands in [ ("rent", ["rent", "rentEstimate", "rent_estimate"]), ("price", ["price", "lastSalePrice", "last_sale_price"]), ]: actual_col = next((c for c in actual_cands if c in y_true.columns), None) if actual_col is None: out[f"{target}_MAPE"] = _scalar_metric(float("nan"), resample=resample) out[f"{target}_median_APE"] = _scalar_metric(float("nan"), resample=resample) out[f"{target}_n_valid"] = _scalar_metric(0, resample=resample) continue gt_act = pd.to_numeric(y_true[actual_col], errors="coerce").values.astype(np.float64) gt_keep = np.isfinite(gt_act) & (np.abs(gt_act) > 0) if gt_keep.any(): ape_gt = np.minimum( np.abs(gt_act[gt_keep]) / np.abs(gt_act[gt_keep]), _APE_CLIP_DEFAULT, ) * 100.0 ck = ( y_true["address"].astype(str).values[gt_keep] if resample == "cluster" and "address" in y_true.columns else None ) out[f"{target}_MAPE"] = _wrap_metric( ape_gt, cluster_keys=ck, agg_fn=np.mean, n_boot=n_boot, alpha=alpha, seed=seed, resample=resample, ) out[f"{target}_median_APE"] = _wrap_metric( ape_gt, cluster_keys=ck, agg_fn=np.median, n_boot=n_boot, alpha=alpha, seed=seed, resample=resample, ) out[f"{target}_n_valid"] = _scalar_metric(int(gt_keep.sum()), resample=resample) else: out[f"{target}_MAPE"] = _scalar_metric(100.0, resample=resample) out[f"{target}_median_APE"] = _scalar_metric(100.0, resample=resample) out[f"{target}_n_valid"] = _scalar_metric(0, resample=resample) return out out: dict[str, MetricValue] = { "n_predictions": _scalar_metric(int(len(merged)), resample=resample), } for target, pred_cands, actual_cands in [ ("rent", ["pred_rent", "predicted_rent", "rent_pred"], ["rent_actual", "rent", "rentEstimate_actual", "rent_estimate_actual"]), ("price", ["pred_price", "predicted_price", "price_pred"], ["price_actual", "price", "lastSalePrice_actual", "last_sale_price_actual"]), ]: pred_col = next((c for c in pred_cands if c in merged.columns), None) actual_col = next((c for c in actual_cands if c in merged.columns), None) if pred_col is None or actual_col is None: out[f"{target}_MAPE"] = _scalar_metric(float("nan"), resample=resample) out[f"{target}_median_APE"] = _scalar_metric( float("nan"), resample=resample, ) out[f"{target}_n_valid"] = _scalar_metric(0, resample=resample) continue pred_vals = pd.to_numeric(merged[pred_col], errors="coerce").values actual_vals = pd.to_numeric(merged[actual_col], errors="coerce").values # NaN penalty: substitute NaN predictions with ZERO (no-signal). # APE = 100% per row, clipped at clip_default. nan_mask = ~np.isfinite(pred_vals) if nan_mask.any(): pred_vals = np.where(nan_mask, 0.0, pred_vals) ape_pct, mask = _ape_per_instance( pred_vals, actual_vals, clip=_APE_CLIP_DEFAULT, ) if ape_pct.size == 0: out[f"{target}_MAPE"] = _scalar_metric(float("nan"), resample=resample) out[f"{target}_median_APE"] = _scalar_metric( float("nan"), resample=resample, ) out[f"{target}_n_valid"] = _scalar_metric(0, resample=resample) continue # T7 cluster bootstrap = address-level (one cluster per row, so it # collapses to IID) by convention. If the caller supplied # cluster_keys (e.g. metro / property_type) honour that. if cluster_keys is not None: ck = _align_cluster_keys(cluster_keys, len(merged), mask) else: ck = merged.loc[mask, "address"].astype(str).values if "address" in merged.columns else None out[f"{target}_MAPE"] = _wrap_metric( ape_pct, cluster_keys=ck if resample == "cluster" else None, agg_fn=np.mean, n_boot=n_boot, alpha=alpha, seed=seed, resample=resample, ) out[f"{target}_median_APE"] = _wrap_metric( ape_pct, cluster_keys=ck if resample == "cluster" else None, agg_fn=np.median, n_boot=n_boot, alpha=alpha, seed=seed, resample=resample, ) out[f"{target}_n_valid"] = _scalar_metric( int(ape_pct.size), resample=resample, ) if return_sensitivity: for clip in _APE_SENSITIVITY_CLIPS: ape_v, mask_v = _ape_per_instance( pred_vals, actual_vals, clip=clip, ) ck_v = ( _align_cluster_keys(cluster_keys, len(merged), mask_v) if cluster_keys is not None else ( merged.loc[mask_v, "address"].astype(str).values if "address" in merged.columns else None ) ) key = ( f"{target}_MAPE_at_clip_{int(clip)}x" if np.isfinite(clip) else f"{target}_MAPE_at_clip_inf" ) out[key] = _wrap_metric( ape_v, cluster_keys=ck_v if resample == "cluster" else None, agg_fn=np.mean, n_boot=n_boot, alpha=alpha, seed=seed, resample=resample, ) return out # =================================================================== # Cluster-key alignment helper # =================================================================== def _align_cluster_keys( cluster_keys: Any, n_total: int, mask: np.ndarray, ) -> np.ndarray | None: """Return cluster_keys masked to the rows kept (or None if no keys). Tolerant fallbacks: * If ``cluster_keys`` is shorter than ``n_total`` (the upstream merge dropped rows beyond what the caller knows about), drop cluster_keys and let the bootstrap fall back to IID — better than raising. """ if cluster_keys is None: return None arr = np.asarray(cluster_keys).ravel() if arr.size == n_total: return arr[mask] if arr.size == int(mask.sum()): return arr # already masked # Length mismatch: typically because the eval-side merge / dropna # discarded rows the caller didn't know about. Fall back to None # (degenerate IID bootstrap) rather than raising. return None # =================================================================== # Public API: score # =================================================================== def score( task: str, y_true: Any, y_pred: Any, *, cluster_keys: Any = None, close_last: Any = None, resample: Literal["cluster", "iid"] = "cluster", n_boot: int | Literal["adaptive"] = "adaptive", alpha: float = 0.05, seed: int = 42, return_sensitivity: bool = False, ) -> dict[str, MetricValue]: """Score a (task, y_true, y_pred) triple. Returns ------- dict[str, MetricValue] Per-task metric mapping. Keys per task are documented in the module docstring; every value is a Pydantic ``MetricValue`` carrying ``value, ci_lo, ci_hi, std, n_boot, resample``. Notes ----- * The default resample is ``"cluster"``; on panel data this is the statistically correct choice. * If ``cluster_keys`` is None, the function derives it from the inputs: ``ticker`` for T1/T2/T3/T5/T6/T7, ``scenario_id`` for T4. The caller may override. * ``close_last`` is a 1-D float array aligned to ``y_true`` rows for T1. If unavailable we fall back to ``y_pred[:, 0]`` and emit a warning; the metric ``directional_accuracy_anchor_fallback`` is set to 1.0 so consumers can detect the fallback. * ``n_boot="adaptive"`` starts at 1,000 bootstrap draws and escalates to 10,000 if the relative CI half-width exceeds 5%. """ if resample not in ("cluster", "iid"): raise ValueError(f"resample must be 'cluster' or 'iid', got {resample!r}") ck_arr: np.ndarray | None if cluster_keys is None: ck_arr = None else: ck_arr = np.asarray(cluster_keys).ravel() cl_arr: np.ndarray | None if close_last is None: cl_arr = None else: cl_arr = np.asarray(close_last, dtype=np.float64).ravel() if task == "T1": if ck_arr is None and isinstance(y_true, np.ndarray): # No cluster keys — caller didn't pass meta["ticker"]; we cannot # derive ticker from y_true alone. Run cluster bootstrap with a # one-cluster-per-row degenerate (collapses to IID). ck_arr = np.arange(len(y_true)) return _per_task_score_T1( y_true, y_pred, cluster_keys=ck_arr, close_last=cl_arr, n_boot=n_boot, alpha=alpha, seed=seed, resample=resample, return_sensitivity=return_sensitivity, ) if task in ("T2", "T5"): return _per_task_score_T2_T5( y_true, y_pred, cluster_keys=ck_arr, n_boot=n_boot, alpha=alpha, seed=seed, resample=resample, return_sensitivity=return_sensitivity, ) if task in ("T3", "T6"): return _per_task_score_T3_T6( y_true, y_pred, task=task, cluster_keys=ck_arr, n_boot=n_boot, alpha=alpha, seed=seed, resample=resample, return_sensitivity=return_sensitivity, ) if task == "T4": return _per_task_score_T4( y_true, y_pred, cluster_keys=ck_arr, n_boot=n_boot, alpha=alpha, seed=seed, resample=resample, ) if task == "T7": return _per_task_score_T7( y_true, y_pred, cluster_keys=ck_arr, n_boot=n_boot, alpha=alpha, seed=seed, resample=resample, return_sensitivity=return_sensitivity, ) raise ValueError(f"Unknown task: {task!r}") # =================================================================== # Multiple-comparisons correction — per task # =================================================================== def _holm_correction(p_values: np.ndarray, alpha: float = 0.05) -> tuple[np.ndarray, np.ndarray]: """Holm-Bonferroni step-down correction. Returns ``(p_adjusted, reject)`` arrays of the same length as ``p_values``, where ``p_adjusted`` is monotone-increasing in original rank and ``reject`` is the boolean rejection vector at family-wise error rate ``alpha``. """ p = np.asarray(p_values, dtype=np.float64).ravel() m = p.size if m == 0: return p, np.array([], dtype=bool) order = np.argsort(p) p_sorted = p[order] p_adj_sorted = np.empty(m, dtype=np.float64) running_max = 0.0 for i in range(m): adj = (m - i) * p_sorted[i] running_max = max(running_max, adj) p_adj_sorted[i] = min(running_max, 1.0) # Unsort. p_adj = np.empty_like(p_adj_sorted) p_adj[order] = p_adj_sorted return p_adj, p_adj <= alpha def _bh_correction(p_values: np.ndarray, alpha: float = 0.05) -> tuple[np.ndarray, np.ndarray]: """Benjamini-Hochberg FDR correction.""" p = np.asarray(p_values, dtype=np.float64).ravel() m = p.size if m == 0: return p, np.array([], dtype=bool) order = np.argsort(p) p_sorted = p[order] ranks = np.arange(1, m + 1) p_adj_sorted_raw = p_sorted * m / ranks # Enforce monotonicity (running min from the right). p_adj_sorted = np.minimum.accumulate(p_adj_sorted_raw[::-1])[::-1] p_adj_sorted = np.minimum(p_adj_sorted, 1.0) p_adj = np.empty_like(p_adj_sorted) p_adj[order] = p_adj_sorted return p_adj, p_adj <= alpha def _extract_record(rec: Any) -> dict[str, Any]: """Coerce a record (Pydantic / dict / dataclass) to a plain dict.""" if isinstance(rec, dict): return rec if hasattr(rec, "model_dump"): return rec.model_dump() if hasattr(rec, "__dict__"): return dict(rec.__dict__) raise TypeError(f"Cannot extract record of type {type(rec).__name__}") def _extract_metric_value(metrics: Any, key: str) -> tuple[float, float, float, int]: """Pull (value, std, n_boot, ok) out of a metric dict-or-MetricValue. Returns ``ok=0`` when the metric is missing or its ``value`` is ``None`` (semantic "not applicable"); finite values pass through with ``ok=1``. """ m = metrics.get(key) if isinstance(metrics, dict) else None if m is None: return float("nan"), float("nan"), 0, 0 if isinstance(m, MetricValue): if m.value is None: return float("nan"), float("nan"), int(m.n_boot), 0 std = float(m.std) if m.std is not None else float("nan") return float(m.value), std, int(m.n_boot), 1 if isinstance(m, dict): v = m.get("value", None) if v is None: return float("nan"), float("nan"), int(m.get("n_boot", 0)), 0 return ( float(v), float(m.get("std", float("nan")) if m.get("std", None) is not None else float("nan")), int(m.get("n_boot", 0)), 1, ) return float("nan"), float("nan"), 0, 0 # Default headline metric per task (lower-is-better unless noted). _HEADLINE_METRIC: dict[str, tuple[str, bool]] = { "T1": ("mse", True), "T2": ("mape", True), "T3": ("overall_mape", True), "T4": ("return_mae_pct", True), "T5": ("mape", True), "T6": ("overall_mape", True), "T7": ("rent_MAPE", True), } def compare_methods( task: str, records: list, *, correction: Literal["holm", "bh"] = "holm", alpha: float = 0.05, headline_metric: str | None = None, ) -> "pd.DataFrame": """Pairwise compare every method on ``task`` against the best baseline. Parameters ---------- task ``"T1"`` .. ``"T7"``. records Iterable of ``RunRecord``-shaped objects (Pydantic models, dicts, or anything with ``.method_id``, ``.task``, ``.metrics``). correction ``"holm"`` (default; FWER) or ``"bh"`` (FDR). Per-task scope only — no cross-task FWER claim. alpha Family-wise error rate (Holm) or false discovery rate (BH). headline_metric Override the per-task headline metric (default uses ``_HEADLINE_METRIC[task]``). The metric must exist on every record's ``metrics`` dict. Returns ------- DataFrame One row per method with columns ``[method_id, value, std, n_boot, z, p_value, p_adj, reject_null]``. The lowest-value method (or highest, if ``lower_is_better=False``) is the reference; its ``p_value`` is NaN. """ if task not in _HEADLINE_METRIC: raise ValueError(f"Unknown task: {task!r}") metric_key, lower_is_better = _HEADLINE_METRIC[task] if headline_metric is not None: metric_key = headline_metric rows: list[dict[str, Any]] = [] for rec in records: d = _extract_record(rec) if d.get("task") != task: continue metrics = d.get("metrics") if not metrics: continue v, std, n_b, ok = _extract_metric_value(metrics, metric_key) if not ok or not np.isfinite(v): continue rows.append({ "method_id": d.get("method_id", "?"), "value": v, "std": std, "n_boot": n_b, }) if not rows: return pd.DataFrame( columns=["method_id", "value", "std", "n_boot", "z", "p_value", "p_adj", "reject_null"] ) df = pd.DataFrame(rows) # Pick the reference method. if lower_is_better: ref_idx = int(df["value"].idxmin()) else: ref_idx = int(df["value"].idxmax()) ref_v = float(df.loc[ref_idx, "value"]) ref_std = float(df.loc[ref_idx, "std"]) # Two-sided z test using bootstrap stds; combined under independence # (this is conservative — bootstrap stds are within-method only; # cross-method covariance is unknown without the full bootstrap # distribution, which we don't carry on RunRecord by design). from scipy.stats import norm z_vals: list[float] = [] p_vals: list[float] = [] for i, row in df.iterrows(): if i == ref_idx: z_vals.append(float("nan")) p_vals.append(float("nan")) continue denom = float(np.sqrt(row["std"] ** 2 + ref_std ** 2)) if denom <= 0 or not np.isfinite(denom): z_vals.append(float("nan")) p_vals.append(float("nan")) continue z = (float(row["value"]) - ref_v) / denom z_vals.append(z) p_vals.append(float(2.0 * (1.0 - norm.cdf(abs(z))))) df["z"] = z_vals df["p_value"] = p_vals p_arr = np.asarray(df["p_value"].values, dtype=np.float64) finite = np.isfinite(p_arr) p_finite = p_arr[finite] if correction == "holm": p_adj_finite, reject_finite = _holm_correction(p_finite, alpha=alpha) elif correction == "bh": p_adj_finite, reject_finite = _bh_correction(p_finite, alpha=alpha) else: raise ValueError(f"correction must be 'holm' or 'bh', got {correction!r}") p_adj = np.full_like(p_arr, np.nan) reject = np.zeros(p_arr.size, dtype=bool) p_adj[finite] = p_adj_finite reject[finite] = reject_finite df["p_adj"] = p_adj df["reject_null"] = reject return df.sort_values("value", ascending=lower_is_better).reset_index(drop=True) # =================================================================== # Convenience re-exports # =================================================================== __all__ = [ "score", "compare_methods", "MetricValue", "_bootstrap_ci", "_close_anchor_da", "_holm_correction", "_bh_correction", ]