"""Classical (gradient-boosted) methods for the MacroLens unified API. One concrete class — :class:`LightGBMRegressor` — that covers all 7 tasks via task-specific private methods. Sklearn-style ``Method`` contract:: LightGBMRegressor(*, task=..., config=...) ↦ .fit(X, y, *, seed=42) ↦ self .predict(X) ↦ ndarray | DataFrame .save(path) / .load(path) Per-task feature engineering mirrors the legacy ``baselines/classical.py`` recipe verbatim (numerics preserved); only the IO / canonical-indices / eval / subsampling layer is stripped. See plan §9 for the predict-output shape per task. Per-task summary (definitive — runner asserts ``predict`` shape): T1 — Time-series forecasting: X : ``np.ndarray`` ``(N, lookback, F)`` float32. y : ``np.ndarray`` ``(N, horizon)`` float32 close trajectory. Pipeline: per-horizon-step LightGBM. One booster per horizon index ``h ∈ [0, horizon)`` predicting ``y[:, h]`` from the flattened ``(lookback × F)`` panel + rolling-close stats. NO scalar+tile broadcasting hack. Output: ``(N, horizon)`` float32. T2 / T5 — Valuation: X : ``pd.DataFrame`` of ``stmt_*`` (+ ``derived_*`` for T2) numeric features plus sector / industry one-hot. y : ``np.ndarray`` ``(N,)`` market_cap. Pipeline: log-target via sklearn ``Pipeline([scale, lgbm])`` wrapped in ``TransformedTargetRegressor`` (log1p / expm1). Output: ``(N,)`` float32 — predicted equity value. T3 / T6 — Per-field generation: X : ``pd.DataFrame`` keyed by ``(ticker, fiscal_year)`` with numeric snapshot fields + sector + industry; T6 also has a ``company_description`` text column which is DROPPED in the default branch (``t6_text_handling="sector_industry_only"``). y : long-form ``pd.DataFrame[ticker, fiscal_year, field, value]``. Pipeline: ensemble of one booster per ``field``. ``fitted_fields`` is locked at fit time to ``sorted(y["field"].unique())``. At predict, every (ticker, fiscal_year) row in ``X`` emits one row per fitted field. Output: long-form ``[ticker, fiscal_year, field, pred]``. T4 — Scenario return: X : ``pd.DataFrame`` with object-dtype ``lookback`` cells (each a ``(L, F)`` ndarray) plus ``event_type`` and ``event_description`` string columns. ``event_description`` is DROPPED in v1. y : ``np.ndarray`` ``(N,)`` return_pct. Pipeline: flatten lookback (full L*F) + event_type one-hot. Output: ``(N,)`` float32 — predicted return %. T7 — Real-estate valuation: X : ``pd.DataFrame`` with property attributes (``sqft``, ``beds``, ``baths``, ``year_built``, optionally ``years_since_last_sale``) and a property-type column. y : ``pd.DataFrame[address, rent, price]``. Pipeline: two boosters (one for rent, one for price) with log-target via ``TransformedTargetRegressor``. Output: ``pd.DataFrame[address, pred_rent, pred_price]``. Hard rules (enforced by ``tests/test_layer_isolation.py``): * Zero IO (no ``pd.read_parquet``, no file reads, no ``config`` imports). * Zero ``meta`` consumption — methods take only ``X`` (and at fit time, ``y``). * Zero canonical-indices imports / subsampling. * Zero eval imports. """ from __future__ import annotations import importlib.metadata from typing import Any, ClassVar import numpy as np import pandas as pd from ._config import LightGBMConfig, RandomForestConfig from ._registry import register from .base import Method, _JoblibSaveMixin # ── Internal lib_versions helper ────────────────────────────────────────── def _classical_lib_versions() -> dict[str, str]: """Versions of the libs the classical family actually uses. Restricts the broader default in :class:`Method` (which probes torch / transformers / vllm too) — those are not imported here. """ out: dict[str, str] = {} for pkg in ("numpy", "pandas", "scikit-learn", "lightgbm"): try: out[pkg] = importlib.metadata.version(pkg) except importlib.metadata.PackageNotFoundError: pass return out # ── Internal helpers (private to LightGBMRegressor) ─────────────────────── def _flatten_panel( X: np.ndarray, *, add_rolling_close: bool = True, close_idx: int | None = None, ) -> np.ndarray: """Flatten an ``(N, L, F)`` panel and append rolling-close stats. Rolling stats over the lookback window: mean, std, min, max, last. Mirrors the recipe used by the legacy classical T1 baseline. """ if X.ndim != 3: raise ValueError(f"_flatten_panel: expected (N, L, F); got {X.shape}") n, lb, f = X.shape flat = X.reshape(n, lb * f).astype(np.float32) if not add_rolling_close or close_idx is None or close_idx < 0 or close_idx >= f: return flat close = X[:, :, close_idx].astype(np.float32) stats = np.stack( [ close.mean(axis=1), close.std(axis=1), close.min(axis=1), close.max(axis=1), close[:, -1], ], axis=1, ) return np.concatenate([flat, stats], axis=1) def _align_columns( X: pd.DataFrame, train_columns: list[str], *, fillna: bool = True, ) -> pd.DataFrame: """Align ``X`` to ``train_columns``: add missing as zero, drop extras. ``fillna=True`` (legacy / default): zero-fill any remaining NaN cells. ``fillna=False``: preserve NaN cells (used by the LightGBM-pipeline paths in T2/T5/T7 — LightGBM has native NaN handling and zero-filling distorts its learned splits). """ df = X.copy() for c in train_columns: if c not in df.columns: df[c] = 0.0 df = df[train_columns] return df.fillna(0.0) if fillna else df def _numeric_feature_cols( df: pd.DataFrame, prefixes: tuple[str, ...] | None = None, ) -> list[str]: """Return numeric columns of ``df``, optionally filtered by prefix.""" if prefixes is None: return [c for c in df.columns if df[c].dtype.kind in "fiub"] return [ c for c in df.columns if df[c].dtype.kind in "fiub" and c.startswith(prefixes) ] # ── Concrete method ─────────────────────────────────────────────────────── @register( name="lightgbm", family="classical", tasks=frozenset({"T1", "T2", "T3", "T4", "T5", "T6", "T7"}), config_class=LightGBMConfig, ) class LightGBMRegressor(_JoblibSaveMixin, Method): """LightGBM regressor with per-task private dispatch. One class, one config (:class:`LightGBMConfig`); the task is fixed at construction time. Internally ``fit`` / ``predict`` dispatch on ``self.task`` to a private per-task implementation that owns its feature-engineering recipe and fitted state. """ name: ClassVar[str] = "lightgbm" family: ClassVar[str] = "classical" tasks: ClassVar[frozenset[str]] = frozenset( {"T1", "T2", "T3", "T4", "T5", "T6", "T7"} ) schema_version: ClassVar[int] = 1 def __init__( self, *, task: str, config: LightGBMConfig | None = None, **kwargs: Any, ) -> None: if task not in self.tasks: raise ValueError( f"LightGBMRegressor: unsupported task {task!r}; " f"supported = {sorted(self.tasks)}" ) self.task = task if config is None: config = LightGBMConfig(**kwargs) if kwargs else LightGBMConfig() elif kwargs: raise ValueError( "LightGBMRegressor: pass either ``config=`` or kwargs, not both" ) self.config = config # Per-task fitted state — populated by .fit(). self._state: dict[str, Any] = {} # ── public API ──────────────────────────────────────────────────────── def fit(self, X: Any, y: Any, *, seed: int = 42) -> "LightGBMRegressor": """Fit the regressor on ``(X, y)``. Returns ``self`` for chaining.""" self._seed = int(seed) if self.task == "T1": self._fit_t1(X, y) elif self.task in ("T2", "T5"): self._fit_t2_t5(X, y) elif self.task in ("T3", "T6"): self._fit_t3_t6(X, y) elif self.task == "T4": self._fit_t4(X, y) elif self.task == "T7": self._fit_t7(X, y) else: # pragma: no cover -- gated by __init__ raise ValueError(self.task) return self def predict(self, X: Any) -> np.ndarray | pd.DataFrame: if not self._state: raise RuntimeError( "LightGBMRegressor: call .fit(X, y) before .predict()." ) if self.task == "T1": return self._predict_t1(X) if self.task in ("T2", "T5"): return self._predict_t2_t5(X) if self.task in ("T3", "T6"): return self._predict_t3_t6(X) if self.task == "T4": return self._predict_t4(X) if self.task == "T7": return self._predict_t7(X) raise ValueError(self.task) # pragma: no cover def lib_versions(self) -> dict[str, str]: return _classical_lib_versions() @classmethod def default_config(cls) -> LightGBMConfig: return LightGBMConfig() # ── LightGBM kwarg builder ──────────────────────────────────────────── def _lgbm_kwargs(self) -> dict[str, Any]: """Translate :class:`LightGBMConfig` → ``LGBMRegressor`` kwargs. Drops config keys that are not LGBM hyperparameters (e.g., ``t6_text_handling`` is a method-level switch). """ d = self.config.model_dump() d.pop("t6_text_handling", None) d["random_state"] = getattr(self, "_seed", 42) return d def _make_lgbm(self) -> Any: from lightgbm import LGBMRegressor return LGBMRegressor(**self._lgbm_kwargs()) def _make_log_pipeline(self) -> Any: """LightGBM wrapped in a log1p/expm1 target transform. Used by T2 / T5 / T7 (positive-target regression). Drops the previous ``StandardScaler`` step: LightGBM is scale-invariant AND handles NaN natively, while ``StandardScaler`` does not tolerate NaN. With high-NaN-density T2/T5 inputs (~28% NaN), the scaler step would either fail or, after a defensive ``np.nan_to_num(...,0)`` upstream, corrupt LightGBM's learned missing-direction splits. """ from sklearn.compose import TransformedTargetRegressor return TransformedTargetRegressor( regressor=self._make_lgbm(), func=np.log1p, inverse_func=np.expm1, ) # ── T1 — multi-output regression on per-window log-returns ──────────── def _fit_t1(self, X: np.ndarray, y: np.ndarray) -> None: """Multi-output regression on log-returns relative to last close. T1 close prices span $0.50 to $5,000+ across the 4,416-ticker small-cap universe. Training a regressor on raw close prices makes per-step error scale with price level — high-price tickers dominate the loss, low-price tickers see un-bounded predictions, and post-hoc MSE blows up by ten or more orders of magnitude (LightGBM T1 hit MSE 1.18e+16 on this codepath before the fix). Fix: target the *log-return relative to the per-window last close*:: c_i = X_i[-1, close_idx] # last close in window i y_log[i, h] = log(y[i, h] / c_i) # dimensionless O(1) target At predict time we exponentiate and rescale by the test window's last close. This matches Persistence's tile-last-close behaviour as the zero-output limit, and matches what every TSFM (Chronos / Moirai / TimesFM) does internally. NaN handling: LightGBM still handles NaN inputs natively; we scrub +/-inf only. Rows with non-positive c or y are dropped from training (log undefined). """ from sklearn.multioutput import MultiOutputRegressor if not isinstance(X, np.ndarray) or X.ndim != 3: raise ValueError( f"T1 fit: expected ndarray X (N, L, F); got " f"{type(X).__name__} {getattr(X, 'shape', '?')}" ) if not isinstance(y, np.ndarray) or y.ndim != 2: raise ValueError( f"T1 fit: expected ndarray y (N, horizon); got " f"{type(y).__name__} {getattr(y, 'shape', '?')}" ) if y.shape[0] != X.shape[0]: raise ValueError( f"T1 fit: y/X length mismatch ({y.shape[0]} vs {X.shape[0]})." ) horizon = int(y.shape[1]) close_idx = 0 c = X[:, -1, close_idx].astype(np.float64) # (N,) last close y_f = y.astype(np.float64) # (N, H) # Drop windows where log target is undefined / unstable. keep = ( np.isfinite(c) & (c > 0.0) & np.isfinite(y_f).all(axis=1) & (y_f > 0.0).all(axis=1) ) n_total = int(X.shape[0]) n_keep = int(keep.sum()) if n_keep < 1: raise RuntimeError( f"T1 fit: only {n_keep}/{n_total} training windows have " "positive finite close + horizon prices; cannot fit " "log-return target." ) X_kept = X[keep] c_kept = c[keep] y_log = np.log(y_f[keep] / c_kept[:, None]).astype(np.float32) X_flat = _flatten_panel(X_kept, add_rolling_close=True, close_idx=close_idx) # Scrub +/-inf only (preserve NaN — LightGBM handles it natively). X_flat = np.where(np.isposinf(X_flat) | np.isneginf(X_flat), np.nan, X_flat) model = MultiOutputRegressor( self._make_lgbm(), n_jobs=int(self.config.n_jobs), ) model.fit(X_flat, y_log) self._state = { "model": model, "close_idx": close_idx, "horizon": horizon, "n_features_flat": X_flat.shape[1], "n_train_total": n_total, "n_train_kept": n_keep, # Log-return clip range: [-2, 2] = ~14% to ~700% of last close. "log_clip": 2.0, } self._horizon = horizon def _predict_t1(self, X: np.ndarray) -> np.ndarray: st = self._state if not isinstance(X, np.ndarray) or X.ndim != 3: raise ValueError( f"T1 predict: expected ndarray (N, L, F); got " f"{type(X).__name__} {getattr(X, 'shape', '?')}" ) close_idx = int(st["close_idx"]) c_test = X[:, -1, close_idx].astype(np.float64) # (N,) # Where last close is missing or non-positive we cannot rescale; tile # last close as the safest fallback (matches Persistence in that cell). c_safe = np.where(np.isfinite(c_test) & (c_test > 0.0), c_test, np.nan) X_flat = _flatten_panel( X, add_rolling_close=True, close_idx=close_idx, ) X_flat = np.where(np.isposinf(X_flat) | np.isneginf(X_flat), np.nan, X_flat) n_train_cols = st["n_features_flat"] if X_flat.shape[1] > n_train_cols: X_flat = X_flat[:, :n_train_cols] elif X_flat.shape[1] < n_train_cols: pad = np.zeros( (X_flat.shape[0], n_train_cols - X_flat.shape[1]), dtype=np.float32, ) X_flat = np.concatenate([X_flat, pad], axis=1) log_pred = st["model"].predict(X_flat).astype(np.float64) if log_pred.ndim == 1: log_pred = log_pred.reshape(-1, st["horizon"]) clip = float(st.get("log_clip", 2.0)) log_pred = np.clip(log_pred, -clip, clip) # Rescale: y_pred = c * exp(log_return). out = c_safe[:, None] * np.exp(log_pred) # Where c was missing, fall back to last-close tile (NaN here would # poison the eval; prefer Persistence-equivalent in degenerate cells). bad = ~np.isfinite(out) if bad.any(): tile = np.broadcast_to(c_test[:, None], out.shape).astype(np.float64) out = np.where(bad, tile, out) return out.astype(np.float32) # ── T2 / T5 — log-target regression ─────────────────────────────────── def _fit_t2_t5(self, X: pd.DataFrame, y: np.ndarray) -> None: if not isinstance(X, pd.DataFrame): raise TypeError( f"{self.task} fit: expected DataFrame X; got {type(X).__name__}" ) # T2 carries stmt_* + derived_* + macro snapshot (fred_*/eia_*); # T5 is price-stripped (no derived_*) but keeps the macro snapshot. # Prefix-picking collapses both into one code path. if self.task == "T2": prefixes: tuple[str, ...] = ("stmt_", "derived_", "fred_", "eia_") else: prefixes = ("stmt_", "fred_", "eia_") df = X.copy() feat_cols = [ c for c in _numeric_feature_cols(df, prefixes) if c not in {"derived_market_cap", "actual_market_cap"} ] # Sector / industry one-hot — same construction as the legacy code. if "sector" in df.columns: sec_dummies = pd.get_dummies( df["sector"], prefix="sector", dtype=np.float32, ) df = pd.concat( [df.reset_index(drop=True), sec_dummies.reset_index(drop=True)], axis=1, ) feat_cols += list(sec_dummies.columns) if "industry" in df.columns: ind_dummies = pd.get_dummies( df["industry"], prefix="industry", dtype=np.float32, ) df = pd.concat( [df.reset_index(drop=True), ind_dummies.reset_index(drop=True)], axis=1, ) feat_cols += list(ind_dummies.columns) # Cast numeric features to float32 WITHOUT zero-filling NaN — # LightGBM handles NaN natively; zero-filling 28% of T2/T5 cells # corrupted the learned missing-direction splits. X_feat = df[feat_cols].astype(np.float32) y_arr = pd.to_numeric(pd.Series(np.asarray(y).ravel()), errors="coerce").astype( np.float64 ) valid = y_arr.notna() & (y_arr > 0) X_feat = X_feat.loc[valid.values] y_arr = y_arr.loc[valid.values] if X_feat.empty: raise RuntimeError( f"{self.task} fit: no rows with positive market_cap after drop." ) # Scrub only +/-inf; LightGBM rejects non-finite-non-NaN values # but tolerates NaN. X_arr = X_feat.values.astype(np.float32) X_arr = np.where(np.isposinf(X_arr) | np.isneginf(X_arr), np.nan, X_arr) model = self._make_log_pipeline() model.fit(X_arr, y_arr.values) self._state = { "model": model, "feat_cols": feat_cols, "prefixes": prefixes, } def _predict_t2_t5(self, X: pd.DataFrame) -> np.ndarray: st = self._state if not isinstance(X, pd.DataFrame): raise TypeError( f"{self.task} predict: expected DataFrame; got {type(X).__name__}" ) df = X.copy() if "sector" in df.columns: sec_dummies = pd.get_dummies( df["sector"], prefix="sector", dtype=np.float32, ) df = pd.concat( [df.reset_index(drop=True), sec_dummies.reset_index(drop=True)], axis=1, ) if "industry" in df.columns: ind_dummies = pd.get_dummies( df["industry"], prefix="industry", dtype=np.float32, ) df = pd.concat( [df.reset_index(drop=True), ind_dummies.reset_index(drop=True)], axis=1, ) X_feat = _align_columns( df, st["feat_cols"], fillna=False, ).astype(np.float32) # Preserve NaN for LightGBM (matches the fit-time distribution); # scrub only +/-inf. X_arr = X_feat.values.astype(np.float32) X_arr = np.where(np.isposinf(X_arr) | np.isneginf(X_arr), np.nan, X_arr) # TransformedTargetRegressor inverts log1p → expm1 internally. preds = st["model"].predict(X_arr) # Floor at zero to keep the (positive) market-cap interpretation. preds = np.clip(preds, 0.0, None) return preds.astype(np.float32) # ── T3 / T6 — per-field booster ensemble ────────────────────────────── def _t3_t6_build_ticker_features( self, X: pd.DataFrame, ) -> tuple[pd.DataFrame, list[str]]: """Return ``(per-ticker numeric+sector features DataFrame, feat_cols)``. Mirrors the legacy ``run_task_3_classical`` recipe: * Pick numeric columns excluding ``fiscal_year`` (the join key) and ``value_num`` (an internal scratch column). * For T6 with ``t6_text_handling="sector_industry_only"``, the NL ``company_description`` column is dropped here implicitly because string columns are non-numeric (and the explicit drop below is a belt-and-braces guard). * One-hot-encode ``sector`` (prefix=``sec``) deduped per ticker. """ df = X.copy() # Defensive: explicitly drop free-text columns (T6) so they cannot # accidentally leak into a future dtype check. for text_col in ("company_description",): if text_col in df.columns: df = df.drop(columns=[text_col]) ticker_feat_cols = [ c for c in _numeric_feature_cols(df) if c not in {"fiscal_year"} and c != "value_num" ] ticker_feats = df[["ticker"] + ticker_feat_cols].copy() ticker_feats[ticker_feat_cols] = ( ticker_feats[ticker_feat_cols].astype(np.float32).fillna(0.0) ) if "sector" in df.columns: sec_dummies = pd.get_dummies( df.set_index("ticker")["sector"], prefix="sec", dtype=np.float32, ) sec_dummies = sec_dummies.reset_index().drop_duplicates("ticker") ticker_feats = ( ticker_feats.drop_duplicates("ticker") .merge(sec_dummies, on="ticker", how="left") .fillna(0.0) ) else: ticker_feats = ticker_feats.drop_duplicates("ticker") feat_cols = [c for c in ticker_feats.columns if c != "ticker"] return ticker_feats, feat_cols def _fit_t3_t6(self, X: pd.DataFrame, y: pd.DataFrame) -> None: """Fit a SINGLE LightGBM that takes per-(ticker, fiscal_year) numeric features concatenated with a sparse one-hot of ``field``, predicting the scalar ``value``. Output panel: one row per (ticker, fiscal_year, fitted_field) at predict time. Per-field median fallback is kept for fields whose training pool is too small (``<5`` rows) to fit. """ from scipy.sparse import csr_matrix, hstack as sparse_hstack from sklearn.preprocessing import OneHotEncoder if not isinstance(X, pd.DataFrame): raise TypeError( f"{self.task} fit: expected DataFrame X; got {type(X).__name__}" ) if not isinstance(y, pd.DataFrame): raise TypeError( f"{self.task} fit: expected long-form DataFrame y; got " f"{type(y).__name__}" ) for col in ("ticker", "field", "value"): if col not in y.columns: raise ValueError( f"{self.task} fit: y missing required column {col!r}" ) ticker_feats, feat_cols = self._t3_t6_build_ticker_features(X) # Lock the field set to ``sorted(y["field"].unique())`` (per plan §1). fitted_fields: list[str] = sorted( str(f) for f in y["field"].astype(str).unique() ) # Long-form labels joined with per-ticker features (broadcast across # fiscal years). Drop rows with no parseable target. gt = y.copy() gt["value_num"] = pd.to_numeric(gt["value"], errors="coerce") gt["field"] = gt["field"].astype(str) gt = gt.merge(ticker_feats, on="ticker", how="left").fillna(0.0) gt = gt.dropna(subset=["value_num"]) # Per-field median fallback for fields with too few rows (the # legacy small-pool guard, preserved field-by-field). per_field_count = gt.groupby("field").size().to_dict() median_fields: dict[str, float] = {} small_field_set: set[str] = set() for field in fitted_fields: cnt = int(per_field_count.get(field, 0)) if cnt < 5: sub = gt[gt["field"] == field] med = float(sub["value_num"].median()) if not sub.empty else 0.0 median_fields[field] = med small_field_set.add(field) train_mask = ~gt["field"].isin(small_field_set) gt_train = gt[train_mask] # Decide a global log-transform heuristic (preserves legacy magnitude # gate) using the pooled non-zero target distribution. global_model = None global_scaler = None use_log = False y_min = 0.0 y_max = 0.0 y_range = 1.0 ohe: OneHotEncoder | None = None if not gt_train.empty: y_tr = gt_train["value_num"].values.astype(np.float64) nz = y_tr[y_tr != 0] if nz.size > 0: use_log = float(np.median(np.abs(nz))) > 1000 y_tr_t = ( np.sign(y_tr) * np.log1p(np.abs(y_tr)) if use_log else y_tr ) # Per-ticker numerics already pass through ``.fillna(0.0)`` in # ``_t3_t6_build_ticker_features``, so the row-side has no NaN. # We still scrub +/-inf defensively before LightGBM. X_num_tr = gt_train[feat_cols].values.astype(np.float32) X_num_tr = np.where( np.isposinf(X_num_tr) | np.isneginf(X_num_tr), np.nan, X_num_tr, ) # Sparse one-hot of field id. Use the LOCKED fitted_fields set # as categories so the predict path can encode every field # (even those whose training pool was too small to fit; for # those we override with the median anyway). ohe = OneHotEncoder( categories=[fitted_fields], handle_unknown="ignore", sparse_output=True, dtype=np.float32, ) field_arr_tr = gt_train["field"].values.reshape(-1, 1) X_field_tr = ohe.fit_transform(field_arr_tr) X_full_tr = sparse_hstack( [csr_matrix(X_num_tr), X_field_tr], format="csr", ) # LightGBM accepts sparse CSR. Use a single booster. global_model = self._make_lgbm() global_model.fit(X_full_tr, y_tr_t) y_min = float(y_tr.min()) y_max = float(y_tr.max()) y_range = max(abs(y_max - y_min), abs(y_max) * 0.1, 1.0) self._state = { "ticker_feats": ticker_feats, "feat_cols": feat_cols, "fitted_fields": fitted_fields, "median_fields": median_fields, "model": global_model, "scaler": global_scaler, # kept for compat (always None now) "ohe": ohe, "use_log": use_log, "y_min": y_min, "y_max": y_max, "y_range": y_range, } self.fitted_fields = fitted_fields # public, per plan §1 def _predict_t3_t6(self, X: pd.DataFrame) -> pd.DataFrame: """Predict every (ticker, fiscal_year, fitted_field) cell with the single shared LightGBM (numeric features + sparse field one-hot), falling back to per-field medians for small-pool fields tagged at fit time. """ from scipy.sparse import csr_matrix, hstack as sparse_hstack st = self._state if not isinstance(X, pd.DataFrame): raise TypeError( f"{self.task} predict: expected DataFrame; got {type(X).__name__}" ) if "ticker" not in X.columns or "fiscal_year" not in X.columns: raise ValueError( f"{self.task} predict: X must include 'ticker' and " f"'fiscal_year'." ) fitted_fields: list[str] = st["fitted_fields"] median_fields: dict[str, float] = st["median_fields"] feat_cols: list[str] = st["feat_cols"] # Build test-side per-ticker features using the SAME recipe as fit, # then align columns to the train feature schema. test_feats, _ = self._t3_t6_build_ticker_features(X) test_feats = test_feats.set_index("ticker") for c in feat_cols: if c not in test_feats.columns: test_feats[c] = 0.0 test_feats = test_feats[feat_cols].fillna(0.0) # One row per (test row × every fitted field) — long-form predict. # We assemble the predict matrix as the cross-product of test rows # and fitted fields, run a single batched .predict, then map back. n_rows = len(X) n_fields = len(fitted_fields) rows: list[dict[str, Any]] = [] if n_rows == 0 or n_fields == 0: return pd.DataFrame( rows, columns=["ticker", "fiscal_year", "field", "pred"], ) # Pre-fetch numeric features per test row. ticker_arr = X["ticker"].astype(str).values fy_arr = X["fiscal_year"].values # For tickers absent from training-side ticker_feats the feature # vector is zero (matches the legacy behaviour for unseen tickers). zero_vec = np.zeros(len(feat_cols), dtype=np.float32) feats_by_ticker: dict[str, np.ndarray] = {} for t in set(ticker_arr.tolist()): try: v = test_feats.loc[t] if isinstance(v, pd.DataFrame): v = v.iloc[0] feats_by_ticker[t] = np.asarray( v.values, dtype=np.float32, ) except KeyError: feats_by_ticker[t] = zero_vec # Decide which (row, field) cells get the model vs. a median fallback. model = st["model"] # Note: ``scaler`` slot exists in state for save/load compat but is # always None now — LightGBM is scale-invariant so we dropped it. ohe = st["ohe"] use_log = bool(st["use_log"]) y_min = float(st["y_min"]) y_max = float(st["y_max"]) y_range = float(st["y_range"]) # Cache one prediction per unique (ticker, field) cell to avoid # duplicating the model call across the same ticker repeated for # multiple fiscal years. unique_tickers = list(dict.fromkeys(ticker_arr.tolist())) # Build the model batch only for fields with a fitted booster. model_fields = ( [f for f in fitted_fields if f not in median_fields] if model is not None else [] ) cell_pred: dict[tuple[str, str], float] = {} if model is not None and model_fields and unique_tickers: # Cross-product matrix: rows = (ticker × model_field) pairs. # Per-ticker numerics are already imputed to 0 in # ``_t3_t6_build_ticker_features`` (predict-side mirrors fit); # we only scrub +/-inf defensively for LightGBM. X_num = np.stack( [feats_by_ticker[t] for t in unique_tickers], axis=0, ).astype(np.float32) X_num = np.where( np.isposinf(X_num) | np.isneginf(X_num), np.nan, X_num, ) # Repeat per model-field so the one-hot lookup aligns 1-to-1. n_t = len(unique_tickers) n_mf = len(model_fields) X_num_rep = np.repeat(X_num, n_mf, axis=0) field_arr = np.tile( np.asarray(model_fields, dtype=object), n_t, ).reshape(-1, 1) assert ohe is not None # set whenever model is set X_field = ohe.transform(field_arr) X_full = sparse_hstack( [csr_matrix(X_num_rep), X_field], format="csr", ) y_pred_t = np.asarray(model.predict(X_full)) if use_log: y_pred = np.sign(y_pred_t) * np.expm1(np.abs(y_pred_t)) else: y_pred = y_pred_t y_pred = np.clip(y_pred, y_min - y_range, y_max + y_range) # Re-shape into (n_t, n_mf) for cell-key indexing. y_pred = y_pred.reshape(n_t, n_mf) for ti, t in enumerate(unique_tickers): for fi, f in enumerate(model_fields): cell_pred[(t, f)] = float(y_pred[ti, fi]) for i in range(n_rows): t = ticker_arr[i] fy = fy_arr[i] for field in fitted_fields: if field in median_fields: val = median_fields[field] else: val = cell_pred.get((t, field), 0.0) rows.append({ "ticker": t, "fiscal_year": fy, "field": field, "pred": float(val), }) return pd.DataFrame( rows, columns=["ticker", "fiscal_year", "field", "pred"], ) # ── T4 — flat-lookback + event-type one-hot ─────────────────────────── @staticmethod def _t4_flatten_lookback(lb_col: pd.Series) -> tuple[np.ndarray, int]: """Stack object-dtype ``lookback`` cells into ``(N, L*F)`` float32. Each cell is a ``(L, F)`` ndarray. Empty / malformed cells are replaced with zeros sized to the modal panel shape. """ arrays: list[np.ndarray] = [] for cell in lb_col.values: if isinstance(cell, np.ndarray) and cell.ndim == 2: arrays.append(cell.astype(np.float32)) if not arrays: raise RuntimeError( "T4: no usable lookback ndarrays in X['lookback']." ) L = arrays[0].shape[0] F = arrays[0].shape[1] flat_rows: list[np.ndarray] = [] for cell in lb_col.values: if isinstance(cell, np.ndarray) and cell.shape == (L, F): flat_rows.append(cell.reshape(-1).astype(np.float32)) else: flat_rows.append(np.zeros(L * F, dtype=np.float32)) flat = np.stack(flat_rows, axis=0) return flat, L * F def _fit_t4(self, X: pd.DataFrame, y: np.ndarray) -> None: if not isinstance(X, pd.DataFrame): raise TypeError( f"T4 fit: expected DataFrame X; got {type(X).__name__}" ) if "lookback" not in X.columns or "event_type" not in X.columns: raise ValueError( "T4 fit: X must include 'lookback' and 'event_type' columns." ) flat, n_lb_flat = self._t4_flatten_lookback(X["lookback"]) et_arr = X["event_type"].astype(str).values et_dummies = pd.get_dummies( pd.Series(et_arr), prefix="evt", dtype=np.float32, ) X_arr = np.concatenate( [flat, et_dummies.values.astype(np.float32)], axis=1, ) # Preserve NaN for LightGBM; scrub only +/-inf. X_arr = np.where(np.isposinf(X_arr) | np.isneginf(X_arr), np.nan, X_arr) y_arr = np.asarray(y, dtype=np.float32).ravel() if y_arr.shape[0] != X_arr.shape[0]: raise ValueError( f"T4 fit: y/X length mismatch ({y_arr.shape[0]} vs " f"{X_arr.shape[0]})." ) model = self._make_lgbm() model.fit(X_arr, y_arr) self._state = { "model": model, "evt_columns": list(et_dummies.columns), "n_lb_flat": int(n_lb_flat), } def _predict_t4(self, X: pd.DataFrame) -> np.ndarray: st = self._state if not isinstance(X, pd.DataFrame): raise TypeError( f"T4 predict: expected DataFrame; got {type(X).__name__}" ) if "lookback" not in X.columns or "event_type" not in X.columns: raise ValueError( "T4 predict: X must include 'lookback' and 'event_type'." ) flat, _ = self._t4_flatten_lookback(X["lookback"]) # Align lookback flat-width to train (defensive — tolerate small # column drift coming from a slightly-different feature panel). if flat.shape[1] > st["n_lb_flat"]: flat = flat[:, : st["n_lb_flat"]] elif flat.shape[1] < st["n_lb_flat"]: pad = np.zeros( (flat.shape[0], st["n_lb_flat"] - flat.shape[1]), dtype=np.float32, ) flat = np.concatenate([flat, pad], axis=1) et_arr = X["event_type"].astype(str).values et_dummies = pd.get_dummies( pd.Series(et_arr), prefix="evt", dtype=np.float32, ) for c in st["evt_columns"]: if c not in et_dummies.columns: et_dummies[c] = 0.0 et_dummies = et_dummies[st["evt_columns"]].fillna(0.0) X_arr = np.concatenate( [flat, et_dummies.values.astype(np.float32)], axis=1, ) # Preserve NaN for LightGBM; scrub only +/-inf. X_arr = np.where(np.isposinf(X_arr) | np.isneginf(X_arr), np.nan, X_arr) return st["model"].predict(X_arr).astype(np.float32) # ── T7 — dual-output (rent, price) ──────────────────────────────────── @staticmethod def _t7_first_col( df: pd.DataFrame, candidates: tuple[str, ...], ) -> str | None: """Return the first column whose name (lowercased) contains any of ``candidates`` (substring match), else ``None``. """ for c in df.columns: cl = c.lower() if any(cand in cl for cand in candidates): return c return None def _t7_build_features( self, X: pd.DataFrame, *, fit: bool, ) -> tuple[pd.DataFrame, list[str], str | None]: """Build the property-feature frame; returns ``(X_feat, feat_cols, prop_type_col)``. Same numeric feature recipe as the legacy T7 baseline. """ df = X.copy() feat_cols: list[str] = [] for col in ( "sqft", "squareFootage", "square_footage", "beds", "bedrooms", "baths", "bathrooms", "year_built", "yearBuilt", "years_since_last_sale", ): if col in df.columns: df[col] = pd.to_numeric(df[col], errors="coerce") feat_cols.append(col) prop_type_col = next( (c for c in ("property_type", "propertyType", "type") if c in df.columns), None, ) if prop_type_col: prop_dummies = pd.get_dummies( df[prop_type_col], prefix="ptype", dtype=np.float32, ) df = pd.concat( [df.reset_index(drop=True), prop_dummies.reset_index(drop=True)], axis=1, ) feat_cols += list(prop_dummies.columns) if not feat_cols: raise RuntimeError( f"T7 {'fit' if fit else 'predict'}: no usable property features." ) return df, feat_cols, prop_type_col def _fit_t7(self, X: pd.DataFrame, y: pd.DataFrame) -> None: if not isinstance(X, pd.DataFrame): raise TypeError( f"T7 fit: expected DataFrame X; got {type(X).__name__}" ) if "address" not in X.columns: raise ValueError("T7 fit: X must include 'address'.") df, feat_cols, prop_type_col = self._t7_build_features(X, fit=True) # Targets: prefer rent / price columns already on X (canonical T7 # train carries them); fall back to a per-address merge with y. rent_col = self._t7_first_col(df, ("rent",)) price_col = self._t7_first_col(df, ("price", "lastsaleprice")) if isinstance(y, pd.DataFrame) and "address" in y.columns: if rent_col is None and "rent" in y.columns: df = df.merge( y[["address", "rent"]], on="address", how="left", ) rent_col = "rent" if price_col is None and "price" in y.columns: df = df.merge( y[["address", "price"]], on="address", how="left", ) price_col = "price" if rent_col is None and price_col is None: raise RuntimeError("T7 fit: no rent or price target found.") # Preserve NaN for LightGBM's native missing-value handling; # scrub only +/-inf (LightGBM rejects them but tolerates NaN). X_feat = df[feat_cols].astype(np.float32) X_arr = X_feat.values.astype(np.float32) X_arr = np.where(np.isposinf(X_arr) | np.isneginf(X_arr), np.nan, X_arr) models: dict[str, Any] = {} for target_name, target_col in (("rent", rent_col), ("price", price_col)): if target_col is None: continue y_all = pd.to_numeric(df[target_col], errors="coerce") valid = y_all.notna() & (y_all > 0) n_valid = int(valid.sum()) if n_valid < 1: continue X_tr = X_arr[valid.values] y_tr = y_all.loc[valid].values.astype(np.float64) if n_valid < 2: # LightGBM rejects n<2; emit a constant-predictor (the single # training value) so eval is well-defined. Real T7 trains # have ~10k rows; this branch only triggers in micro-scale # smoke runs where dedup-by-address leaves 1 row. models[target_name] = ("constant", float(y_tr.mean())) continue m = self._make_log_pipeline() m.fit(X_tr, y_tr) models[target_name] = m if not models: raise RuntimeError( f"T7 fit: insufficient training data " f"(rent_col={rent_col!r}, price_col={price_col!r}, " f"n_rows={len(df)}); need >=1 row with a positive target." ) self._state = { "feat_cols": feat_cols, "prop_type_col": prop_type_col, "models": models, } def _predict_t7(self, X: pd.DataFrame) -> pd.DataFrame: st = self._state if not isinstance(X, pd.DataFrame): raise TypeError( f"T7 predict: expected DataFrame; got {type(X).__name__}" ) if "address" not in X.columns: raise ValueError("T7 predict: X must include 'address'.") df = X.copy() for col in ( "sqft", "squareFootage", "square_footage", "beds", "bedrooms", "baths", "bathrooms", "year_built", "yearBuilt", "years_since_last_sale", ): if col in df.columns: df[col] = pd.to_numeric(df[col], errors="coerce") prop_type_col = st["prop_type_col"] if prop_type_col and prop_type_col in df.columns: prop_dummies = pd.get_dummies( df[prop_type_col], prefix="ptype", dtype=np.float32, ) df = pd.concat( [df.reset_index(drop=True), prop_dummies.reset_index(drop=True)], axis=1, ) X_feat = _align_columns( df, st["feat_cols"], fillna=False, ).astype(np.float32) X_arr = X_feat.values.astype(np.float32) X_arr = np.where(np.isposinf(X_arr) | np.isneginf(X_arr), np.nan, X_arr) out = pd.DataFrame({"address": X["address"].astype(str).values}) for target_name in ("rent", "price"): model = st["models"].get(target_name) if model is None: out[f"pred_{target_name}"] = np.full( len(X), np.nan, dtype=np.float32, ) continue if isinstance(model, tuple) and model[0] == "constant": out[f"pred_{target_name}"] = np.full( len(X), float(model[1]), dtype=np.float32, ) continue preds = model.predict(X_arr) preds = np.clip(preds, 0.0, None) out[f"pred_{target_name}"] = preds.astype(np.float32) return out # ── RandomForest variant ────────────────────────────────────────────────── def _make_rf_estimator( cfg: RandomForestConfig, *, seed: int, ) -> Any: """Build a fresh sklearn ``RandomForestRegressor`` from ``cfg``. Lazy-imports sklearn so the import-time cost is only paid when the classical/random_forest method is actually instantiated. """ from sklearn.ensemble import RandomForestRegressor return RandomForestRegressor( n_estimators=int(cfg.n_estimators), max_depth=cfg.max_depth, min_samples_leaf=int(cfg.min_samples_leaf), n_jobs=int(cfg.n_jobs), random_state=int(seed), ) def _make_rf_log_pipeline( cfg: RandomForestConfig, *, seed: int, ) -> Any: """RandomForest wrapped in a log1p/expm1 target transform. Used by T2 / T5 / T7 (positive-target regression). Mirrors :meth:`LightGBMRegressor._make_log_pipeline` but with sklearn's RF as the regressor. RF is scale-invariant; no StandardScaler step. """ from sklearn.compose import TransformedTargetRegressor return TransformedTargetRegressor( regressor=_make_rf_estimator(cfg, seed=seed), func=np.log1p, inverse_func=np.expm1, ) @register( name="random_forest", family="classical", tasks=frozenset({"T1", "T2", "T3", "T4", "T5", "T6", "T7"}), config_class=RandomForestConfig, ) class RandomForestMethod(_JoblibSaveMixin, Method): """sklearn RandomForestRegressor with per-task private dispatch. Mirrors :class:`LightGBMRegressor` per-task adapter shape (T1..T7) but swaps the base estimator for ``sklearn.ensemble.RandomForestRegressor``. Reuses the module-level helpers (``_flatten_panel``, ``_align_columns``, ``_numeric_feature_cols``, plus the ``_t3_t6_build_ticker_features`` / ``_t7_build_features`` helpers from :class:`LightGBMRegressor`). Key behaviour differences from LightGBM: * sklearn RandomForest does NOT handle NaN inputs natively; every fit / predict path zero-fills NaN before calling the estimator. * sklearn RandomForest does NOT accept sparse CSR matrices on the T3/T6 ensemble path; we densify with ``.toarray()`` before fit/predict (acceptable for the small-pool T3/T6 train sets). * The class is named ``RandomForestMethod`` (not ``RandomForestRegressor``) to avoid the name collision with ``sklearn.ensemble.RandomForestRegressor``. """ name: ClassVar[str] = "random_forest" family: ClassVar[str] = "classical" tasks: ClassVar[frozenset[str]] = frozenset( {"T1", "T2", "T3", "T4", "T5", "T6", "T7"} ) schema_version: ClassVar[int] = 1 def __init__( self, *, task: str, config: RandomForestConfig | None = None, **kwargs: Any, ) -> None: if task not in self.tasks: raise ValueError( f"RandomForestMethod: unsupported task {task!r}; " f"supported = {sorted(self.tasks)}" ) self.task = task if config is None: config = ( RandomForestConfig(**kwargs) if kwargs else RandomForestConfig() ) elif kwargs: raise ValueError( "RandomForestMethod: pass either ``config=`` or kwargs, not both" ) self.config = config self._state: dict[str, Any] = {} # ── public API ──────────────────────────────────────────────────────── def fit(self, X: Any, y: Any, *, seed: int = 42) -> "RandomForestMethod": self._seed = int(seed) if self.task == "T1": self._fit_t1(X, y) elif self.task in ("T2", "T5"): self._fit_t2_t5(X, y) elif self.task in ("T3", "T6"): self._fit_t3_t6(X, y) elif self.task == "T4": self._fit_t4(X, y) elif self.task == "T7": self._fit_t7(X, y) else: # pragma: no cover -- gated by __init__ raise ValueError(self.task) return self def predict(self, X: Any) -> np.ndarray | pd.DataFrame: if not self._state: raise RuntimeError( "RandomForestMethod: call .fit(X, y) before .predict()." ) if self.task == "T1": return self._predict_t1(X) if self.task in ("T2", "T5"): return self._predict_t2_t5(X) if self.task in ("T3", "T6"): return self._predict_t3_t6(X) if self.task == "T4": return self._predict_t4(X) if self.task == "T7": return self._predict_t7(X) raise ValueError(self.task) # pragma: no cover def lib_versions(self) -> dict[str, str]: return _classical_lib_versions() @classmethod def default_config(cls) -> RandomForestConfig: return RandomForestConfig() # ── helpers (re-use LightGBM's T3/T6 + T7 feature builders) ─────────── def _t3_t6_build_ticker_features( self, X: pd.DataFrame, ) -> tuple[pd.DataFrame, list[str]]: return LightGBMRegressor._t3_t6_build_ticker_features(self, X) def _t7_build_features( self, X: pd.DataFrame, *, fit: bool, ) -> tuple[pd.DataFrame, list[str], str | None]: return LightGBMRegressor._t7_build_features(self, X, fit=fit) @staticmethod def _t4_flatten_lookback(lb_col: pd.Series) -> tuple[np.ndarray, int]: return LightGBMRegressor._t4_flatten_lookback(lb_col) @staticmethod def _t7_first_col( df: pd.DataFrame, candidates: tuple[str, ...], ) -> str | None: return LightGBMRegressor._t7_first_col(df, candidates) # ── T1 — multi-output regression on per-window log-returns ──────────── def _fit_t1(self, X: np.ndarray, y: np.ndarray) -> None: """Multi-output log-return regression; mirrors LightGBM T1. sklearn RandomForest natively supports multi-output targets — fit ONE forest with ``y.shape == (N, horizon)`` rather than wrapping in ``MultiOutputRegressor`` (which trains horizon-many forests sequentially). The ONE-forest path is ~horizon× faster and matches what sklearn's reference docs recommend for vector-valued targets. sklearn RandomForest does NOT handle NaN natively, so we zero-fill any NaN cells before fitting (in addition to scrubbing +/-inf). """ if not isinstance(X, np.ndarray) or X.ndim != 3: raise ValueError( f"T1 fit: expected ndarray X (N, L, F); got " f"{type(X).__name__} {getattr(X, 'shape', '?')}" ) if not isinstance(y, np.ndarray) or y.ndim != 2: raise ValueError( f"T1 fit: expected ndarray y (N, horizon); got " f"{type(y).__name__} {getattr(y, 'shape', '?')}" ) if y.shape[0] != X.shape[0]: raise ValueError( f"T1 fit: y/X length mismatch ({y.shape[0]} vs {X.shape[0]})." ) horizon = int(y.shape[1]) close_idx = 0 c = X[:, -1, close_idx].astype(np.float64) y_f = y.astype(np.float64) keep = ( np.isfinite(c) & (c > 0.0) & np.isfinite(y_f).all(axis=1) & (y_f > 0.0).all(axis=1) ) n_total = int(X.shape[0]) n_keep = int(keep.sum()) if n_keep < 1: raise RuntimeError( f"T1 fit: only {n_keep}/{n_total} training windows have " "positive finite close + horizon prices; cannot fit " "log-return target." ) X_kept = X[keep] c_kept = c[keep] y_log = np.log(y_f[keep] / c_kept[:, None]).astype(np.float32) X_flat = _flatten_panel( X_kept, add_rolling_close=True, close_idx=close_idx, ) # Scrub +/-inf AND zero-fill NaN — sklearn RF rejects all non-finite. X_flat = np.nan_to_num( X_flat, nan=0.0, posinf=0.0, neginf=0.0, ).astype(np.float32) # NATIVE multi-output: one RF tree set predicts all horizon steps. model = _make_rf_estimator(self.config, seed=self._seed) model.fit(X_flat, y_log) self._state = { "model": model, "close_idx": close_idx, "horizon": horizon, "n_features_flat": X_flat.shape[1], "n_train_total": n_total, "n_train_kept": n_keep, "log_clip": 2.0, } self._horizon = horizon def _predict_t1(self, X: np.ndarray) -> np.ndarray: st = self._state if not isinstance(X, np.ndarray) or X.ndim != 3: raise ValueError( f"T1 predict: expected ndarray (N, L, F); got " f"{type(X).__name__} {getattr(X, 'shape', '?')}" ) close_idx = int(st["close_idx"]) c_test = X[:, -1, close_idx].astype(np.float64) c_safe = np.where(np.isfinite(c_test) & (c_test > 0.0), c_test, np.nan) X_flat = _flatten_panel( X, add_rolling_close=True, close_idx=close_idx, ) # Zero-fill NaN and scrub +/-inf — sklearn RF cannot handle them. X_flat = np.nan_to_num( X_flat, nan=0.0, posinf=0.0, neginf=0.0, ).astype(np.float32) n_train_cols = st["n_features_flat"] if X_flat.shape[1] > n_train_cols: X_flat = X_flat[:, :n_train_cols] elif X_flat.shape[1] < n_train_cols: pad = np.zeros( (X_flat.shape[0], n_train_cols - X_flat.shape[1]), dtype=np.float32, ) X_flat = np.concatenate([X_flat, pad], axis=1) log_pred = st["model"].predict(X_flat).astype(np.float64) if log_pred.ndim == 1: log_pred = log_pred.reshape(-1, st["horizon"]) clip = float(st.get("log_clip", 2.0)) log_pred = np.clip(log_pred, -clip, clip) out = c_safe[:, None] * np.exp(log_pred) bad = ~np.isfinite(out) if bad.any(): tile = np.broadcast_to(c_test[:, None], out.shape).astype(np.float64) out = np.where(bad, tile, out) return out.astype(np.float32) # ── T2 / T5 — log-target regression ─────────────────────────────────── def _fit_t2_t5(self, X: pd.DataFrame, y: np.ndarray) -> None: if not isinstance(X, pd.DataFrame): raise TypeError( f"{self.task} fit: expected DataFrame X; got {type(X).__name__}" ) if self.task == "T2": prefixes: tuple[str, ...] = ("stmt_", "derived_", "fred_", "eia_") else: prefixes = ("stmt_", "fred_", "eia_") df = X.copy() feat_cols = [ c for c in _numeric_feature_cols(df, prefixes) if c not in {"derived_market_cap", "actual_market_cap"} ] if "sector" in df.columns: sec_dummies = pd.get_dummies( df["sector"], prefix="sector", dtype=np.float32, ) df = pd.concat( [df.reset_index(drop=True), sec_dummies.reset_index(drop=True)], axis=1, ) feat_cols += list(sec_dummies.columns) if "industry" in df.columns: ind_dummies = pd.get_dummies( df["industry"], prefix="industry", dtype=np.float32, ) df = pd.concat( [df.reset_index(drop=True), ind_dummies.reset_index(drop=True)], axis=1, ) feat_cols += list(ind_dummies.columns) X_feat = df[feat_cols].astype(np.float32) y_arr = pd.to_numeric( pd.Series(np.asarray(y).ravel()), errors="coerce", ).astype(np.float64) valid = y_arr.notna() & (y_arr > 0) X_feat = X_feat.loc[valid.values] y_arr = y_arr.loc[valid.values] if X_feat.empty: raise RuntimeError( f"{self.task} fit: no rows with positive market_cap after drop." ) # sklearn RF rejects NaN/inf — zero-fill before fit. X_arr = np.nan_to_num( X_feat.values.astype(np.float32), nan=0.0, posinf=0.0, neginf=0.0, ).astype(np.float32) model = _make_rf_log_pipeline(self.config, seed=self._seed) model.fit(X_arr, y_arr.values) self._state = { "model": model, "feat_cols": feat_cols, "prefixes": prefixes, } def _predict_t2_t5(self, X: pd.DataFrame) -> np.ndarray: st = self._state if not isinstance(X, pd.DataFrame): raise TypeError( f"{self.task} predict: expected DataFrame; got {type(X).__name__}" ) df = X.copy() if "sector" in df.columns: sec_dummies = pd.get_dummies( df["sector"], prefix="sector", dtype=np.float32, ) df = pd.concat( [df.reset_index(drop=True), sec_dummies.reset_index(drop=True)], axis=1, ) if "industry" in df.columns: ind_dummies = pd.get_dummies( df["industry"], prefix="industry", dtype=np.float32, ) df = pd.concat( [df.reset_index(drop=True), ind_dummies.reset_index(drop=True)], axis=1, ) # Zero-fill NaN at align time (RF can't handle them); also scrub # any straggler +/-inf below. X_feat = _align_columns( df, st["feat_cols"], fillna=True, ).astype(np.float32) X_arr = np.nan_to_num( X_feat.values.astype(np.float32), nan=0.0, posinf=0.0, neginf=0.0, ).astype(np.float32) preds = st["model"].predict(X_arr) preds = np.clip(preds, 0.0, None) return preds.astype(np.float32) # ── T3 / T6 — per-field booster ensemble (sparse field one-hot) ─────── def _fit_t3_t6(self, X: pd.DataFrame, y: pd.DataFrame) -> None: """Single RandomForest with per-(ticker, fiscal_year) numeric features + one-hot of ``field``. sklearn RF does NOT accept sparse CSR — we densify with ``.toarray()`` before fit (acceptable for the small-pool T3/T6 train sets). """ from sklearn.preprocessing import OneHotEncoder if not isinstance(X, pd.DataFrame): raise TypeError( f"{self.task} fit: expected DataFrame X; got {type(X).__name__}" ) if not isinstance(y, pd.DataFrame): raise TypeError( f"{self.task} fit: expected long-form DataFrame y; got " f"{type(y).__name__}" ) for col in ("ticker", "field", "value"): if col not in y.columns: raise ValueError( f"{self.task} fit: y missing required column {col!r}" ) ticker_feats, feat_cols = self._t3_t6_build_ticker_features(X) fitted_fields: list[str] = sorted( str(f) for f in y["field"].astype(str).unique() ) gt = y.copy() gt["value_num"] = pd.to_numeric(gt["value"], errors="coerce") gt["field"] = gt["field"].astype(str) gt = gt.merge(ticker_feats, on="ticker", how="left").fillna(0.0) gt = gt.dropna(subset=["value_num"]) per_field_count = gt.groupby("field").size().to_dict() median_fields: dict[str, float] = {} small_field_set: set[str] = set() for field in fitted_fields: cnt = int(per_field_count.get(field, 0)) if cnt < 5: sub = gt[gt["field"] == field] med = float(sub["value_num"].median()) if not sub.empty else 0.0 median_fields[field] = med small_field_set.add(field) train_mask = ~gt["field"].isin(small_field_set) gt_train = gt[train_mask] global_model = None global_scaler = None use_log = False y_min = 0.0 y_max = 0.0 y_range = 1.0 ohe: OneHotEncoder | None = None if not gt_train.empty: y_tr = gt_train["value_num"].values.astype(np.float64) nz = y_tr[y_tr != 0] if nz.size > 0: use_log = float(np.median(np.abs(nz))) > 1000 y_tr_t = ( np.sign(y_tr) * np.log1p(np.abs(y_tr)) if use_log else y_tr ) X_num_tr = gt_train[feat_cols].values.astype(np.float32) # sklearn RF rejects NaN/inf — zero-fill. X_num_tr = np.nan_to_num( X_num_tr, nan=0.0, posinf=0.0, neginf=0.0, ).astype(np.float32) ohe = OneHotEncoder( categories=[fitted_fields], handle_unknown="ignore", sparse_output=True, dtype=np.float32, ) field_arr_tr = gt_train["field"].values.reshape(-1, 1) X_field_tr = ohe.fit_transform(field_arr_tr).toarray().astype(np.float32) X_full_tr = np.concatenate([X_num_tr, X_field_tr], axis=1) global_model = _make_rf_estimator(self.config, seed=self._seed) global_model.fit(X_full_tr, y_tr_t) y_min = float(y_tr.min()) y_max = float(y_tr.max()) y_range = max(abs(y_max - y_min), abs(y_max) * 0.1, 1.0) self._state = { "ticker_feats": ticker_feats, "feat_cols": feat_cols, "fitted_fields": fitted_fields, "median_fields": median_fields, "model": global_model, "scaler": global_scaler, "ohe": ohe, "use_log": use_log, "y_min": y_min, "y_max": y_max, "y_range": y_range, } self.fitted_fields = fitted_fields def _predict_t3_t6(self, X: pd.DataFrame) -> pd.DataFrame: st = self._state if not isinstance(X, pd.DataFrame): raise TypeError( f"{self.task} predict: expected DataFrame; got {type(X).__name__}" ) if "ticker" not in X.columns or "fiscal_year" not in X.columns: raise ValueError( f"{self.task} predict: X must include 'ticker' and " f"'fiscal_year'." ) fitted_fields: list[str] = st["fitted_fields"] median_fields: dict[str, float] = st["median_fields"] feat_cols: list[str] = st["feat_cols"] test_feats, _ = self._t3_t6_build_ticker_features(X) test_feats = test_feats.set_index("ticker") for c in feat_cols: if c not in test_feats.columns: test_feats[c] = 0.0 test_feats = test_feats[feat_cols].fillna(0.0) n_rows = len(X) n_fields = len(fitted_fields) rows: list[dict[str, Any]] = [] if n_rows == 0 or n_fields == 0: return pd.DataFrame( rows, columns=["ticker", "fiscal_year", "field", "pred"], ) ticker_arr = X["ticker"].astype(str).values fy_arr = X["fiscal_year"].values zero_vec = np.zeros(len(feat_cols), dtype=np.float32) feats_by_ticker: dict[str, np.ndarray] = {} for t in set(ticker_arr.tolist()): try: v = test_feats.loc[t] if isinstance(v, pd.DataFrame): v = v.iloc[0] feats_by_ticker[t] = np.asarray( v.values, dtype=np.float32, ) except KeyError: feats_by_ticker[t] = zero_vec model = st["model"] ohe = st["ohe"] use_log = bool(st["use_log"]) y_min = float(st["y_min"]) y_max = float(st["y_max"]) y_range = float(st["y_range"]) unique_tickers = list(dict.fromkeys(ticker_arr.tolist())) model_fields = ( [f for f in fitted_fields if f not in median_fields] if model is not None else [] ) cell_pred: dict[tuple[str, str], float] = {} if model is not None and model_fields and unique_tickers: X_num = np.stack( [feats_by_ticker[t] for t in unique_tickers], axis=0, ).astype(np.float32) X_num = np.nan_to_num( X_num, nan=0.0, posinf=0.0, neginf=0.0, ).astype(np.float32) n_t = len(unique_tickers) n_mf = len(model_fields) X_num_rep = np.repeat(X_num, n_mf, axis=0) field_arr = np.tile( np.asarray(model_fields, dtype=object), n_t, ).reshape(-1, 1) assert ohe is not None X_field = ohe.transform(field_arr).toarray().astype(np.float32) X_full = np.concatenate([X_num_rep, X_field], axis=1) y_pred_t = np.asarray(model.predict(X_full)) if use_log: y_pred = np.sign(y_pred_t) * np.expm1(np.abs(y_pred_t)) else: y_pred = y_pred_t y_pred = np.clip(y_pred, y_min - y_range, y_max + y_range) y_pred = y_pred.reshape(n_t, n_mf) for ti, t in enumerate(unique_tickers): for fi, f in enumerate(model_fields): cell_pred[(t, f)] = float(y_pred[ti, fi]) for i in range(n_rows): t = ticker_arr[i] fy = fy_arr[i] for field in fitted_fields: if field in median_fields: val = median_fields[field] else: val = cell_pred.get((t, field), 0.0) rows.append({ "ticker": t, "fiscal_year": fy, "field": field, "pred": float(val), }) return pd.DataFrame( rows, columns=["ticker", "fiscal_year", "field", "pred"], ) # ── T4 — flat-lookback + event-type one-hot ─────────────────────────── def _fit_t4(self, X: pd.DataFrame, y: np.ndarray) -> None: if not isinstance(X, pd.DataFrame): raise TypeError( f"T4 fit: expected DataFrame X; got {type(X).__name__}" ) if "lookback" not in X.columns or "event_type" not in X.columns: raise ValueError( "T4 fit: X must include 'lookback' and 'event_type' columns." ) flat, n_lb_flat = self._t4_flatten_lookback(X["lookback"]) et_arr = X["event_type"].astype(str).values et_dummies = pd.get_dummies( pd.Series(et_arr), prefix="evt", dtype=np.float32, ) X_arr = np.concatenate( [flat, et_dummies.values.astype(np.float32)], axis=1, ) # sklearn RF rejects NaN/inf — zero-fill. X_arr = np.nan_to_num( X_arr, nan=0.0, posinf=0.0, neginf=0.0, ).astype(np.float32) y_arr = np.asarray(y, dtype=np.float32).ravel() if y_arr.shape[0] != X_arr.shape[0]: raise ValueError( f"T4 fit: y/X length mismatch ({y_arr.shape[0]} vs " f"{X_arr.shape[0]})." ) model = _make_rf_estimator(self.config, seed=self._seed) model.fit(X_arr, y_arr) self._state = { "model": model, "evt_columns": list(et_dummies.columns), "n_lb_flat": int(n_lb_flat), } def _predict_t4(self, X: pd.DataFrame) -> np.ndarray: st = self._state if not isinstance(X, pd.DataFrame): raise TypeError( f"T4 predict: expected DataFrame; got {type(X).__name__}" ) if "lookback" not in X.columns or "event_type" not in X.columns: raise ValueError( "T4 predict: X must include 'lookback' and 'event_type'." ) flat, _ = self._t4_flatten_lookback(X["lookback"]) if flat.shape[1] > st["n_lb_flat"]: flat = flat[:, : st["n_lb_flat"]] elif flat.shape[1] < st["n_lb_flat"]: pad = np.zeros( (flat.shape[0], st["n_lb_flat"] - flat.shape[1]), dtype=np.float32, ) flat = np.concatenate([flat, pad], axis=1) et_arr = X["event_type"].astype(str).values et_dummies = pd.get_dummies( pd.Series(et_arr), prefix="evt", dtype=np.float32, ) for c in st["evt_columns"]: if c not in et_dummies.columns: et_dummies[c] = 0.0 et_dummies = et_dummies[st["evt_columns"]].fillna(0.0) X_arr = np.concatenate( [flat, et_dummies.values.astype(np.float32)], axis=1, ) X_arr = np.nan_to_num( X_arr, nan=0.0, posinf=0.0, neginf=0.0, ).astype(np.float32) return st["model"].predict(X_arr).astype(np.float32) # ── T7 — dual-output (rent, price) ──────────────────────────────────── def _fit_t7(self, X: pd.DataFrame, y: pd.DataFrame) -> None: if not isinstance(X, pd.DataFrame): raise TypeError( f"T7 fit: expected DataFrame X; got {type(X).__name__}" ) if "address" not in X.columns: raise ValueError("T7 fit: X must include 'address'.") df, feat_cols, prop_type_col = self._t7_build_features(X, fit=True) rent_col = self._t7_first_col(df, ("rent",)) price_col = self._t7_first_col(df, ("price", "lastsaleprice")) if isinstance(y, pd.DataFrame) and "address" in y.columns: if rent_col is None and "rent" in y.columns: df = df.merge( y[["address", "rent"]], on="address", how="left", ) rent_col = "rent" if price_col is None and "price" in y.columns: df = df.merge( y[["address", "price"]], on="address", how="left", ) price_col = "price" if rent_col is None and price_col is None: raise RuntimeError("T7 fit: no rent or price target found.") # sklearn RF rejects NaN/inf — zero-fill. X_feat = df[feat_cols].astype(np.float32) X_arr = np.nan_to_num( X_feat.values.astype(np.float32), nan=0.0, posinf=0.0, neginf=0.0, ).astype(np.float32) models: dict[str, Any] = {} for target_name, target_col in (("rent", rent_col), ("price", price_col)): if target_col is None: continue y_all = pd.to_numeric(df[target_col], errors="coerce") valid = y_all.notna() & (y_all > 0) n_valid = int(valid.sum()) if n_valid < 1: continue X_tr = X_arr[valid.values] y_tr = y_all.loc[valid].values.astype(np.float64) if n_valid < 2: # RandomForest tolerates n=1 but eval is degenerate; emit a # constant predictor to match LightGBM's degenerate-case # behaviour exactly (smoke-run path only). models[target_name] = ("constant", float(y_tr.mean())) continue m = _make_rf_log_pipeline(self.config, seed=self._seed) m.fit(X_tr, y_tr) models[target_name] = m if not models: raise RuntimeError( f"T7 fit: insufficient training data " f"(rent_col={rent_col!r}, price_col={price_col!r}, " f"n_rows={len(df)}); need >=1 row with a positive target." ) self._state = { "feat_cols": feat_cols, "prop_type_col": prop_type_col, "models": models, } def _predict_t7(self, X: pd.DataFrame) -> pd.DataFrame: st = self._state if not isinstance(X, pd.DataFrame): raise TypeError( f"T7 predict: expected DataFrame; got {type(X).__name__}" ) if "address" not in X.columns: raise ValueError("T7 predict: X must include 'address'.") df = X.copy() for col in ( "sqft", "squareFootage", "square_footage", "beds", "bedrooms", "baths", "bathrooms", "year_built", "yearBuilt", "years_since_last_sale", ): if col in df.columns: df[col] = pd.to_numeric(df[col], errors="coerce") prop_type_col = st["prop_type_col"] if prop_type_col and prop_type_col in df.columns: prop_dummies = pd.get_dummies( df[prop_type_col], prefix="ptype", dtype=np.float32, ) df = pd.concat( [df.reset_index(drop=True), prop_dummies.reset_index(drop=True)], axis=1, ) # Zero-fill NaN at align time and scrub stragglers — RF rejects them. X_feat = _align_columns( df, st["feat_cols"], fillna=True, ).astype(np.float32) X_arr = np.nan_to_num( X_feat.values.astype(np.float32), nan=0.0, posinf=0.0, neginf=0.0, ).astype(np.float32) out = pd.DataFrame({"address": X["address"].astype(str).values}) for target_name in ("rent", "price"): model = st["models"].get(target_name) if model is None: out[f"pred_{target_name}"] = np.full( len(X), np.nan, dtype=np.float32, ) continue if isinstance(model, tuple) and model[0] == "constant": out[f"pred_{target_name}"] = np.full( len(X), float(model[1]), dtype=np.float32, ) continue preds = model.predict(X_arr) preds = np.clip(preds, 0.0, None) out[f"pred_{target_name}"] = preds.astype(np.float32) return out