"""Naive / statistical methods for the MacroLens unified API. Five concrete classes, one per (model × subset of tasks): Persistence T1 (N, horizon) -- last-close tile HistoricalAnalogue T4 (N,) -- per-event-type train mean LogSizeOLS T2, T5 (N,) -- log1p OLS on numerics SectorMedian T3, T6 long-form -- per-(sector, field) train median MetroMedian T7 (N, 3) -- per-(state, property_type) median Every class: * Inherits :class:`_JoblibSaveMixin` (state.joblib + manifest.json). * Registers via :func:`register` so `ml.methods.` finds it. * Receives ``task`` as a constructor arg; a ``ValueError`` is raised if the requested task is not in :attr:`tasks`. 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 import logging from typing import Any, ClassVar import numpy as np import pandas as pd from ._config import ( HistoricalAnalogueConfig, LogSizeOLSConfig, MetroMedianConfig, PersistenceConfig, SectorMedianConfig, ) from ._registry import register from .base import Method, _JoblibSaveMixin logger = logging.getLogger(__name__) _PERSISTENCE_DEFAULT_CLOSE_IDX_LOGGED: bool = False # ── Internal lib_versions helper ────────────────────────────────────────── def _naive_lib_versions() -> dict[str, str]: """Versions of the three libs the naive family actually uses. Overrides the broader default in :class:`Method` (which probes torch / transformers / vllm too) -- those are not imported here and recording them on a naive-method RunRecord would be misleading. """ out: dict[str, str] = {} for pkg in ("numpy", "pandas", "scikit-learn"): try: out[pkg] = importlib.metadata.version(pkg) except importlib.metadata.PackageNotFoundError: pass return out # ── T1 — Persistence ────────────────────────────────────────────────────── @register( name="persistence", family="naive", tasks=frozenset({"T1"}), config_class=PersistenceConfig, ) class Persistence(_JoblibSaveMixin, Method): """Forecast the future close trajectory by tiling the last lookback close. Predict shape: ``(N, horizon)``. The class emits a constant trajectory per row equal to ``X[:, -1, close_feature_idx]`` tiled ``horizon`` times. This is the trivial-floor baseline; any real T1 method should beat it. Notes ----- * ``X`` is a numpy ndarray ``(N, lookback, F)`` with no column names, so the runner is responsible for passing the close-feature index via ``PersistenceConfig.close_feature_idx`` (default ``0``). * ``horizon`` is read from ``y.shape[1]`` at fit time and stored as ``self._horizon``; if ``config.horizon`` is set it overrides. """ name: ClassVar[str] = "persistence" family: ClassVar[str] = "naive" tasks: ClassVar[frozenset[str]] = frozenset({"T1"}) schema_version: ClassVar[int] = 1 def __init__( self, *, task: str, config: PersistenceConfig | None = None, **kwargs: Any, ) -> None: if task not in self.tasks: raise ValueError( f"Persistence does not support task={task!r}; " f"supported: {sorted(self.tasks)}" ) self.task = task self.config = config or PersistenceConfig(**kwargs) if self.task == "T1" and self.config.close_feature_idx == 0: # Information-only: the canonical loader puts close at idx 0 so the # default is fine in practice. Emit once per process via logger so # batch instantiation doesn't pollute stderr. global _PERSISTENCE_DEFAULT_CLOSE_IDX_LOGGED if not _PERSISTENCE_DEFAULT_CLOSE_IDX_LOGGED: logger.info( "Persistence(task='T1'): close_feature_idx defaults to 0; " "the runner should resolve the actual close column index " "from meta.attrs['feature_names'] and pass it via config." ) _PERSISTENCE_DEFAULT_CLOSE_IDX_LOGGED = True self._horizon: int | None = None self._close_feature_idx: int = int(self.config.close_feature_idx) @classmethod def default_config(cls) -> PersistenceConfig: return PersistenceConfig() def fit(self, X: np.ndarray, y: np.ndarray, *, seed: int = 42) -> "Persistence": if not isinstance(X, np.ndarray) or X.ndim != 3: raise ValueError( f"Persistence.fit: expected X shape (N, lookback, F); got " f"type={type(X).__name__} shape={getattr(X, 'shape', '?')}" ) if not isinstance(y, np.ndarray) or y.ndim != 2: raise ValueError( f"Persistence.fit: expected y shape (N, horizon); got " f"type={type(y).__name__} shape={getattr(y, 'shape', '?')}" ) # Honour explicit override; otherwise read horizon from y. self._horizon = ( int(self.config.horizon) if self.config.horizon is not None else int(y.shape[1]) ) if self._close_feature_idx >= X.shape[2]: raise ValueError( f"Persistence.fit: close_feature_idx={self._close_feature_idx} " f"out of bounds for F={X.shape[2]}" ) return self def predict(self, X: np.ndarray) -> np.ndarray: if self._horizon is None: raise RuntimeError("Persistence: call .fit(X, y) before .predict().") if not isinstance(X, np.ndarray) or X.ndim != 3: raise ValueError( f"Persistence.predict: expected (N, lookback, F); got " f"type={type(X).__name__} shape={getattr(X, 'shape', '?')}" ) if self._close_feature_idx >= X.shape[2]: raise ValueError( f"Persistence.predict: close_feature_idx={self._close_feature_idx} " f"out of bounds for F={X.shape[2]}" ) last_close = X[:, -1, self._close_feature_idx][:, np.newaxis] return np.tile(last_close, (1, self._horizon)).astype(np.float32) def lib_versions(self) -> dict[str, str]: return _naive_lib_versions() # ── T4 — HistoricalAnalogue ─────────────────────────────────────────────── @register( name="historical_analogue", family="naive", tasks=frozenset({"T4"}), config_class=HistoricalAnalogueConfig, ) class HistoricalAnalogue(_JoblibSaveMixin, Method): """Predict scenario return as the per-``event_type`` train mean. ``X`` is the T4 DataFrame ``[lookback, event_type, event_description]``; only ``event_type`` is consumed. Unseen event types fall back to the global train mean. Predict shape: ``(N,)`` float32. """ name: ClassVar[str] = "historical_analogue" family: ClassVar[str] = "naive" tasks: ClassVar[frozenset[str]] = frozenset({"T4"}) schema_version: ClassVar[int] = 1 def __init__( self, *, task: str, config: HistoricalAnalogueConfig | None = None, **kwargs: Any, ) -> None: if task not in self.tasks: raise ValueError( f"HistoricalAnalogue does not support task={task!r}; " f"supported: {sorted(self.tasks)}" ) self.task = task self.config = config or HistoricalAnalogueConfig(**kwargs) self._type_mean: dict[str, float] = {} self._global_mean: float = 0.0 self._fitted: bool = False @classmethod def default_config(cls) -> HistoricalAnalogueConfig: return HistoricalAnalogueConfig() @staticmethod def _event_types(X: pd.DataFrame) -> np.ndarray: if not isinstance(X, pd.DataFrame): raise TypeError( f"HistoricalAnalogue: expected DataFrame X; got " f"{type(X).__name__}" ) if "event_type" not in X.columns: raise ValueError( "HistoricalAnalogue: X is missing 'event_type' column." ) return np.asarray(X["event_type"].values, dtype=object).astype(str) def fit( self, X: pd.DataFrame, y: np.ndarray, *, seed: int = 42 ) -> "HistoricalAnalogue": et = self._event_types(X) y_arr = np.asarray(y, dtype=np.float64).ravel() if et.shape[0] != y_arr.shape[0]: raise ValueError( f"HistoricalAnalogue.fit: event_type/y length mismatch " f"({et.shape[0]} vs {y_arr.shape[0]})" ) df = pd.DataFrame({"event_type": et, "ret": y_arr}).dropna(subset=["ret"]) if df.empty: raise RuntimeError("HistoricalAnalogue.fit: no usable training rows.") self._type_mean = df.groupby("event_type")["ret"].mean().to_dict() self._global_mean = float(df["ret"].mean()) self._fitted = True return self def predict(self, X: pd.DataFrame) -> np.ndarray: if not self._fitted: raise RuntimeError( "HistoricalAnalogue: call .fit(X, y) before .predict()." ) et = self._event_types(X) return np.array( [self._type_mean.get(e, self._global_mean) for e in et], dtype=np.float32, ) def lib_versions(self) -> dict[str, str]: return _naive_lib_versions() # ── T2 / T5 — LogSizeOLS ────────────────────────────────────────────────── # LogSizeOLS removed from the registry per panel-design decision (replaced by # RandomForest in classical.py). Class kept to preserve save/load # compatibility for any old checkpoint, but no longer registered → not # discovered by ``methods.ALL_METHODS`` and not runnable through the # unified runner. class LogSizeOLS(_JoblibSaveMixin, Method): """OLS regression of ``log1p(market_cap)`` on ``log1p(numeric features)``. Classical-ML baseline (fitted parametric model): for T2 / T5 inputs, fits a ``sklearn.linear_model.LinearRegression`` on ``log1p(numeric_columns)`` plus optional sector dummies, with target ``log1p(actual_market_cap)``. Predicts in log space and returns the dollar-space prediction via ``np.expm1``. Predict shape: ``(N,)`` float32. """ name: ClassVar[str] = "log_size_ols" family: ClassVar[str] = "classical" tasks: ClassVar[frozenset[str]] = frozenset({"T2", "T5"}) schema_version: ClassVar[int] = 1 def __init__( self, *, task: str, config: LogSizeOLSConfig | None = None, **kwargs: Any, ) -> None: if task not in self.tasks: raise ValueError( f"LogSizeOLS does not support task={task!r}; " f"supported: {sorted(self.tasks)}" ) self.task = task self.config = config or LogSizeOLSConfig(**kwargs) self._model: Any = None self._numeric_cols: list[str] = [] self._sector_dummy_cols: list[str] = [] self._train_columns: list[str] = [] # post-concat order @classmethod def default_config(cls) -> LogSizeOLSConfig: return LogSizeOLSConfig() @staticmethod def _select_numeric(df: pd.DataFrame) -> list[str]: """Return the columns this method treats as size-proxy numerics. Anything numeric that is neither a key (``ticker``/``date``) nor the target itself qualifies. The exact set depends on the inputs file the loader projected onto -- T5 strips price-derived features upstream, so the same selector works for T2 and T5. """ skip = {"ticker", "date", "actual_market_cap", "derived_market_cap"} return [ c for c in df.columns if c not in skip and pd.api.types.is_numeric_dtype(df[c]) ] def _build_features( self, X: pd.DataFrame, *, train_columns: list[str] | None ) -> pd.DataFrame: """log1p of numerics + (optional) sector dummies, aligned to train. ``train_columns`` is None at fit time; the post-concat order is captured for predict-time alignment. """ numeric_cols = ( self._numeric_cols if train_columns is not None else self._select_numeric(X) ) num = X.reindex(columns=numeric_cols).apply( lambda s: pd.to_numeric(s, errors="coerce").fillna(0.0) ) # log1p; clip negative values to 0 to keep the log defined. num = num.clip(lower=0.0) num = np.log1p(num) if self.config.sector_dummies and "sector" in X.columns: dum = pd.get_dummies(X["sector"], prefix="sec", dtype=np.float32) else: dum = pd.DataFrame(index=X.index) feat = pd.concat( [num.reset_index(drop=True), dum.reset_index(drop=True)], axis=1 ).fillna(0.0) if train_columns is None: # fit-time -- record the resolved numeric cols + dummy cols self._numeric_cols = list(numeric_cols) self._sector_dummy_cols = list(dum.columns) self._train_columns = list(feat.columns) return feat # predict-time: align to train_columns (add missing as 0; drop extras) for c in train_columns: if c not in feat.columns: feat[c] = 0.0 return feat[train_columns].fillna(0.0) def fit(self, X: pd.DataFrame, y: np.ndarray, *, seed: int = 42) -> "LogSizeOLS": from sklearn.linear_model import LinearRegression if not isinstance(X, pd.DataFrame): raise TypeError( f"LogSizeOLS.fit: expected DataFrame X; got {type(X).__name__}" ) y_arr = np.asarray(y, dtype=np.float64).ravel() if y_arr.shape[0] != len(X): raise ValueError( f"LogSizeOLS.fit: y length {y_arr.shape[0]} != " f"X length {len(X)}" ) # Drop rows with non-positive / NaN target (log1p needs >= 0). mask = np.isfinite(y_arr) & (y_arr > 0) if not mask.any(): raise RuntimeError( "LogSizeOLS.fit: zero rows after dropping non-positive / NaN targets." ) X_fit = X.loc[mask].reset_index(drop=True) y_fit = y_arr[mask] feat = self._build_features(X_fit, train_columns=None) target = np.log1p(y_fit.astype(np.float64)) model = LinearRegression() model.fit(feat.values, target) self._model = model return self def predict(self, X: pd.DataFrame) -> np.ndarray: if self._model is None: raise RuntimeError("LogSizeOLS: call .fit(X, y) before .predict().") if not isinstance(X, pd.DataFrame): raise TypeError( f"LogSizeOLS.predict: expected DataFrame; got {type(X).__name__}" ) feat = self._build_features(X, train_columns=self._train_columns) pred_log = self._model.predict(feat.values) # Clip in log space to avoid expm1 overflow. pred_log = np.clip(pred_log, 0.0, 50.0) return np.expm1(pred_log).astype(np.float32) def lib_versions(self) -> dict[str, str]: return _naive_lib_versions() # ── T3 / T6 — SectorMedian ──────────────────────────────────────────────── @register( name="sector_median", family="naive", tasks=frozenset({"T3", "T6"}), config_class=SectorMedianConfig, ) class SectorMedian(_JoblibSaveMixin, Method): """Predict each XBRL field as the per-(sector, field) train median. At fit time the method: 1. Reads the set of fields to predict from ``y["field"].unique()`` (locked in :attr:`fitted_fields`). 2. Inner-joins ``y`` against ``X[ticker, fiscal_year, sector]`` to attach the train sector per row. 3. Groups by ``(sector, field)`` -> median(value), with a per-field global median fallback for unseen sectors. Predict emits a long-form DataFrame with one row per ``(ticker, fiscal_year)`` × every fitted field, with the looked-up sector median (fallback to per-field global median). Predict columns: ``[ticker, fiscal_year, field, pred]``. """ name: ClassVar[str] = "sector_median" family: ClassVar[str] = "naive" tasks: ClassVar[frozenset[str]] = frozenset({"T3", "T6"}) schema_version: ClassVar[int] = 1 def __init__( self, *, task: str, config: SectorMedianConfig | None = None, **kwargs: Any, ) -> None: if task not in self.tasks: raise ValueError( f"SectorMedian does not support task={task!r}; " f"supported: {sorted(self.tasks)}" ) self.task = task self.config = config or SectorMedianConfig(**kwargs) self.fitted_fields: list[str] = [] self._field_sector_median: dict[tuple[str, str], float] = {} self._field_global_median: dict[str, float] = {} @classmethod def default_config(cls) -> SectorMedianConfig: return SectorMedianConfig() @staticmethod def _check_xy(X: pd.DataFrame, y: pd.DataFrame) -> None: if not isinstance(X, pd.DataFrame): raise TypeError( f"SectorMedian: expected DataFrame X; got {type(X).__name__}" ) if not isinstance(y, pd.DataFrame): raise TypeError( f"SectorMedian: expected DataFrame y; got {type(y).__name__}" ) for col in ("ticker", "fiscal_year"): if col not in X.columns: raise ValueError(f"SectorMedian: X missing '{col}'") for col in ("ticker", "fiscal_year", "field", "value"): if col not in y.columns: raise ValueError(f"SectorMedian: y missing '{col}'") def fit( self, X: pd.DataFrame, y: pd.DataFrame, *, seed: int = 42 ) -> "SectorMedian": self._check_xy(X, y) # Lock the set of fields to predict from y at fit time. The dataloader # projects T3/T6 y onto a curated dense panel, so what's in y IS the # full panel -- no need to extend with hardcoded defaults. fitted_fields = sorted(y["field"].astype(str).unique()) if not fitted_fields: raise RuntimeError("SectorMedian.fit: y has zero distinct 'field' values.") self.fitted_fields = fitted_fields # Build the (ticker, fiscal_year) -> sector lookup from X. sec_col = "sector" if "sector" in X.columns else None if sec_col is None: # Without sector, we still fit but every row falls back to "Unknown". x_keys = X[["ticker", "fiscal_year"]].copy() x_keys["sector"] = "Unknown" else: x_keys = X[["ticker", "fiscal_year", "sector"]].copy() x_keys["ticker"] = x_keys["ticker"].astype(str) x_keys["fiscal_year"] = pd.to_numeric( x_keys["fiscal_year"], errors="coerce" ).astype("Int64") x_keys["sector"] = x_keys["sector"].astype(str).fillna("Unknown") x_keys = x_keys.drop_duplicates(subset=["ticker", "fiscal_year"]) # Attach sector to y via inner join. gt = y[["ticker", "fiscal_year", "field", "value"]].copy() gt["ticker"] = gt["ticker"].astype(str) gt["fiscal_year"] = pd.to_numeric(gt["fiscal_year"], errors="coerce").astype( "Int64" ) gt["field"] = gt["field"].astype(str) gt["value_num"] = pd.to_numeric(gt["value"], errors="coerce") joined = gt.merge(x_keys, on=["ticker", "fiscal_year"], how="left") joined["sector"] = joined["sector"].fillna("Unknown") valid = joined.dropna(subset=["value_num"]) if valid.empty: raise RuntimeError( "SectorMedian.fit: no rows with finite numeric values after coercion." ) self._field_sector_median = ( valid.groupby(["field", "sector"])["value_num"].median().to_dict() ) self._field_global_median = ( valid.groupby("field")["value_num"].median().to_dict() ) return self def predict(self, X: pd.DataFrame) -> pd.DataFrame: if not self.fitted_fields: raise RuntimeError("SectorMedian: call .fit(X, y) before .predict().") if not isinstance(X, pd.DataFrame): raise TypeError( f"SectorMedian.predict: expected DataFrame; got {type(X).__name__}" ) for col in ("ticker", "fiscal_year"): if col not in X.columns: raise ValueError(f"SectorMedian.predict: X missing '{col}'") keys = X[["ticker", "fiscal_year"]].copy() if "sector" in X.columns: keys["sector"] = X["sector"].astype(str).fillna("Unknown") else: keys["sector"] = "Unknown" keys["ticker"] = keys["ticker"].astype(str) keys["fiscal_year"] = pd.to_numeric( keys["fiscal_year"], errors="coerce" ).astype("Int64") rows: list[dict[str, Any]] = [] for ticker, fy, sector in zip( keys["ticker"].values, keys["fiscal_year"].values, keys["sector"].values, ): for fld in self.fitted_fields: med = self._field_sector_median.get( (fld, sector), self._field_global_median.get(fld, 0.0), ) rows.append( { "ticker": ticker, "fiscal_year": fy, "field": fld, "pred": float(med) if pd.notna(med) else 0.0, } ) return pd.DataFrame(rows, columns=["ticker", "fiscal_year", "field", "pred"]) def lib_versions(self) -> dict[str, str]: return _naive_lib_versions() # Backward-compat alias for the legacy class name still referenced by # methods/__init__.py (its registry-driven rewrite is the end-of-Phase-2 # deliverable; keeping the alias avoids breaking the package import in # the meantime). Both names point at the same class. LogSizeRegression = LogSizeOLS # ── T7 — MetroMedian ────────────────────────────────────────────────────── @register( name="metro_median", family="naive", tasks=frozenset({"T7"}), config_class=MetroMedianConfig, ) class MetroMedian(_JoblibSaveMixin, Method): """Predict rent / price as per-(state, property_type) train medians. Default metro key is ``state_property_type``; ``state`` and ``city_state`` are also supported via :attr:`MetroMedianConfig.metro_key`. Fit consumes ``y[address, rent, price]`` for the train labels and ``X[state, property_type]`` for the metro key. Unseen metros fall back to the global train median (per output). Predict columns: ``[address, pred_rent, pred_price]``. """ name: ClassVar[str] = "metro_median" family: ClassVar[str] = "naive" tasks: ClassVar[frozenset[str]] = frozenset({"T7"}) schema_version: ClassVar[int] = 1 def __init__( self, *, task: str, config: MetroMedianConfig | None = None, **kwargs: Any, ) -> None: if task not in self.tasks: raise ValueError( f"MetroMedian does not support task={task!r}; " f"supported: {sorted(self.tasks)}" ) self.task = task self.config = config or MetroMedianConfig(**kwargs) self._metro_rent_median: dict[str, float] = {} self._metro_price_median: dict[str, float] = {} self._global_rent_median: float = 0.0 self._global_price_median: float = 0.0 self._has_rent: bool = False self._has_price: bool = False self._fitted: bool = False @classmethod def default_config(cls) -> MetroMedianConfig: return MetroMedianConfig() def _metro_key(self, df: pd.DataFrame) -> np.ndarray: """Build the per-row metro key from X according to config.metro_key.""" kind = self.config.metro_key if kind == "state": cols = ["state"] elif kind == "city_state": cols = ["city", "state"] elif kind == "state_property_type": cols = ["state", "property_type"] else: # pragma: no cover -- pydantic Literal forbids other values raise ValueError(f"Unknown metro_key={kind!r}") for c in cols: if c not in df.columns: raise ValueError( f"MetroMedian: column '{c}' missing from X " f"(metro_key={kind!r} requires {cols})" ) parts = [df[c].astype(str).fillna("").str.strip() for c in cols] out = parts[0] for p in parts[1:]: out = out.str.cat(p, sep="|") return np.where(out.values == "", "Unknown", out.values) def fit( self, X: pd.DataFrame, y: pd.DataFrame, *, seed: int = 42 ) -> "MetroMedian": if not isinstance(X, pd.DataFrame): raise TypeError( f"MetroMedian.fit: expected DataFrame X; got {type(X).__name__}" ) if not isinstance(y, pd.DataFrame): raise TypeError( f"MetroMedian.fit: expected DataFrame y; got {type(y).__name__}" ) # Align X and y on address (y is the canonical labels frame). if "address" not in X.columns or "address" not in y.columns: raise ValueError( "MetroMedian.fit: both X and y must contain 'address'." ) df = X.merge( y[["address", *[c for c in ("rent", "price") if c in y.columns]]], on="address", how="inner", ) if df.empty: raise RuntimeError( "MetroMedian.fit: zero rows after joining X with y on address." ) metro = self._metro_key(df) df = df.assign(_metro=metro) if "rent" in df.columns: rv = pd.to_numeric(df["rent"], errors="coerce") r = pd.DataFrame({"metro": df["_metro"].values, "rent": rv.values}).dropna() if not r.empty: self._metro_rent_median = r.groupby("metro")["rent"].median().to_dict() self._global_rent_median = float(r["rent"].median()) self._has_rent = True if "price" in df.columns: pv = pd.to_numeric(df["price"], errors="coerce") p = pd.DataFrame({"metro": df["_metro"].values, "price": pv.values}).dropna() if not p.empty: self._metro_price_median = p.groupby("metro")["price"].median().to_dict() self._global_price_median = float(p["price"].median()) self._has_price = True self._fitted = True return self def predict(self, X: pd.DataFrame) -> pd.DataFrame: if not self._fitted: raise RuntimeError("MetroMedian: call .fit(X, y) before .predict().") if not isinstance(X, pd.DataFrame): raise TypeError( f"MetroMedian.predict: expected DataFrame; got {type(X).__name__}" ) if "address" not in X.columns: raise ValueError("MetroMedian.predict: X missing 'address'.") metro = self._metro_key(X) out = pd.DataFrame({"address": X["address"].astype(str).values}) if self._has_rent: out["pred_rent"] = [ self._metro_rent_median.get(m, self._global_rent_median) for m in metro ] else: out["pred_rent"] = np.nan if self._has_price: out["pred_price"] = [ self._metro_price_median.get(m, self._global_price_median) for m in metro ] else: out["pred_price"] = np.nan return out def lib_versions(self) -> dict[str, str]: return _naive_lib_versions()