| """Evaluation functions for MacroLens benchmark.""" |
|
|
| from __future__ import annotations |
|
|
| import json |
| from datetime import datetime, timezone |
| from pathlib import Path |
| from typing import Any |
|
|
| import numpy as np |
| import pandas as pd |
|
|
| from ._compat import ( |
| evaluate_generation, |
| evaluate_re_valuation, |
| evaluate_scenario_forecast, |
| evaluate_valuation, |
| ) |
| from ._meta import BENCHMARK_NAME, BENCHMARK_VERSION |
|
|
| _TASK_ALIASES: dict[str, str] = { |
| |
| "1": "TSF", |
| "tsf": "TSF", |
| "time_series": "TSF", |
| "forecasting": "TSF", |
| |
| "2": "A", |
| "a": "A", |
| "valuation": "A", |
| "val-pt": "A", |
| |
| "3": "B", |
| "b": "B", |
| "statement": "B", |
| "stmt-gen": "B", |
| |
| "4": "C", |
| "c": "C", |
| "scenario": "C", |
| "scen-ret": "C", |
| |
| "5": "D", |
| "d": "D", |
| "private_valuation": "D", |
| "priv-val": "D", |
| |
| "6": "E", |
| "e": "E", |
| "generator": "E", |
| "gen-eval": "E", |
| |
| "7": "F", |
| "f": "F", |
| "real_estate": "F", |
| "re-val": "F", |
| } |
|
|
|
|
| def _evaluate_tsf( |
| predictions: np.ndarray, |
| targets: np.ndarray, |
| ) -> dict[str, Any]: |
| """Compute TSF metrics: MSE, RMSE, MAE, Directional Accuracy. |
| |
| Parameters |
| ---------- |
| predictions : np.ndarray |
| Shape ``(N, horizon)`` or ``(N,)`` — predicted values. |
| targets : np.ndarray |
| Shape ``(N, horizon)`` or ``(N,)`` — ground-truth values. |
| """ |
| predictions = np.asarray(predictions, dtype=np.float64) |
| targets = np.asarray(targets, dtype=np.float64) |
|
|
| if predictions.shape != targets.shape: |
| raise ValueError( |
| f"Shape mismatch: predictions {predictions.shape} " |
| f"vs targets {targets.shape}" |
| ) |
|
|
| mse = float(np.mean((predictions - targets) ** 2)) |
| rmse = float(np.sqrt(mse)) |
| mae = float(np.mean(np.abs(predictions - targets))) |
|
|
| |
| if predictions.ndim == 2 and predictions.shape[1] > 1: |
| pred_diff = np.diff(predictions, axis=1) |
| target_diff = np.diff(targets, axis=1) |
| da = float(np.mean(np.sign(pred_diff) == np.sign(target_diff))) |
| elif predictions.ndim == 1 and len(predictions) > 1: |
| pred_diff = np.diff(predictions) |
| target_diff = np.diff(targets) |
| da = float(np.mean(np.sign(pred_diff) == np.sign(target_diff))) |
| else: |
| da = 0.0 |
|
|
| return { |
| "mse": round(mse, 6), |
| "rmse": round(rmse, 6), |
| "mae": round(mae, 6), |
| "directional_accuracy": round(da, 4), |
| "n_instances": int(predictions.shape[0]), |
| } |
|
|
|
|
| def evaluate( |
| task: str, |
| predictions: pd.DataFrame | np.ndarray | None = None, |
| targets: np.ndarray | None = None, |
| ground_truth: pd.DataFrame | None = None, |
| **kwargs: Any, |
| ) -> dict[str, Any]: |
| """Evaluate predictions on a MacroLens task. |
| |
| Parameters |
| ---------- |
| task : str |
| Task identifier: ``"tsf"``, ``"A"``, ``"B"``, or ``"C"``. |
| predictions : DataFrame or ndarray |
| Model predictions. Format depends on the task (see below). |
| targets : ndarray, optional |
| Ground-truth values for TSF (shape matches ``predictions``). |
| ground_truth : DataFrame, optional |
| Ground-truth DataFrame for Tasks A, B, C. |
| **kwargs |
| Additional arguments passed to the underlying evaluator. |
| |
| Returns |
| ------- |
| dict |
| Task-specific metrics dictionary. |
| |
| Examples |
| -------- |
| **TSF** — pass parallel arrays of predictions and targets:: |
| |
| results = macrolens.evaluate("tsf", predictions=preds, targets=targets) |
| # preds, targets: np.ndarray of shape (N, horizon) |
| |
| **Task 2 (Val-PT)** — pass DataFrames:: |
| |
| results = macrolens.evaluate( |
| "A", |
| predictions=pred_df, # cols: ticker, date, predicted_equity_value |
| ground_truth=gt_df, # cols: ticker, date, actual_market_cap |
| ) |
| |
| **Task 3 (Stmt-Gen)** — pass DataFrames:: |
| |
| results = macrolens.evaluate( |
| "B", |
| predictions=pred_df, # cols: ticker, field, value |
| ground_truth=gt_df, # cols: ticker, field, value |
| ) |
| |
| **Task 4 (Scen-Ret)** — pass DataFrames:: |
| |
| results = macrolens.evaluate( |
| "C", |
| predictions=pred_df, # cols: scenario_id, ticker, predicted_return_pct |
| ground_truth=gt_df, # cols: scenario_id, ticker, actual_return_pct |
| ) |
| """ |
| canonical = _TASK_ALIASES.get(task.lower(), task.upper()) |
|
|
| if canonical == "TSF": |
| if predictions is None or targets is None: |
| raise ValueError( |
| "TSF evaluation requires both `predictions` and `targets` arrays." |
| ) |
| return _evaluate_tsf(np.asarray(predictions), np.asarray(targets)) |
|
|
| if canonical == "A": |
| if not isinstance(predictions, pd.DataFrame) or ground_truth is None: |
| raise ValueError( |
| "Task 2 (Val-PT) requires `predictions` (DataFrame with cols: " |
| "ticker, date, predicted_equity_value) and " |
| "`ground_truth` (DataFrame with cols: ticker, date, actual_market_cap)." |
| ) |
| _validate_columns(predictions, ["ticker", "date", "predicted_equity_value"], "predictions") |
| return evaluate_valuation(predictions, ground_truth, **kwargs) |
|
|
| if canonical == "B": |
| if not isinstance(predictions, pd.DataFrame) or ground_truth is None: |
| raise ValueError( |
| "Task 3 (Stmt-Gen) requires `predictions` (DataFrame with cols: " |
| "ticker, field, value) and `ground_truth` (same format)." |
| ) |
| _validate_columns(predictions, ["ticker", "field", "value"], "predictions") |
| return evaluate_generation(predictions, ground_truth, **kwargs) |
|
|
| if canonical == "C": |
| if not isinstance(predictions, pd.DataFrame) or ground_truth is None: |
| raise ValueError( |
| "Task 4 (Scen-Ret) requires `predictions` (DataFrame with cols: " |
| "scenario_id, ticker, predicted_return_pct) and " |
| "`ground_truth` (DataFrame with cols: scenario_id, ticker, actual_return_pct)." |
| ) |
| _validate_columns( |
| predictions, ["scenario_id", "ticker", "predicted_return_pct"], "predictions" |
| ) |
| return evaluate_scenario_forecast(predictions, ground_truth, **kwargs) |
|
|
| if canonical == "D": |
| |
| if not isinstance(predictions, pd.DataFrame) or ground_truth is None: |
| raise ValueError( |
| "Task 5 (Priv-Val) requires `predictions` (DataFrame with cols: " |
| "ticker, date, predicted_equity_value) and " |
| "`ground_truth` (DataFrame with cols: ticker, date, actual_market_cap)." |
| ) |
| _validate_columns(predictions, ["ticker", "date", "predicted_equity_value"], "predictions") |
| return evaluate_valuation(predictions, ground_truth, **kwargs) |
|
|
| if canonical == "E": |
| |
| if not isinstance(predictions, pd.DataFrame) or ground_truth is None: |
| raise ValueError( |
| "Task 6 (Gen-Eval) requires `predictions` (DataFrame with cols: " |
| "ticker, field, value) and `ground_truth` (same format). " |
| "Use 'generator_field' as the field column name." |
| ) |
| |
| gt = ground_truth.copy() |
| if "generator_field" in gt.columns and "field" not in gt.columns: |
| gt = gt.rename(columns={"generator_field": "field"}) |
| preds = predictions.copy() |
| if "generator_field" in preds.columns and "field" not in preds.columns: |
| preds = preds.rename(columns={"generator_field": "field"}) |
| _validate_columns(preds, ["ticker", "field", "value"], "predictions") |
| return evaluate_generation(preds, gt, **kwargs) |
|
|
| if canonical == "F": |
| |
| if not isinstance(predictions, pd.DataFrame) or ground_truth is None: |
| raise ValueError( |
| "Task 7 (RE-Val) requires `predictions` (DataFrame with rent/price " |
| "predictions) and `ground_truth` (DataFrame with actual rent/price)." |
| ) |
| return evaluate_re_valuation(predictions, ground_truth, **kwargs) |
|
|
| raise ValueError( |
| f"Unknown task '{task}'. Valid: 'tsf', 'A', 'B', 'C', 'D', 'E', 'F' " |
| "(or aliases like 'valuation', 'private_valuation', 'real_estate', etc.)" |
| ) |
|
|
|
|
| def _validate_columns(df: pd.DataFrame, required: list[str], name: str) -> None: |
| """Raise ValueError if required columns are missing.""" |
| missing = [c for c in required if c not in df.columns] |
| if missing: |
| raise ValueError( |
| f"{name} DataFrame is missing columns: {missing}. " |
| f"Expected: {required}. Got: {df.columns.tolist()}" |
| ) |
|
|
|
|
| def format_submission( |
| results: dict[str, Any], |
| task: str = "tsf", |
| method_name: str | None = None, |
| granularity: str = "daily", |
| output_path: str | Path | None = None, |
| ) -> dict[str, Any]: |
| """Format evaluation results as a benchmark submission. |
| |
| Parameters |
| ---------- |
| results : dict |
| Metrics dictionary returned by :func:`evaluate`. |
| task : str |
| Task identifier. |
| method_name : str, optional |
| Name of the method/model. |
| granularity : str |
| Data granularity used. |
| output_path : str or Path, optional |
| If provided, write the submission JSON to this path. |
| |
| Returns |
| ------- |
| dict |
| Formatted submission dictionary. |
| |
| Example |
| ------- |
| >>> sub = macrolens.format_submission(results, task="tsf", method_name="MyModel") |
| >>> sub["benchmark"] |
| 'MacroLens' |
| """ |
| submission = { |
| "benchmark": BENCHMARK_NAME, |
| "version": BENCHMARK_VERSION, |
| "task": _TASK_ALIASES.get(task.lower(), task.upper()), |
| "granularity": granularity, |
| "method": method_name or "unnamed", |
| "results": results, |
| "timestamp": datetime.now(timezone.utc).isoformat(), |
| } |
|
|
| if output_path is not None: |
| Path(output_path).write_text(json.dumps(submission, indent=2, default=str)) |
|
|
| return submission |
|
|