"""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] = { # Task 1 (TSF) "1": "TSF", "tsf": "TSF", "time_series": "TSF", "forecasting": "TSF", # Task 2 (Val-PT) "2": "A", "a": "A", "valuation": "A", "val-pt": "A", # Task 3 (Stmt-Gen) "3": "B", "b": "B", "statement": "B", "stmt-gen": "B", # Task 4 (Scen-Ret) "4": "C", "c": "C", "scenario": "C", "scen-ret": "C", # Task 5 (Priv-Val) "5": "D", "d": "D", "private_valuation": "D", "priv-val": "D", # Task 6 (Gen-Eval) "6": "E", "e": "E", "generator": "E", "gen-eval": "E", # Task 7 (RE-Val) "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))) # Directional accuracy: compare sign of consecutive differences 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": # Task D (Priv-Val) uses the same evaluation as Task A 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": # Task E (Gen-Eval) uses the same evaluation as Task B (per-field MAPE) 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." ) # Normalise: Gen-Eval GT uses 'generator_field' instead of 'field' 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": # Task F (RE-Val) uses evaluate_re_valuation 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