Add fast numpy path for numerai_corr#55
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The existing numerai_corr uses DataFrame operations (tie_kept_rank, gaussian, power) which are ~12x slower than necessary for the common case where top_bottom filtering is not needed. This adds _numerai_corr_np, a pure numpy/scipy implementation that operates on raw arrays, and uses it as a fast path in numerai_corr when top_bottom is None or <= 0. The DataFrame path is preserved unchanged for the top_bottom case. Numerically identical to the DataFrame path (max diff 1.11e-16 across 405 era-level tests on real Numerai data). Co-Authored-By: Claude Opus 4.6 <noreply@anthropic.com>
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Summary
_numerai_corr_np, a pure numpy/scipy implementation that bypasses DataFrame overheadnumerai_corrwhentop_bottom is None(the common case)top_bottomfiltering caseBenchmarks
Tested on real Numerai data (5000-row eras, 405 eras total):
Correctness
Numerically identical to the existing DataFrame implementation:
Test plan
test_scoring.pytests pass (28/28)🤖 Generated with Claude Code