I'd suggest using a lasso, tbh. It's pretty fast, relatively performant and one can interpret the coefficients. That being said, I'd do your simple SQL aggrega

I'd suggest using a lasso, tbh. It's pretty fast, relatively performant and one can interpret the coefficients. That being said, I'd do your simple SQL aggregations first, to ensure that one can actually learn something (if we have 0.0001% positives, a simple approach probably isn't going to work well).