phase-7: code restructure
This commit is contained in:
Kazuma
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import type { BondMetrics, MarketContext, ScoreResult, SanitizedBondMetrics } from '../types';
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export class BondScorer {
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static score(
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m: BondMetrics,
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rules: {
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gates: Record<string, number>;
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weights: Record<string, number>;
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thresholds: Record<string, number>;
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},
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context?: MarketContext | null,
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): ScoreResult {
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const { gates, weights, thresholds } = rules;
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const metrics = BondScorer._sanitize(m);
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const riskFreeRate = (context?.riskFreeRate ?? 4.0) / 100;
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if (metrics.creditRatingNumeric < gates.minCreditRating) {
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return {
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label: '🔴 Avoid',
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scoreSummary: `Gate failed: ${metrics.creditRating} (${metrics.creditRatingNumeric}) < ${gates.minCreditRating}`,
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audit: { passedGates: false },
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};
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}
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const spreadPct = (metrics.ytm - riskFreeRate) * 100;
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const breakdown: Record<string, number> = {
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spread: spreadPct >= thresholds.minSpread ? weights.yieldSpread : -2,
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duration: metrics.duration <= thresholds.maxDuration ? weights.duration : -1,
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};
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const score = Object.values(breakdown).reduce((a, b) => a + b, 0);
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return {
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label: score >= 4 ? '🟢 Attractive' : score >= 1 ? '🟡 Neutral' : '🔴 Avoid',
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scoreSummary: `Score: ${score}`,
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audit: { passedGates: true, breakdown },
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};
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}
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private static _sanitize(m: BondMetrics): SanitizedBondMetrics {
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const pct = (v: unknown): number =>
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parseFloat(typeof v === 'string' ? v.replace('%', '') : String(v)) / 100 || 0;
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return {
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ytm: pct(m.ytm),
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duration: parseFloat(String(m.duration)) || 0,
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creditRating: m.creditRating || 'BBB',
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creditRatingNumeric: m.creditRatingNumeric ?? 7,
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};
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}
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}
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@@ -0,0 +1,48 @@
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import type { EtfMetrics, ScoreResult } from '../types';
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export class EtfScorer {
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static score(
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m: EtfMetrics,
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rules: {
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gates: Record<string, number>;
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weights: Record<string, number>;
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thresholds: Record<string, number>;
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},
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): ScoreResult {
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const { gates, weights, thresholds } = rules;
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const metrics = {
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expenseRatio: parseFloat(String(m.expenseRatio)) || 0,
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yield: parseFloat(String(m.yield)) || 0,
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volume: parseFloat(String(m.volume)) || 0,
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fiveYearReturn: parseFloat(String(m.fiveYearReturn)) || 0,
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};
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if (metrics.expenseRatio > gates.maxExpenseRatio) {
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return {
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label: '🔴 REJECT',
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scoreSummary: 'Gate failed: High Expense Ratio',
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audit: { passedGates: false },
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};
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}
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const breakdown: Record<string, number> = {
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cost: metrics.expenseRatio <= thresholds.maxExpense ? weights.lowCost : -3,
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yield: metrics.yield >= thresholds.minYield ? weights.yield : -1,
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vol: metrics.volume >= (thresholds.minVolume ?? 1_000_000) ? 0 : -2,
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fiveYearReturn:
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thresholds.minFiveYearReturn != null
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? metrics.fiveYearReturn >= thresholds.minFiveYearReturn
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? (weights.fiveYearReturn ?? 1)
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: -1
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: 0,
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};
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const score = Object.values(breakdown).reduce((a, b) => a + b, 0);
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return {
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label: score >= 3 ? '🟢 Efficient' : score >= 0 ? '🟡 Neutral' : '🔴 Expensive/Low Yield',
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scoreSummary: `Score: ${score}`,
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audit: { passedGates: true, breakdown },
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};
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}
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}
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@@ -0,0 +1,251 @@
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import type { NumVal, SanitizedMetrics, ScoreResult, StockMetrics } from '../types';
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export class StockScorer {
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private static n(v: unknown): NumVal {
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const f = parseFloat(String(v));
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return !isNaN(f) && f !== 0 ? f : null;
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}
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private static scoreValue(val: number, high: number, med: number, weight: number): number {
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return val >= high ? weight : val >= med ? 1 : -1;
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}
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private static scorePeg(val: number, high: number, med: number, weight: number): number {
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return val <= high ? weight : val <= med ? 1 : -1;
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}
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static score(
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metrics: StockMetrics,
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rules: {
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gates: Record<string, number>;
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weights: Record<string, number>;
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thresholds: Record<string, number>;
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},
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): ScoreResult {
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const { gates, weights, thresholds } = rules;
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const m = StockScorer._sanitize(metrics);
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const failures = [
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m.debtToEquity != null &&
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m.debtToEquity > gates.maxDebtToEquity &&
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`D/E ${m.debtToEquity.toFixed(1)} > ${gates.maxDebtToEquity}`,
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m.quickRatio != null &&
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m.quickRatio < gates.minQuickRatio &&
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`Quick ${m.quickRatio.toFixed(2)} < ${gates.minQuickRatio}`,
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m.peRatio != null &&
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m.peRatio > gates.maxPERatio &&
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`P/E ${m.peRatio.toFixed(0)} > ${gates.maxPERatio}`,
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m.pegRatio != null &&
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m.pegRatio > gates.maxPegGate &&
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`PEG ${m.pegRatio.toFixed(1)} > ${gates.maxPegGate}`,
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m.priceToBook != null &&
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gates.maxPriceToBook &&
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m.priceToBook > gates.maxPriceToBook &&
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`P/B ${m.priceToBook.toFixed(1)} > ${gates.maxPriceToBook}`,
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].filter(Boolean) as string[];
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if (failures.length > 0) {
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return {
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label: '🔴 REJECT',
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scoreSummary: `Gate failed: ${failures.join(' | ')}`,
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audit: { passedGates: false, failures },
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};
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}
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const factors = [
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{
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key: 'roe',
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active: weights.roe > 0 && m.returnOnEquity != null,
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fn: () =>
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StockScorer.scoreValue(
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m.returnOnEquity!,
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thresholds.roeHigh,
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thresholds.roeMed,
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weights.roe,
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),
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},
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{
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key: 'opMargin',
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active: weights.opMargin > 0 && m.operatingMargin != null,
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fn: () =>
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StockScorer.scoreValue(
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m.operatingMargin!,
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thresholds.opMarginHigh,
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thresholds.opMarginMed,
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weights.opMargin,
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),
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},
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{
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key: 'margin',
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active: weights.margin > 0 && m.netProfitMargin != null,
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fn: () =>
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StockScorer.scoreValue(
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m.netProfitMargin!,
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thresholds.marginHigh,
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thresholds.marginMed,
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weights.margin,
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),
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},
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{
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key: 'peg',
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active: weights.peg > 0 && m.pegRatio != null,
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fn: () =>
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StockScorer.scorePeg(m.pegRatio!, thresholds.pegHigh, thresholds.pegMed, weights.peg),
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},
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{
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key: 'revenue',
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active: weights.revenue > 0 && m.revenueGrowth != null,
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fn: () =>
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StockScorer.scoreValue(
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m.revenueGrowth!,
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thresholds.revHigh,
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thresholds.revMed,
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weights.revenue,
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),
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},
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{
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key: 'fcf',
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active: weights.fcf > 0 && m.fcfYield != null,
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fn: () =>
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StockScorer.scoreValue(
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m.fcfYield!,
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thresholds.fcfHigh ?? 5,
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thresholds.fcfMed ?? 2,
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weights.fcf,
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),
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},
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{
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key: 'yield',
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active: (weights.yield ?? 0) > 0 && m.dividendYield != null,
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fn: () => (m.dividendYield! >= (thresholds.minYield ?? 4) ? weights.yield : -1),
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},
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{
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key: 'pFFO',
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active: (weights.pFFO ?? 0) > 0 && m.pFFO != null,
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fn: () => (m.pFFO! <= (thresholds.maxPFFO ?? 15) ? weights.pFFO : -2),
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},
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{
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key: 'priceToBook',
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active: (weights.priceToBook ?? 0) > 0 && m.priceToBook != null,
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fn: () => StockScorer.scoreValue(1 / m.priceToBook!, 1 / 1.0, 1 / 2.0, weights.priceToBook),
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},
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// ── Expert features ────────────────────────────────────────────────
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{
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// Analyst consensus: Yahoo recommendationMean 1=Strong Buy → 5=Strong Sell.
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// We invert and score: ≤ analystBuy gets full weight, ≤ analystHold gets 1pt,
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// above Hold loses weight. Requires ≥ 3 analysts to avoid noise from thin coverage.
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key: 'analyst',
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active:
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(weights.analyst ?? 0) > 0 &&
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m.analystRating != null &&
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(metrics.numberOfAnalysts ?? 0) >= 3,
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fn: (): number => {
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const r = m.analystRating!;
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const buyThreshold = thresholds.analystBuy ?? 2.0;
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const holdThreshold = thresholds.analystHold ?? 3.0;
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if (r <= buyThreshold) return weights.analyst ?? 2;
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if (r <= holdThreshold) return 1;
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if (r <= 4.0) return -1;
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return -(weights.analyst ?? 2); // Strong Sell
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},
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},
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{
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// DCF margin of safety: how undervalued the stock is vs. 2-stage FCF model.
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// Positive = undervalued (good), negative = overvalued (bad).
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// Only fires when DCF could be computed (positive FCF required).
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key: 'dcf',
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active: (weights.dcf ?? 0) > 0 && m.dcfMarginOfSafety != null,
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fn: (): number => {
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const mos = m.dcfMarginOfSafety!;
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const undervalued = thresholds.dcfUndervalued ?? 20;
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const fairValue = thresholds.dcfFairValue ?? 0;
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if (mos >= undervalued) return weights.dcf ?? 2;
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if (mos >= fairValue) return 1;
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if (mos >= -20) return -1;
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return -(weights.dcf ?? 2); // significantly overvalued
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},
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},
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];
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const breakdown: Record<string, number> = {};
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const totalScore = factors.reduce((sum, f) => {
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if (!f.active) return sum;
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breakdown[f.key] = f.fn() as number;
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return sum + breakdown[f.key];
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}, 0);
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const riskFlags = [
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m.beta != null && m.beta > 1.5 && `High volatility (β ${m.beta.toFixed(2)})`,
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m.beta != null && m.beta < 0 && `Inverse market correlation (β ${m.beta.toFixed(2)})`,
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// 52-week position flags
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m.week52Position != null && m.week52Position > 0.9 && 'Near 52-week high — crowded trade',
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m.week52Position != null &&
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m.week52Position < 0.1 &&
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'Near 52-week low — potential opportunity',
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// 52-week momentum flags
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m.week52Change != null &&
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m.week52Change >= 50 &&
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`Strong uptrend: +${m.week52Change.toFixed(0)}% in 52 weeks`,
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m.week52Change != null &&
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m.week52Change <= -30 &&
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`Significant drawdown: ${m.week52Change.toFixed(0)}% in 52 weeks`,
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// Distance from 52-week high
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m.week52FromHigh != null &&
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m.week52FromHigh <= -20 &&
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`${Math.abs(m.week52FromHigh).toFixed(0)}% off 52-week high`,
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// Analyst/DCF divergence signal
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m.analystUpside != null &&
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m.analystUpside >= 25 &&
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`Analyst consensus: ${m.analystUpside.toFixed(0)}% upside to target`,
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m.analystUpside != null &&
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m.analystUpside <= -15 &&
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`Analyst consensus: target ${Math.abs(m.analystUpside).toFixed(0)}% below current price`,
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m.dcfMarginOfSafety != null &&
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m.dcfMarginOfSafety >= 30 &&
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`DCF: ${m.dcfMarginOfSafety.toFixed(0)}% margin of safety`,
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m.dcfMarginOfSafety != null &&
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m.dcfMarginOfSafety <= -30 &&
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`DCF: stock trading ${Math.abs(m.dcfMarginOfSafety).toFixed(0)}% above intrinsic value`,
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].filter(Boolean) as string[];
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return {
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label: StockScorer._label(totalScore),
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scoreSummary: `Score: ${totalScore}`,
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audit: { passedGates: true, breakdown, riskFlags: riskFlags.length ? riskFlags : null },
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};
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}
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private static _label(score: number): string {
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if (score >= 8) return '🟢 BUY (High Conviction)';
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if (score >= 4) return '🟢 BUY (Speculative)';
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if (score >= 0) return '🟡 HOLD';
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return '🔴 REJECT';
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}
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private static _sanitize(m: StockMetrics): SanitizedMetrics {
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const w52 =
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m.week52High != null && m.week52High > 0 && m.week52Low != null && m.currentPrice > 0
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? (m.currentPrice - m.week52Low) / (m.week52High - m.week52Low)
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: null;
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return {
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debtToEquity: StockScorer.n(m.debtToEquity),
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quickRatio: StockScorer.n(m.quickRatio),
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peRatio: StockScorer.n(m.peRatio),
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pegRatio: StockScorer.n(m.pegRatio),
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priceToBook: StockScorer.n(m.priceToBook),
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netProfitMargin: StockScorer.n(m.netProfitMargin),
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operatingMargin: StockScorer.n(m.operatingMargin),
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returnOnEquity: StockScorer.n(m.returnOnEquity),
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revenueGrowth: StockScorer.n(m.revenueGrowth),
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fcfYield: StockScorer.n(m.fcfYield),
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dividendYield: StockScorer.n(m.dividendYield),
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pFFO: StockScorer.n(m.pFFO),
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beta: StockScorer.n(m.beta),
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week52Position: w52,
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week52Change: StockScorer.n(m.week52Change),
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week52FromHigh: StockScorer.n(m.week52FromHigh),
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analystRating: StockScorer.n(m.analystRating),
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analystUpside: StockScorer.n(m.analystUpside),
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dcfMarginOfSafety: StockScorer.n(m.dcfMarginOfSafety),
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};
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}
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}
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