market_screener/server/config/ScoringConfig.ts

import type { ScoringRulesShape } from '../types';

// ── Credit rating scale (S&P convention) ─────────────────────────────────
// Bond.ts converts letter ratings to these numbers; BondScorer uses them for gate checks.
// Investment grade = BBB (7) and above.
export const CREDIT_RATING_SCALE: Record<string, number> = {
  AAA: 10,
  AA: 9,
  A: 8,
  BBB: 7,
  BB: 6,
  B: 5,
  CCC: 4,
  CC: 3,
  C: 2,
  D: 1,
};

// ── Scoring rule shape ────────────────────────────────────────────────────
// Structural shapes (GateSet/WeightSet/ThresholdSet/RuleBlock/StockRules/
// ScoringRulesShape) live in server/types/asset.model.ts.

// ─────────────────────────────────────────────────────────────────────────────
// Fundamental baseline — Graham / value-investing style.
// MarketRegime.ts overrides the valuation gates for INFLATED-mode analysis.
// Sector overrides are structural — they apply in both modes.
// ─────────────────────────────────────────────────────────────────────────────
export const ScoringRules: ScoringRulesShape = {
  STOCK: {
    gates: {
      maxDebtToEquity: 1.5, // Graham ceiling; most distress starts above 2x
      minQuickRatio: 0.8, // below 0.8 signals real liquidity stress in non-tech
      maxPERatio: 15, // Graham's actual rule: never pay more than 15x trailing earnings
      maxPegGate: 1.0, // PEG > 1.0 means you're paying full price for growth (Lynch standard)
    },
    weights: {
      margin: 2, // net profit margin
      opMargin: 2, // operating margin (pricing power)
      roe: 3, // return on equity — Buffett's primary quality metric
      peg: 2, // valuation relative to growth
      revenue: 2, // revenue growth
      fcf: 3, // FCF is the most manipulation-resistant quality signal
      analyst: 2, // Wall Street consensus (1=Strong Buy … 5=Strong Sell, inverted in scorer)
      dcf: 2, // DCF margin of safety: positive = undervalued vs intrinsic value
    },
    thresholds: {
      marginHigh: 15, // 15% net margin is genuinely excellent across most sectors
      marginMed: 8, // 8% is the realistic mid-tier for industrials/retail
      opMarginHigh: 20,
      opMarginMed: 10,
      roeHigh: 15, // sustainable 15% ROE is Buffett-quality; 20% is rare/fleeting
      roeMed: 10, // 10% is the cost-of-equity floor for most businesses
      pegHigh: 0.75, // PEG < 0.75 is genuinely cheap relative to growth
      pegMed: 1.0,
      revHigh: 10, // 10% organic revenue growth is strong for mature cos
      revMed: 5,
      fcfHigh: 5,
      fcfMed: 2,
      // Analyst consensus thresholds (Yahoo recommendationMean scale: 1=Strong Buy, 5=Strong Sell)
      analystBuy: 2.0, // ≤ 2.0 → consensus is Buy or better
      analystHold: 3.0, // ≤ 3.0 → consensus is Hold or better
      // DCF margin-of-safety thresholds (% undervaluation vs intrinsic value)
      dcfUndervalued: 20, // ≥ 20% margin of safety → undervalued
      dcfFairValue: 0, // 0–20% → fairly valued; negative → overvalued
    },

    SECTOR_OVERRIDE: {
      TECHNOLOGY: {
        gates: { maxDebtToEquity: 2.0, minQuickRatio: 0.8, maxPERatio: 35, maxPegGate: 1.5 },
        weights: { margin: 1, opMargin: 3, roe: 3, peg: 3, revenue: 4, fcf: 3 },
        thresholds: { marginHigh: 25, opMarginHigh: 25, roeHigh: 20, pegHigh: 1.0, revHigh: 20 },
      },

      REIT: {
        gates: { maxDebtToEquity: 6.0, minQuickRatio: 0.1, maxPERatio: 9999, maxPegGate: 9999 },
        weights: { margin: 0, opMargin: 0, roe: 0, peg: 0, revenue: 0, fcf: 0, yield: 5, pFFO: 3 },
        thresholds: { minYield: 4.5, maxPFFO: 20 },
      },

      FINANCIAL: {
        gates: {
          maxDebtToEquity: 9999,
          minQuickRatio: 0.1,
          maxPERatio: 9999,
          maxPegGate: 9999,
          maxPriceToBook: 1.5,
        },
        weights: { margin: 0, opMargin: 0, peg: 0, roe: 5, revenue: 1, fcf: 1, priceToBook: 3 },
        thresholds: { roeHigh: 15, roeMed: 12, revHigh: 10, revMed: 5 },
      },

      ENERGY: {
        gates: { maxDebtToEquity: 1.5, minQuickRatio: 0.6, maxPERatio: 15, maxPegGate: 1.5 },
        weights: { margin: 0, opMargin: 3, roe: 2, peg: 1, revenue: 2, fcf: 4, yield: 3 },
        thresholds: {
          opMarginHigh: 20,
          opMarginMed: 10,
          roeHigh: 15,
          roeMed: 8,
          fcfHigh: 8,
          fcfMed: 4,
        },
      },

      HEALTHCARE: {
        gates: { maxDebtToEquity: 1.5, minQuickRatio: 1.0, maxPERatio: 25, maxPegGate: 1.5 },
        weights: { margin: 1, opMargin: 2, roe: 2, peg: 2, revenue: 4, fcf: 3 },
        thresholds: {
          marginHigh: 20,
          marginMed: 10,
          roeHigh: 20,
          roeMed: 12,
          revHigh: 15,
          revMed: 8,
          fcfHigh: 8,
          fcfMed: 3,
        },
      },

      COMMUNICATION: {
        gates: { maxDebtToEquity: 2.0, minQuickRatio: 0.8, maxPERatio: 25, maxPegGate: 1.5 },
        weights: { margin: 2, opMargin: 3, roe: 2, peg: 2, revenue: 3, fcf: 4 },
        thresholds: {
          marginHigh: 25,
          marginMed: 12,
          opMarginHigh: 30,
          opMarginMed: 15,
          roeHigh: 20,
          roeMed: 12,
          pegHigh: 1.0,
          pegMed: 1.5,
          revHigh: 15,
          revMed: 5,
          fcfHigh: 8,
          fcfMed: 3,
        },
      },

      CONSUMER_STAPLES: {
        gates: { maxDebtToEquity: 1.5, minQuickRatio: 0.5, maxPERatio: 22, maxPegGate: 2.0 },
        weights: { margin: 3, opMargin: 3, roe: 3, peg: 1, revenue: 1, fcf: 3 },
        thresholds: {
          marginHigh: 12,
          marginMed: 7,
          opMarginHigh: 18,
          opMarginMed: 10,
          roeHigh: 20,
          roeMed: 12,
          pegHigh: 1.5,
          pegMed: 2.0,
          revHigh: 5,
          revMed: 2,
          fcfHigh: 5,
          fcfMed: 2,
        },
      },

      CONSUMER_DISCRETIONARY: {
        gates: { maxDebtToEquity: 2.0, minQuickRatio: 0.5, maxPERatio: 25, maxPegGate: 1.5 },
        weights: { margin: 2, opMargin: 2, roe: 2, peg: 2, revenue: 4, fcf: 3 },
        thresholds: {
          marginHigh: 10,
          marginMed: 5,
          opMarginHigh: 15,
          opMarginMed: 8,
          roeHigh: 20,
          roeMed: 12,
          pegHigh: 1.0,
          pegMed: 1.5,
          revHigh: 12,
          revMed: 5,
          fcfHigh: 5,
          fcfMed: 2,
        },
      },
    },
  },

  ETF: {
    gates: { maxExpenseRatio: 0.2 },
    weights: { yield: 2, lowCost: 4, fiveYearReturn: 2 },
    thresholds: {
      minYield: 1.5,
      maxExpense: 0.05,
      minVolume: 1_000_000,
      minFiveYearReturn: 8.0,
    },
  },

  BOND: {
    gates: { minCreditRating: 7 }, // BBB = investment-grade floor
    weights: { yieldSpread: 3, duration: 2 },
    thresholds: { minSpread: 1.5, maxDuration: 7 },
  },
};