exp_1142

FORMULA_NAME = "Recovery Quality Contrarian 52-Week Hybrid (Relay Ladder Arbitration, v1142)"
LOGIC_VARIANT_COUNT = 4
NOTES = """mode=explore; family=recovery-quality-contrarian-52w-hybrid
This hybrid combines three orthogonal parent strengths through a relay-ladder instead of a blended average. Controlled 52-week washouts only qualify when they show repair evidence and business quality; repaired names can hand off into trend leadership in stronger tapes; and when signals conflict, a separate support sleeve decides whether the stock is an unfinished turnaround or a durable franchise. In risk-off conditions, deep drawdowns are sharply de-emphasized unless low volatility, liquidity, income, and valuation sanity all agree.
Deliberate metric coverage: actively use momentum/return (return_1m_pct, return_3m_pct, return_6m_pct, return_12m_pct, momentum_12_1_pct), both recovery metrics (from_200d_ma_pct, from_52w_high_pct), volatility (realized_vol_3m), liquidity (avg_daily_dollar_volume_3m, trading_days_3m), income (dividend_yield_ttm_pct, dividend_ttm), valuation (pe, peg), growth (revenue_growth_pct, free_cash_flow_growth_pct, forward_eps), quality (operating_margin_pct, free_cash_flow_margin_pct), and size (market_cap). Deliberately weight forward_pe, eps_growth_pct, operating_income_growth_pct, avg_daily_volume_3m, shares_outstanding, close, adj_close, high_52w, ma_200d, eps_ttm, revenue_ttm, operating_income_ttm, and free_cash_flow_ttm at zero this run to avoid overstacking correlated momentum/valuation bets and to rotate underused revenue-plus-income evidence into the family."""

WASHOUT_REPAIR = {
    "from_52w_high_pct": (0.22, -1),
    "from_200d_ma_pct": (0.18, +1),
    "return_1m_pct": (0.10, -1),
    "return_3m_pct": (0.16, +1),
    "revenue_growth_pct": (0.11, +1),
    "free_cash_flow_growth_pct": (0.09, +1),
    "operating_margin_pct": (0.08, +1),
    "avg_daily_dollar_volume_3m": (0.06, +1),
    "trading_days_3m": (0.05, +1),
    "pe": (0.08, -1),
    "market_cap": (0.07, -1),
}

TREND_RELAY = {
    "momentum_12_1_pct": (0.23, +1),
    "return_6m_pct": (0.19, +1),
    "return_12m_pct": (0.12, +1),
    "from_200d_ma_pct": (0.14, +1),
    "from_52w_high_pct": (0.09, +1),
    "forward_eps": (0.08, +1),
    "free_cash_flow_margin_pct": (0.07, +1),
    "avg_daily_dollar_volume_3m": (0.05, +1),
    "trading_days_3m": (0.03, +1),
}

FRANCHISE_DEFENSE = {
    "realized_vol_3m": (0.20, -1),
    "operating_margin_pct": (0.17, +1),
    "free_cash_flow_margin_pct": (0.17, +1),
    "dividend_yield_ttm_pct": (0.10, +1),
    "dividend_ttm": (0.06, +1),
    "peg": (0.10, -1),
    "pe": (0.08, -1),
    "trading_days_3m": (0.05, +1),
    "avg_daily_dollar_volume_3m": (0.04, +1),
    "market_cap": (0.03, +1),
}

SUPPORT_CONFIRM = {
    "revenue_growth_pct": (0.20, +1),
    "free_cash_flow_growth_pct": (0.18, +1),
    "forward_eps": (0.14, +1),
    "dividend_yield_ttm_pct": (0.10, +1),
    "dividend_ttm": (0.08, +1),
    "peg": (0.12, -1),
    "pe": (0.08, -1),
    "realized_vol_3m": (0.10, -1),
}


def _clamp(x, lo, hi):
    if x < lo:
        return lo
    if x > hi:
        return hi
    return x


def _weighted_score(symbol, weights, zcache):
    total = 0.0
    used = 0.0
    for metric, spec in weights.items():
        zmap = zcache.get(metric)
        if not zmap:
            continue
        z = zmap.get(symbol)
        if z is None:
            continue
        weight, direction = spec
        total += weight * direction * z
        used += weight
    if used <= 0.0:
        return 0.0
    return total / used


def score_universe(stocks, regime, ctx):
    metrics = {}
    for bundle in (WASHOUT_REPAIR, TREND_RELAY, FRANCHISE_DEFENSE, SUPPORT_CONFIRM):
        for metric in bundle:
            metrics[metric] = True

    zcache = {}
    for metric in metrics:
        zcache[metric] = ctx.z(metric)

    breadth = regime.get("breadth")
    if breadth is None:
        breadth = 0.5
    median_momo = regime.get("median_momentum_12_1_pct")
    if median_momo is None:
        median_momo = 0.0
    median_200d = regime.get("median_from_200d_ma_pct")
    if median_200d is None:
        median_200d = 0.0
    avg_vol = regime.get("avg_realized_vol_3m")
    if avg_vol is None:
        avg_vol = 0.0

    if regime.get("bull") and breadth >= 0.60 and median_momo > 2.5 and avg_vol < 30.0:
        branch = "breakout"
    elif breadth >= 0.48 and median_200d > -8.0 and avg_vol < 40.0:
        branch = "repair"
    elif breadth >= 0.35 and avg_vol < 48.0:
        branch = "skeptical"
    else:
        branch = "defense"

    scores = {}
    for stock in stocks:
        symbol = stock["symbol"]

        washout_repair = _weighted_score(symbol, WASHOUT_REPAIR, zcache)
        trend_relay = _weighted_score(symbol, TREND_RELAY, zcache)
        franchise_defense = _weighted_score(symbol, FRANCHISE_DEFENSE, zcache)
        support_confirm = _weighted_score(symbol, SUPPORT_CONFIRM, zcache)

        from_200d = stock.get("from_200d_ma_pct")
        if from_200d is None:
            from_200d = -999.0
        from_high = stock.get("from_52w_high_pct")
        if from_high is None:
            from_high = -999.0
        ret_1m = stock.get("return_1m_pct")
        if ret_1m is None:
            ret_1m = 0.0
        ret_3m = stock.get("return_3m_pct")
        if ret_3m is None:
            ret_3m = -999.0
        ret_6m = stock.get("return_6m_pct")
        if ret_6m is None:
            ret_6m = -999.0
        mom_121 = stock.get("momentum_12_1_pct")
        if mom_121 is None:
            mom_121 = -999.0
        realized_vol = stock.get("realized_vol_3m")
        if realized_vol is None:
            realized_vol = 999.0
        trading_days = stock.get("trading_days_3m")
        if trading_days is None:
            trading_days = 0.0
        dollar_volume = stock.get("avg_daily_dollar_volume_3m")
        if dollar_volume is None:
            dollar_volume = 0.0
        op_margin = stock.get("operating_margin_pct")
        fcf_margin = stock.get("free_cash_flow_margin_pct")
        rev_growth = stock.get("revenue_growth_pct")
        fcf_growth = stock.get("free_cash_flow_growth_pct")
        div_yield = stock.get("dividend_yield_ttm_pct")
        div_cash = stock.get("dividend_ttm")

        drawdown = 0.0
        if from_high < 0.0:
            drawdown = -from_high

        near_high = from_high > -10.0
        above_200d = from_200d > 0.0
        repaired = from_200d > -4.0 and ret_3m > -2.0
        strong_trend = above_200d and ret_6m > 6.0 and mom_121 > 0.0
        calm = realized_vol < 38.0
        liquid = trading_days >= 45.0 and dollar_volume >= 2500000.0

        quality_points = 0
        if op_margin is not None and op_margin > 6.0:
            quality_points += 1
        if fcf_margin is not None and fcf_margin > 3.0:
            quality_points += 1
        if rev_growth is not None and rev_growth > 0.0:
            quality_points += 1
        if fcf_growth is not None and fcf_growth > 0.0:
            quality_points += 1
        quality_ok = quality_points >= 2

        income_points = 0
        if div_yield is not None and div_yield > 0.0:
            income_points += 1
        if div_cash is not None and div_cash > 0.0:
            income_points += 1
        income_ok = income_points >= 1

        repair_window = drawdown >= 16.0 and drawdown <= 48.0
        shallow_pullback = drawdown >= 5.0 and drawdown <= 20.0
        too_deep = drawdown > 55.0
        overshot = ret_1m > 15.0
        fresh_shakeout = ret_1m >= -14.0 and ret_1m <= 4.0

        repaired_washout = repair_window and repaired and fresh_shakeout and quality_ok
        relay_candidate = shallow_pullback and strong_trend and quality_ok
        unfinished_turnaround = drawdown >= 22.0 and not repaired
        defensive_rebound = repaired and calm and liquid and (quality_ok or income_ok)

        if branch == "breakout":
            if relay_candidate:
                core = 0.60 * trend_relay + 0.20 * washout_repair + 0.12 * support_confirm + 0.08 * franchise_defense
            elif repaired_washout:
                core = 0.44 * washout_repair + 0.34 * trend_relay + 0.14 * support_confirm + 0.08 * franchise_defense
            else:
                core = 0.48 * trend_relay + 0.20 * franchise_defense + 0.18 * support_confirm + 0.14 * washout_repair
        elif branch == "repair":
            if repaired_washout:
                core = 0.52 * washout_repair + 0.18 * trend_relay + 0.18 * support_confirm + 0.12 * franchise_defense
            elif relay_candidate:
                core = 0.40 * trend_relay + 0.30 * washout_repair + 0.16 * support_confirm + 0.14 * franchise_defense
            else:
                core = 0.34 * washout_repair + 0.28 * franchise_defense + 0.22 * support_confirm + 0.16 * trend_relay
        elif branch == "skeptical":
            if defensive_rebound and repaired_washout:
                core = 0.34 * washout_repair + 0.34 * franchise_defense + 0.22 * support_confirm + 0.10 * trend_relay
            else:
                core = 0.40 * franchise_defense + 0.26 * support_confirm + 0.22 * washout_repair + 0.12 * trend_relay
        else:
            if defensive_rebound:
                core = 0.56 * franchise_defense + 0.20 * support_confirm + 0.14 * washout_repair + 0.10 * trend_relay
            else:
                core = 0.68 * franchise_defense + 0.18 * support_confirm + 0.08 * washout_repair + 0.06 * trend_relay

        conflict_penalty = 0.0
        if unfinished_turnaround and not quality_ok:
            conflict_penalty += 0.16
        if too_deep and not defensive_rebound:
            conflict_penalty += 0.12
        if trend_relay - washout_repair > 1.00 and not near_high:
            conflict_penalty += 0.14 * (trend_relay - washout_repair)
        if washout_repair - trend_relay > 1.05 and not repaired:
            conflict_penalty += 0.16 * (washout_repair - trend_relay)
        if overshot and drawdown < 8.0:
            conflict_penalty += 0.08
        if trading_days < 38.0:
            conflict_penalty += 0.10
        if realized_vol > 55.0 and branch != "breakout":
            conflict_penalty += 0.08

        quality_gate = 1.0 + 0.18 * _clamp(support_confirm, -0.8, 1.0)
        defense_gate = 1.0 + 0.14 * _clamp(franchise_defense, -0.8, 1.0)
        if branch in ("skeptical", "defense"):
            gate = 0.55 * quality_gate + 0.45 * defense_gate
        else:
            gate = 0.70 * quality_gate + 0.30 * defense_gate

        score = core * gate - conflict_penalty

        if branch == "breakout" and relay_candidate and trend_relay > 0.45:
            score += 0.06
        if branch == "repair" and repaired_washout and support_confirm > 0.15:
            score += 0.08
        if branch == "skeptical" and defensive_rebound and support_confirm > 0.20:
            score += 0.05
        if branch == "defense" and defensive_rebound and franchise_defense > 0.35 and income_ok:
            score += 0.07

        scores[symbol] = score

    return scores