exp_1174

FORMULA_NAME = "Contrarian 52-Week Regime Momentum Hybrid (Conflict-Arbitrated Relay, v1174)"
LOGIC_VARIANT_COUNT = 4
NOTES = """mode=explore; family=contrarian-52w-regime-momentum-hybrid
New hybrid family built as a conflict-arbitrated relay instead of a static blend: every stock competes through three sleeves, a deep-52-week contrarian repair sleeve, a trend-confirmed momentum sleeve, and a durability sleeve, and the regime branch decides which sleeve is allowed to dominate when those signals disagree. The arbitration is explicit: broken drawdowns are rejected unless repair evidence is present, momentum leaders are taxed when they are too extended or low-quality, and fractured tapes route toward whichever sleeve has the stronger case only if durability confirms it.
Deliberate metric coverage this run: active momentum uses return_1m_pct, return_3m_pct, return_6m_pct, return_12m_pct, and momentum_12_1_pct; trend/recovery uses both from_200d_ma_pct and from_52w_high_pct; volatility uses realized_vol_3m; liquidity uses avg_daily_volume_3m, avg_daily_dollar_volume_3m, and trading_days_3m; income uses dividend_yield_ttm_pct and dividend_ttm; valuation uses pe, forward_pe, and peg; growth uses eps_growth_pct, revenue_growth_pct, operating_income_growth_pct, free_cash_flow_growth_pct, and forward_eps; quality uses operating_margin_pct and free_cash_flow_margin_pct; size uses market_cap only as a regime/gate tilt rather than a raw rank. Deliberate weight-0 metrics this run: shares_outstanding, close, adj_close, high_52w, ma_200d, eps_ttm, revenue_ttm, operating_income_ttm, and free_cash_flow_ttm. Sparse fundamentals are normalized by present weight inside each sleeve so missing fields do not mechanically dominate selection."""

ACTIVE_METRICS = (
    "return_1m_pct",
    "return_3m_pct",
    "return_6m_pct",
    "return_12m_pct",
    "momentum_12_1_pct",
    "from_200d_ma_pct",
    "from_52w_high_pct",
    "realized_vol_3m",
    "avg_daily_volume_3m",
    "avg_daily_dollar_volume_3m",
    "trading_days_3m",
    "dividend_yield_ttm_pct",
    "dividend_ttm",
    "pe",
    "forward_pe",
    "peg",
    "eps_growth_pct",
    "revenue_growth_pct",
    "operating_income_growth_pct",
    "free_cash_flow_growth_pct",
    "forward_eps",
    "operating_margin_pct",
    "free_cash_flow_margin_pct",
)

CONTRARIAN_WEIGHTS = {
    "from_52w_high_pct": (0.24, -1),
    "from_200d_ma_pct": (0.10, -1),
    "return_12m_pct": (0.13, -1),
    "return_1m_pct": (0.10, 1),
    "return_3m_pct": (0.08, 1),
    "momentum_12_1_pct": (0.06, 1),
    "realized_vol_3m": (0.06, -1),
    "avg_daily_dollar_volume_3m": (0.04, 1),
    "trading_days_3m": (0.03, 1),
    "pe": (0.04, -1),
    "forward_pe": (0.03, -1),
    "peg": (0.03, -1),
    "eps_growth_pct": (0.02, 1),
    "revenue_growth_pct": (0.01, 1),
    "operating_income_growth_pct": (0.01, 1),
    "free_cash_flow_growth_pct": (0.01, 1),
    "forward_eps": (0.01, 1),
}

MOMENTUM_WEIGHTS = {
    "momentum_12_1_pct": (0.24, 1),
    "return_6m_pct": (0.20, 1),
    "return_3m_pct": (0.12, 1),
    "return_1m_pct": (0.06, 1),
    "return_12m_pct": (0.06, 1),
    "from_200d_ma_pct": (0.11, 1),
    "from_52w_high_pct": (0.08, 1),
    "realized_vol_3m": (0.04, -1),
    "avg_daily_volume_3m": (0.03, 1),
    "avg_daily_dollar_volume_3m": (0.03, 1),
    "trading_days_3m": (0.02, 1),
    "eps_growth_pct": (0.03, 1),
    "revenue_growth_pct": (0.02, 1),
    "operating_income_growth_pct": (0.02, 1),
    "free_cash_flow_growth_pct": (0.02, 1),
    "forward_eps": (0.02, 1),
    "operating_margin_pct": (0.02, 1),
}

DURABILITY_WEIGHTS = {
    "realized_vol_3m": (0.14, -1),
    "operating_margin_pct": (0.13, 1),
    "free_cash_flow_margin_pct": (0.13, 1),
    "dividend_yield_ttm_pct": (0.09, 1),
    "dividend_ttm": (0.05, 1),
    "pe": (0.05, -1),
    "forward_pe": (0.05, -1),
    "peg": (0.04, -1),
    "avg_daily_volume_3m": (0.05, 1),
    "avg_daily_dollar_volume_3m": (0.05, 1),
    "trading_days_3m": (0.03, 1),
    "eps_growth_pct": (0.04, 1),
    "revenue_growth_pct": (0.03, 1),
    "operating_income_growth_pct": (0.03, 1),
    "free_cash_flow_growth_pct": (0.03, 1),
    "forward_eps": (0.03, 1),
    "from_200d_ma_pct": (0.02, 1),
    "return_12m_pct": (0.02, 1),
}

def _value(row, key):
    return row.get(key)

def _weighted_z(symbol, z_cache, weights):
    total = 0.0
    present = 0.0
    for metric, spec in weights.items():
        weight = spec[0]
        direction = spec[1]
        zmap = z_cache.get(metric)
        if zmap is None:
            continue
        val = zmap.get(symbol)
        if val is None:
            continue
        total += weight * direction * val
        present += weight
    if present <= 0.0:
        return 0.0
    return total / present

def _branch(regime):
    breadth = regime.get("breadth")
    vol = regime.get("avg_realized_vol_3m")
    median_mom = regime.get("median_momentum_12_1_pct")
    median_trend = regime.get("median_from_200d_ma_pct")
    bull = regime.get("bull")

    breadth = 0.5 if breadth is None else breadth
    vol = 28.0 if vol is None else vol
    median_mom = 0.0 if median_mom is None else median_mom
    median_trend = 0.0 if median_trend is None else median_trend
    bull = bool(bull)

    if (not bull and (breadth < 0.47 or vol > 37.0)) or vol > 44.0:
        return "risk_off"
    if bull and breadth >= 0.62 and median_mom >= 4.0 and median_trend >= 1.5:
        return "leader"
    if breadth >= 0.50 and median_mom > -3.0 and median_trend > -8.0:
        return "repair"
    return "fracture"

def score_universe(stocks, regime, ctx):
    z_cache = {}
    for metric in ACTIVE_METRICS:
        z_cache[metric] = ctx.z(metric)

    branch = _branch(regime)
    scores = {}

    for row in stocks:
        symbol = row["symbol"]

        contrarian = _weighted_z(symbol, z_cache, CONTRARIAN_WEIGHTS)
        momentum = _weighted_z(symbol, z_cache, MOMENTUM_WEIGHTS)
        durability = _weighted_z(symbol, z_cache, DURABILITY_WEIGHTS)

        from_52w = _value(row, "from_52w_high_pct")
        from_200d = _value(row, "from_200d_ma_pct")
        ret_1m = _value(row, "return_1m_pct")
        ret_3m = _value(row, "return_3m_pct")
        ret_6m = _value(row, "return_6m_pct")
        mom_12_1 = _value(row, "momentum_12_1_pct")
        vol = _value(row, "realized_vol_3m")
        trading_days = _value(row, "trading_days_3m")
        dollar_vol = _value(row, "avg_daily_dollar_volume_3m")
        div_yield = _value(row, "dividend_yield_ttm_pct")
        div_cash = _value(row, "dividend_ttm")
        market_cap = _value(row, "market_cap")
        op_margin = _value(row, "operating_margin_pct")
        fcf_margin = _value(row, "free_cash_flow_margin_pct")

        deep_drawdown = from_52w is not None and from_52w <= -25.0
        washed_out = from_52w is not None and from_52w <= -38.0
        catastrophic = (
            (from_52w is not None and from_52w <= -58.0) or
            (from_200d is not None and from_200d <= -30.0)
        )

        repair_ready = (
            deep_drawdown and
            ret_1m is not None and ret_1m > 0.5 and
            ret_3m is not None and ret_3m > -3.0 and
            from_200d is not None and from_200d > -18.0
        )

        leader_ready = (
            ret_6m is not None and ret_6m > 8.0 and
            mom_12_1 is not None and mom_12_1 > 3.0 and
            from_200d is not None and from_200d > 0.0
        )

        liquid = (
            trading_days is not None and trading_days >= 55 and
            dollar_vol is not None and dollar_vol >= 3000000.0
        )

        quality_ok = (
            ((op_margin is not None and op_margin > 4.0) or
             (fcf_margin is not None and fcf_margin > 2.0))
        )

        income_ok = (
            (div_yield is not None and div_yield > 0.6) or
            (div_cash is not None and div_cash > 0.0)
        )

        mega_cap = market_cap is not None and market_cap >= 120000000000.0
        large_cap = market_cap is not None and market_cap >= 20000000000.0

        disagreement = contrarian - momentum
        disagreement_penalty = 0.10 * abs(disagreement)

        repair_bonus = 0.0
        if repair_ready:
            repair_bonus += 0.18
        if washed_out and quality_ok:
            repair_bonus += 0.10
        if catastrophic and not quality_ok:
            repair_bonus -= 0.26
        if not liquid:
            repair_bonus -= 0.08

        leader_bonus = 0.0
        if leader_ready:
            leader_bonus += 0.16
        if quality_ok:
            leader_bonus += 0.06
        if from_52w is not None and from_52w > -2.0:
            leader_bonus -= 0.10
        if vol is not None and vol > 42.0:
            leader_bonus -= 0.12

        durability_bonus = 0.0
        if income_ok:
            durability_bonus += 0.07
        if large_cap:
            durability_bonus += 0.04
        if mega_cap:
            durability_bonus += 0.02
        if not liquid:
            durability_bonus -= 0.10

        if branch == "leader":
            score = (
                0.62 * momentum +
                0.21 * durability +
                0.17 * contrarian +
                leader_bonus +
                (0.08 if leader_ready and quality_ok else 0.0) +
                (0.05 if repair_ready and momentum > 0.25 else 0.0) -
                (0.12 if deep_drawdown and not repair_ready else 0.0) -
                0.70 * disagreement_penalty
            )
        elif branch == "repair":
            score = (
                0.50 * contrarian +
                0.28 * durability +
                0.22 * momentum +
                repair_bonus +
                (0.07 if repair_ready and quality_ok else 0.0) +
                (0.04 if washed_out and income_ok else 0.0) -
                (0.10 if leader_ready and from_52w is not None and from_52w > -5.0 else 0.0) -
                0.55 * disagreement_penalty
            )
        elif branch == "risk_off":
            score = (
                0.56 * durability +
                0.24 * momentum +
                0.20 * contrarian +
                durability_bonus +
                (0.06 if quality_ok and income_ok else 0.0) -
                (0.18 if washed_out and not repair_ready else 0.0) -
                (0.10 if vol is not None and vol > 40.0 else 0.0) -
                0.45 * disagreement_penalty
            )
        else:
            relay_bonus = 0.0
            if disagreement > 0.45 and repair_ready:
                relay_bonus += 0.10
            elif disagreement < -0.45 and leader_ready:
                relay_bonus += 0.10
            elif abs(disagreement) <= 0.20 and quality_ok:
                relay_bonus += 0.08

            score = (
                0.36 * contrarian +
                0.36 * momentum +
                0.28 * durability +
                relay_bonus +
                (0.05 if liquid and quality_ok else 0.0) -
                (0.14 if washed_out and not repair_ready else 0.0) -
                (0.10 if leader_ready and deep_drawdown and not quality_ok else 0.0) -
                0.80 * disagreement_penalty
            )

        scores[symbol] = score

    return scores