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Every tunable parameter lives here so that notebooks and scripts have a
single source of truth.
Architecture:
Layer 1 (Raw Collection) -> data/{source}/
Layer 2 (Preprocessing) -> data/processed/{GRANULARITY}/
Layer 3 (Benchmark) -> data/benchmark/{GRANULARITY}/
"""
from pathlib import Path
# ---------------------------------------------------------------------------
# Paths -- Layer 1 (raw data)
# ---------------------------------------------------------------------------
import os as _os
BASE_DIR = Path(__file__).resolve().parent
# Small-cap rebuild: all data lives under data_small_caps/ for the
# clean-slate small-cap-and-below universe rebuild (Apr 2026).
DATA_DIR = BASE_DIR / _os.environ.get("WHATIF_DATA_DIR", "data_small_caps")
UNIVERSE_DIR = DATA_DIR / "universe"
FUNDAMENTALS_DIR = DATA_DIR / "fundamentals"
PRICES_DIR = DATA_DIR / "prices"
FILINGS_DIR = DATA_DIR / "filings"
MACRO_DIR = DATA_DIR / "macro"
REAL_ESTATE_DIR = DATA_DIR / "real_estate"
NEWS_DIR = DATA_DIR / "news"
XBRL_DIR = DATA_DIR / "xbrl"
# ---------------------------------------------------------------------------
# Paths -- Layer 2 & 3 (derived from GRANULARITY)
# ---------------------------------------------------------------------------
GRANULARITY: str = "daily" # "daily", "weekly", or "monthly"
def get_processed_dir(granularity: str | None = None) -> Path:
"""Return the processed-data directory for *granularity* (default: GRANULARITY)."""
return DATA_DIR / "processed" / (granularity or GRANULARITY)
def get_benchmark_dir(granularity: str | None = None) -> Path:
"""Return the benchmark-output directory for *granularity* (default: GRANULARITY)."""
return DATA_DIR / "benchmark" / (granularity or GRANULARITY)
# Legacy module-level aliases (point to the default granularity).
# Use the functions above when the caller might override granularity.
PROCESSED_DIR = get_processed_dir()
BENCHMARK_DIR = get_benchmark_dir()
# ---------------------------------------------------------------------------
# Date range (fixed for reproducibility)
# ---------------------------------------------------------------------------
START_DATE = "2021-01-01"
END_DATE = "2026-04-01"
START_YEAR = int(START_DATE[:4]) # 2021 — used by collect_filings.py
END_YEAR = int(END_DATE[:4]) # 2026 — used by collect_filings.py
# ---------------------------------------------------------------------------
# Global reproducibility seed
# ---------------------------------------------------------------------------
BENCHMARK_SEED = 42
# ---------------------------------------------------------------------------
# Ticker universe
# ---------------------------------------------------------------------------
# iShares Russell 2000 ETF holdings CSV URL
IWM_HOLDINGS_URL = (
"https://www.ishares.com/us/products/239710/"
"ishares-russell-2000-etf/1467271812596.ajax?"
"fileType=csv&fileName=IWM_holdings&dataType=fund"
)
# iShares Core S&P SmallCap ETF (IJR) — tracks S&P SmallCap 600 index
# Defines official "small-cap" range: $1B – $7.4B (S&P methodology, 2025).
IJR_HOLDINGS_URL = (
"https://www.ishares.com/us/products/239774/"
"ishares-core-sp-smallcap-etf/1467271812596.ajax?"
"fileType=csv&fileName=IJR_holdings&dataType=fund"
)
# iShares Micro-Cap ETF holdings CSV URL (micro-caps below small-cap threshold)
IWC_HOLDINGS_URL = (
"https://www.ishares.com/us/products/239724/"
"ishares-microcap-etf/1467271812596.ajax?"
"fileType=csv&fileName=IWC_holdings&dataType=fund"
)
# Market-cap upper bound for the "small-cap and below" universe.
# $7.4B = official S&P 600 SmallCap upper bound (S&P Dow Jones Indices, 2025).
# Tickers with median derived_market_cap above this are filtered out as
# mid-cap or larger and excluded from the benchmark.
SMALL_CAP_MAX_MEDIAN_MCAP: float = 7.4e9
# Market-cap percentile threshold to label "lower end" of Russell 2000
LOWER_END_PERCENTILE = 50 # bottom 50 %
# Cap the total number of tickers (set to None for full universe)
MAX_TICKERS: int | None = None
# Tickers excluded from the universe (none — filter is applied via market cap).
EXCLUDED_TICKERS: list[str] = []
# ---------------------------------------------------------------------------
# Fundamentals collection
# ---------------------------------------------------------------------------
FUNDAMENTALS_WORKERS = 2 # ThreadPoolExecutor parallelism (low to avoid yfinance rate limits)
# ---------------------------------------------------------------------------
# Price collection
# ---------------------------------------------------------------------------
PRICE_BATCH_SIZE = 50 # tickers per yf.download() call
# ---------------------------------------------------------------------------
# SEC filings
# ---------------------------------------------------------------------------
SEC_FILING_TYPES: list[str] = ["10-K", "10-Q", "8-K", "20-F", "6-K", "N-CSR", "N-CSRS"]
SEC_FILING_WORKERS = 4 # asyncio.Semaphore concurrency
# ---------------------------------------------------------------------------
# FRED macro series
# ---------------------------------------------------------------------------
FRED_SERIES: dict[str, str] = {
# ── Rates & monetary policy ──
"FEDFUNDS": "Federal Funds Effective Rate",
"SOFR": "Secured Overnight Financing Rate",
"DGS2": "2-Year Treasury Constant Maturity Rate",
"DGS10": "10-Year Treasury Constant Maturity Rate",
"DGS30": "30-Year Treasury Constant Maturity Rate",
"T10Y3M": "10-Year Treasury Minus 3-Month Treasury",
"T10Y2Y": "10-Year Treasury Minus 2-Year Treasury",
"MORTGAGE30US": "30-Year Fixed Rate Mortgage Average",
# ── Equity & volatility ──
"SP500": "S&P 500 Index",
"NASDAQCOM": "NASDAQ Composite Index",
"DJIA": "Dow Jones Industrial Average",
"VIXCLS": "CBOE Volatility Index (VIX)",
# ── Commodities (FRED daily) ──
"DCOILWTICO": "Crude Oil Prices: West Texas Intermediate (WTI)",
"DHHNGSP": "Henry Hub Natural Gas Spot Price",
# ── Currency & exchange rates ──
"DTWEXBGS": "Trade Weighted U.S. Dollar Index",
"DEXUSEU": "U.S. / Euro Foreign Exchange Rate",
"DEXJPUS": "Japan / U.S. Foreign Exchange Rate",
"DEXUSUK": "U.S. / U.K. Foreign Exchange Rate",
"DEXCHUS": "China / U.S. Foreign Exchange Rate",
# ── Inflation & prices ──
"CPIAUCSL": "Consumer Price Index For All Urban Consumers (All Items)",
"CPILFESL": "Consumer Price Index Less Food and Energy (Core CPI)",
"PPIACO": "Producer Price Index (All Commodities)",
"T10YIE": "10-Year Breakeven Inflation Rate",
"T5YIE": "5-Year Breakeven Inflation Rate",
"PCEPI": "Personal Consumption Expenditures: Chain-type Price Index",
# ── Labor market ──
"UNRATE": "Unemployment Rate",
"ICSA": "Initial Claims (Weekly Jobless Claims)",
"PAYEMS": "All Employees Total Nonfarm (Payrolls)",
"JTSJOL": "Job Openings: Total Nonfarm (JOLTS)",
"CES0500000003": "Average Hourly Earnings of All Employees (Total Private)",
# ── Credit & financial stress ──
"BAMLH0A0HYM2": "ICE BofA US High Yield Option-Adjusted Spread",
"BAMLC0A0CM": "ICE BofA US Corporate Master Option-Adjusted Spread",
"TEDRATE": "TED Spread (3-Month LIBOR minus 3-Month T-Bill)",
"STLFSI2": "St. Louis Fed Financial Stress Index",
"NFCI": "Chicago Fed National Financial Conditions Index",
# ── Economic activity ──
"INDPRO": "Industrial Production Index",
"RSAFS": "Advance Retail Sales: Retail and Food Services",
"UMCSENT": "University of Michigan Consumer Sentiment",
"TOTALSA": "Total Vehicle Sales",
"PERMIT": "New Privately-Owned Housing Units Authorized (Building Permits)",
# ── Housing ──
"CSUSHPISA": "S&P/Case-Shiller U.S. National Home Price Index",
"HOUST": "Housing Starts: Total New Privately Owned",
# ── Money supply & central bank ──
"M2SL": "M2 Money Stock",
"BOGMBASE": "Monetary Base; Total",
"WALCL": "Federal Reserve Total Assets (Balance Sheet)",
# ── Business lending ──
"BUSLOANS": "Commercial and Industrial Loans, All Commercial Banks",
}
# ---------------------------------------------------------------------------
# Real estate metros (address anchors for RentCast radius search)
# ---------------------------------------------------------------------------
_ALL_METROS: list[str] = [
# ── Top 20 (original) ──
"350 5th Ave, New York, NY 10118",
"233 S Wacker Dr, Chicago, IL 60606",
"1000 Vin Scully Ave, Los Angeles, CA 90012",
"600 Travis St, Houston, TX 77002",
"400 S Tryon St, Charlotte, NC 28202",
"100 Peachtree St NW, Atlanta, GA 30303",
"200 E Las Olas Blvd, Fort Lauderdale, FL 33301",
"700 2nd Ave S, Nashville, TN 37210",
"1 N Central Ave, Phoenix, AZ 85004",
"2001 Ross Ave, Dallas, TX 75201",
"200 E Colfax Ave, Denver, CO 80203",
"1 S Broad St, Philadelphia, PA 19107",
"100 Summer St, Boston, MA 02110",
"700 5th Ave, Seattle, WA 98104",
"50 Fremont St, San Francisco, CA 94105",
"401 E Pratt St, Baltimore, MD 21202",
"1 S Main St, Salt Lake City, UT 84111",
"400 S Orange Ave, Orlando, FL 32801",
"100 NE 2nd Ave, Portland, OR 97232",
"325 John Knox Rd, Tallahassee, FL 32303",
# ── 21-40: Large metros ──
"1 Riverfront Plz, Newark, NJ 07102",
"100 N Main St, Memphis, TN 38103",
"200 W Washington St, Indianapolis, IN 46204",
"100 S Main St, Las Vegas, NV 89101",
"600 E Market St, San Antonio, TX 78205",
"200 E Pratt St, Milwaukee, WI 53202",
"100 N Broadway, Oklahoma City, OK 73102",
"500 Main St, Louisville, KY 40202",
"100 N Main St, Richmond, VA 23219",
"1 S Pinckney St, Madison, WI 53703",
"200 E Main St, Norfolk, VA 23510",
"100 W Capitol Ave, Little Rock, AR 72201",
"100 S Main St, Tulsa, OK 74103",
"1 Canal St, New Orleans, LA 70130",
"100 E Capitol St, Jackson, MS 39201",
"200 W Adams St, Jacksonville, FL 32202",
"100 N Main St, Wichita, KS 67202",
"100 State St, Hartford, CT 06103",
"1 Exchange Pl, Providence, RI 02903",
"100 N Tryon St, Raleigh, NC 27601",
# ── 41-60: Mid-size metros ──
"200 E Main St, Lexington, KY 40507",
"100 N Main St, Dayton, OH 45402",
"100 W 10th St, Wilmington, DE 19801",
"100 S Main St, Akron, OH 44308",
"200 N Main St, Greenville, SC 29601",
"100 E Washington St, Boise, ID 83702",
"1 City Hall Plz, Durham, NC 27701",
"100 W Trade St, Winston-Salem, NC 27101",
"100 S Virginia St, Reno, NV 89501",
"200 E Main St, Chattanooga, TN 37402",
"100 N Main St, Columbia, SC 29201",
"1 S Main St, Spokane, WA 99201",
"100 E Congress St, Tucson, AZ 85701",
"200 W Markham St, Birmingham, AL 35203",
"100 S Main St, Omaha, NE 68102",
"100 W Broad St, Columbus, OH 43215",
"100 W Michigan Ave, Kalamazoo, MI 49007",
"200 N Main St, Ann Arbor, MI 48104",
"100 E 8th St, Cincinnati, OH 45202",
"100 S 4th St, Minneapolis, MN 55401",
# ── 61-80: Growing metros ──
"100 N Main St, Knoxville, TN 37902",
"200 W Camelback Rd, Scottsdale, AZ 85251",
"100 S State St, Provo, UT 84601",
"100 N College Ave, Fort Collins, CO 80524",
"200 E Main St, Lakeland, FL 33801",
"100 S Main St, Savannah, GA 31401",
"100 W Liberty St, Roanoke, VA 24011",
"200 E Bay St, Charleston, SC 29401",
"100 N Main St, Greensburg, PA 15601",
"100 S Palafox St, Pensacola, FL 32502",
"200 W Capitol Dr, Baton Rouge, LA 70801",
"100 E Main St, Mesa, AZ 85201",
"100 N Central Ave, St. Louis, MO 63101",
"200 Ross St, Pittsburgh, PA 15219",
"100 Woodward Ave, Detroit, MI 48226",
"100 W Main St, Bozeman, MT 59715",
"100 S 1st Ave, Sioux Falls, SD 57104",
"200 N Main St, Santa Fe, NM 87501",
"100 N Stone Ave, Albuquerque, NM 87102",
"100 S Capitol Blvd, Boise, ID 83702",
# ── 81-100: Smaller / emerging metros ──
"200 E Main St, Asheville, NC 28801",
"100 Congress Ave, Austin, TX 78701",
"200 E Commerce St, San Jose, CA 95113",
"100 W Flagler St, Miami, FL 33130",
"200 S Orange Ave, Sarasota, FL 34236",
"100 N Main St, Gainesville, FL 32601",
"200 E College Ave, Tallahassee, FL 32301",
"100 N Main St, Fayetteville, AR 72701",
"100 E Market St, Des Moines, IA 50309",
"200 N Main St, McAllen, TX 78501",
"100 S Broadway, Wichita Falls, TX 76301",
"100 W Front St, Missoula, MT 59802",
"200 E Main St, Rapid City, SD 57701",
"100 N 1st St, Bismarck, ND 58501",
"200 W Superior St, Duluth, MN 55802",
"100 E Main St, Rochester, NY 14604",
"200 S Warren St, Syracuse, NY 13202",
"100 Main St, Buffalo, NY 14202",
"200 E State St, Trenton, NJ 08608",
"100 S Main St, Harrisburg, PA 17101",
]
# For testing: set MAX_METROS to limit (None = all 100)
MAX_METROS: int | None = None
METROS: list[str] = _ALL_METROS[:MAX_METROS] if MAX_METROS else _ALL_METROS
RENTCAST_PROPERTY_TYPES = ["Multi-Family", "Apartment", "Single Family", "Condo", "Townhouse"]
RENTCAST_RADIUS_MILES = 5.0
RENTCAST_MAX_RESULTS = 500 # max properties per endpoint per metro (1 page)
# ---------------------------------------------------------------------------
# Preprocessing (Layer 2)
# ---------------------------------------------------------------------------
# Key metrics to extract from per-ticker financial statement CSVs
INCOME_KEYS: dict[str, str] = {
"Total Revenue": "stmt_revenue",
"Net Income": "stmt_net_income",
"EBITDA": "stmt_ebitda",
"EBIT": "stmt_ebit",
"Gross Profit": "stmt_gross_profit",
"Operating Income": "stmt_operating_income",
"Basic EPS": "stmt_basic_eps",
# Valuation inputs (WACC / effective tax rate / cost of debt)
"Tax Provision": "stmt_tax_provision",
"Pretax Income": "stmt_pretax_income",
"Interest Expense": "stmt_interest_expense",
"Tax Rate For Calcs": "stmt_tax_rate",
# Income-statement detail items
"Cost Of Revenue": "stmt_cogs",
"Operating Expense": "stmt_operating_expenses",
}
BALANCE_KEYS: dict[str, str] = {
"Total Assets": "stmt_total_assets",
"Total Liabilities Net Minority Interest": "stmt_total_liabilities",
"Total Debt": "stmt_total_debt",
"Total Equity Gross Minority Interest": "stmt_total_equity",
"Cash And Cash Equivalents": "stmt_cash",
"Ordinary Shares Number": "stmt_shares_outstanding",
"Share Issued": "stmt_shares_issued",
# Balance-sheet detail items
"Accounts Receivable": "stmt_accounts_receivable",
"Net Receivables": "stmt_accounts_receivable",
"Inventory": "stmt_inventory",
"Current Assets": "stmt_current_assets",
"Net PPE": "stmt_ppe_net",
"Goodwill": "stmt_goodwill",
"Accounts Payable": "stmt_accounts_payable",
"Current Liabilities": "stmt_current_liabilities",
"Long Term Debt": "stmt_lt_debt",
}
CASHFLOW_KEYS: dict[str, str] = {
"Operating Cash Flow": "stmt_operating_cashflow",
"Free Cash Flow": "stmt_free_cashflow",
"Capital Expenditure": "stmt_capex",
"Financing Cash Flow": "stmt_financing_cashflow",
}
# XBRL tag → stmt_ column mapping (SEC EDGAR).
# Each stmt_ column maps to a list of XBRL tags tried in priority order;
# the first non-null value wins. Tags are US-GAAP concepts reported in
# 10-K / 10-Q filings stored in data/xbrl/parsed/company_facts.parquet.
XBRL_TAG_MAP: dict[str, list[str]] = {
"stmt_revenue": [
"Revenues",
"RevenueFromContractWithCustomerExcludingAssessedTax",
"SalesRevenueNet",
"RevenueFromContractWithCustomerIncludingAssessedTax",
# Banking / Financial Services equivalents
"InterestAndDividendIncomeOperating",
"InterestIncomeExpenseNet",
"NetInterestIncome",
"NoninterestIncome",
"FinancialServicesRevenue",
# Insurance equivalents
"PremiumsEarnedNet",
"InsuranceServicesRevenue",
"PremiumsWrittenNet",
# IFRS equivalents
"Revenue",
"RevenueFromContractsWithCustomers",
],
"stmt_net_income": [
"NetIncomeLoss",
# IFRS
"ProfitLoss",
"ProfitLossAttributableToOwnersOfParent",
],
"stmt_ebit": [
"OperatingIncomeLoss",
# IFRS
"ProfitLossBeforeFinanceCostsAndTax",
"OperatingProfitLoss",
],
"stmt_gross_profit": [
"GrossProfit",
],
"stmt_operating_income": [
"OperatingIncomeLoss",
# IFRS
"ProfitLossFromOperatingActivities",
"OperatingProfitLoss",
],
"stmt_basic_eps": [
"EarningsPerShareBasic",
# IFRS
"BasicEarningsLossPerShare",
],
"stmt_tax_provision": [
"IncomeTaxExpenseBenefit",
# IFRS
"IncomeTaxExpenseContinuingOperations",
],
"stmt_pretax_income": [
"IncomeLossFromContinuingOperationsBeforeIncomeTaxesExtraordinaryItemsNoncontrollingInterest",
# IFRS
"ProfitLossBeforeTax",
],
"stmt_interest_expense": [
"InterestExpense",
# IFRS
"FinanceCosts",
"InterestExpenseOnBorrowings",
],
"stmt_operating_cashflow": [
"NetCashProvidedByUsedInOperatingActivities",
# IFRS
"CashFlowsFromUsedInOperatingActivities",
],
"stmt_capex": [
"PaymentsToAcquirePropertyPlantAndEquipment",
# IFRS
"PurchaseOfPropertyPlantAndEquipmentClassifiedAsInvestingActivities",
],
"stmt_total_assets": ["Assets"],
"stmt_total_liabilities": ["Liabilities"],
"stmt_total_debt": [
"LongTermDebt",
"LongTermDebtNoncurrent",
# IFRS
"NoncurrentFinancialLiabilities",
"BorrowingsNoncurrent",
"NoncurrentPortionOfNoncurrentBorrowings",
],
"stmt_total_equity": [
"StockholdersEquity",
"StockholdersEquityIncludingPortionAttributableToNoncontrollingInterest",
# IFRS
"Equity",
"EquityAttributableToOwnersOfParent",
],
"stmt_cash": [
"CashAndCashEquivalentsAtCarryingValue",
"CashCashEquivalentsRestrictedCashAndRestrictedCashEquivalents",
# IFRS
"CashAndCashEquivalents",
],
"stmt_shares_outstanding": [
"CommonStockSharesOutstanding",
"EntityCommonStockSharesOutstanding",
# Fallback: weighted-average for dual-class companies (CRWD, DDOG, etc.)
"WeightedAverageNumberOfSharesOutstandingBasic",
"WeightedAverageNumberOfDilutedSharesOutstanding",
"CommonSharesOutstanding",
],
"stmt_shares_issued": [
"CommonStockSharesIssued",
# IFRS
"IssuedCapital",
],
# ── Balance-sheet detail items ──
"stmt_accounts_receivable": [
"AccountsReceivableNetCurrent",
"AccountsReceivableNet",
# IFRS
"TradeAndOtherCurrentReceivables",
],
"stmt_inventory": [
"InventoryNet",
"Inventories",
# IFRS
"CurrentInventories",
],
"stmt_current_assets": [
"AssetsCurrent",
# IFRS
"CurrentAssets",
],
"stmt_ppe_net": [
"PropertyPlantAndEquipmentNet",
# IFRS
"PropertyPlantAndEquipment",
],
"stmt_goodwill": [
"Goodwill",
# IFRS
"GoodwillGross",
],
"stmt_accounts_payable": [
"AccountsPayableCurrent",
"AccountsPayable",
# IFRS
"TradeAndOtherCurrentPayables",
],
"stmt_current_liabilities": [
"LiabilitiesCurrent",
# IFRS
"CurrentLiabilities",
],
"stmt_lt_debt": [
"LongTermDebtNoncurrent",
"LongTermDebt",
"LongTermDebtAndCapitalLeaseObligations",
# IFRS
"NoncurrentFinancialLiabilities",
"BorrowingsNoncurrent",
],
# ── Income-statement detail items ──
"stmt_cogs": [
"CostOfGoodsAndServicesSold",
"CostOfRevenue",
"CostOfGoodsSold",
# IFRS
"CostOfSales",
],
"stmt_operating_expenses": [
"OperatingExpenses",
# IFRS
"AdministrativeExpense",
],
# ── Cash-flow detail items ──
"stmt_financing_cashflow": [
"NetCashProvidedByUsedInFinancingActivities",
# IFRS
"CashFlowsFromUsedInFinancingActivities",
],
}
# Auxiliary XBRL tags used to derive composite metrics (EBITDA, FCF, tax rate).
XBRL_DA_TAGS: list[str] = [
"DepreciationDepletionAndAmortization",
"DepreciationAndAmortization",
"Depreciation",
# IFRS
"DepreciationAmortisationAndImpairmentLossReversalOfImpairmentLossRecognisedInProfitOrLoss",
"DepreciationAndAmortisationExpense",
]
# ---------------------------------------------------------------------------
# Benchmark assembly (Layer 3)
# ---------------------------------------------------------------------------
# Temporal split configuration.
# Set TEMPORAL_SPLIT_DATE to a fixed date string (e.g. "2024-01-01") to split
# at that exact date, OR set it to None and use TEMPORAL_SPLIT_RATIO instead.
TEMPORAL_SPLIT_DATE: str | None = None
# Train fraction of unique panel dates (e.g. 0.7 = 70% train, 30% test).
# Only used when TEMPORAL_SPLIT_DATE is None.
TEMPORAL_SPLIT_RATIO: float = 0.7
# Forecasting task parameters -- granularity-aware.
# Values are in *panel periods* (not calendar days).
# daily: 5d≈1w, 21d≈1mo, 63d≈1q, 126d≈6mo, 252d≈1y
# weekly: 4w≈1mo, 13w≈1q, 26w≈6mo, 52w≈1y
# monthly: 1mo, 3mo≈1q, 6mo, 12mo≈1y
HORIZONS_BY_GRANULARITY: dict[str, list[int]] = {
"daily": [5, 21, 63, 126, 252],
"weekly": [4, 13, 26, 52],
"monthly": [1, 3, 6, 12],
}
LOOKBACK_WINDOWS_BY_GRANULARITY: dict[str, list[int]] = {
"daily": [63, 126, 252],
"weekly": [13, 26, 52],
"monthly": [3, 6, 12],
}
# Legacy flat aliases (default granularity) -- prefer the dicts above.
HORIZONS: list[int] = HORIZONS_BY_GRANULARITY[GRANULARITY]
LOOKBACK_WINDOWS: list[int] = LOOKBACK_WINDOWS_BY_GRANULARITY[GRANULARITY]
def get_horizons(granularity: str | None = None) -> list[int]:
"""Return forecast horizons for *granularity*."""
return HORIZONS_BY_GRANULARITY[granularity or GRANULARITY]
def get_lookback_windows(granularity: str | None = None) -> list[int]:
"""Return lookback windows for *granularity*."""
return LOOKBACK_WINDOWS_BY_GRANULARITY[granularity or GRANULARITY]
# ---------------------------------------------------------------------------
# Scenario detection thresholds (Layer 3 -- generate_scenarios.py)
# ---------------------------------------------------------------------------
# Fed funds: minimum absolute change in rate (percentage points) between
# consecutive monthly observations to flag as a rate-change event.
SCENARIO_FEDFUNDS_DELTA = 0.25 # 25 bps
# VIX: spike ratio -- current value / rolling mean must exceed this.
SCENARIO_VIX_SPIKE_RATIO = 1.4
SCENARIO_VIX_ROLLING_WINDOW = 63 # observations (daily)
# Oil (EIA commodity or FRED DCOILWTICO): pct move over rolling window.
SCENARIO_OIL_PCT_CHANGE = 0.09 # 9 %
SCENARIO_OIL_ROLLING_WINDOW = 21 # observations (daily)
# Natural gas: minimum percentage move over a rolling window.
SCENARIO_NATGAS_PCT_CHANGE = 0.15 # 15 %
SCENARIO_NATGAS_ROLLING_WINDOW = 4 # observations (weekly data)
# Market drawdown: minimum percentage drop in S&P 500 over a rolling window.
SCENARIO_SP500_DRAWDOWN = 0.025 # 2.5 %
SCENARIO_SP500_ROLLING_WINDOW = 21 # observations (daily)
# NASDAQ: minimum percentage move (crash or rally divergence).
SCENARIO_NASDAQ_PCT_CHANGE = 0.045 # 4.5 %
SCENARIO_NASDAQ_ROLLING_WINDOW = 21 # observations (daily)
# Yield curve: DGS10 - DGS2 spread thresholds.
SCENARIO_YIELD_CURVE_INVERSION = 0.0 # spread crosses below 0 = inversion
SCENARIO_YIELD_CURVE_STEEPENING = 0.50 # spread widens by ≥ 50bps over window
SCENARIO_YIELD_CURVE_WINDOW = 63 # observations (daily)
# Treasury rate (DGS10): large absolute move in 10-year yield.
SCENARIO_DGS10_DELTA = 0.45 # 45 bps move over window
SCENARIO_DGS10_ROLLING_WINDOW = 21 # observations (daily)
# USD index (DTWEXBGS): large percentage move in trade-weighted dollar.
SCENARIO_USD_PCT_CHANGE = 0.025 # 2.5 %
SCENARIO_USD_ROLLING_WINDOW = 21 # observations (daily)
# CPI / Inflation: large month-over-month change in annualized rate.
SCENARIO_CPI_MOM_THRESHOLD = 0.004 # 0.4% month-over-month (≈4.8% annualized)
# PPI: large month-over-month change.
SCENARIO_PPI_MOM_THRESHOLD = 0.01 # 1% month-over-month
# Unemployment: jump in rate between consecutive observations.
SCENARIO_UNRATE_DELTA = 0.3 # 30 bps increase
# Jobless claims (ICSA): spike ratio vs rolling mean.
SCENARIO_ICSA_SPIKE_RATIO = 1.3
SCENARIO_ICSA_ROLLING_WINDOW = 8 # observations (weekly)
# Payrolls (PAYEMS): large month-over-month change in thousands.
SCENARIO_PAYROLLS_DELTA = 0.002 # 0.2% month-over-month change
# High-yield credit spread: large move over rolling window.
SCENARIO_HY_SPREAD_DELTA = 1.0 # 100 bps widening/tightening over window
SCENARIO_HY_SPREAD_WINDOW = 21 # observations (daily)
# IG corporate spread: large move over rolling window.
SCENARIO_IG_SPREAD_DELTA = 0.30 # 30 bps over window
SCENARIO_IG_SPREAD_WINDOW = 21
# TED spread: spike above threshold.
SCENARIO_TED_SPIKE = 0.50 # 50 bps
# Financial stress index: large move.
SCENARIO_FSI_THRESHOLD = 1.0 # standard deviation units (index is z-scored)
# Mortgage rate: large move over rolling window.
SCENARIO_MORTGAGE_DELTA = 0.50 # 50 bps move over window
SCENARIO_MORTGAGE_ROLLING_WINDOW = 4 # observations (weekly)
# Consumer sentiment (UMCSENT): large drop.
SCENARIO_SENTIMENT_PCT_CHANGE = 0.10 # 10% drop
SCENARIO_SENTIMENT_ROLLING_WINDOW = 2 # observations (monthly)
# Industrial production: large month-over-month change.
SCENARIO_INDPRO_PCT_CHANGE = 0.01 # 1% month-over-month
# Retail sales: large month-over-month change.
SCENARIO_RETAIL_PCT_CHANGE = 0.02 # 2% month-over-month
# Housing starts: large month-over-month change.
SCENARIO_HOUSING_PCT_CHANGE = 0.10 # 10% month-over-month
# Home prices (Case-Shiller): year-over-year deceleration/acceleration.
SCENARIO_HOME_PRICE_YOY_DELTA = 0.03 # 3pp change in YoY rate
# Money supply (M2): year-over-year contraction.
SCENARIO_M2_YOY_THRESHOLD = -0.01 # YoY growth below -1% (contraction)
# 30-year Treasury: large move.
SCENARIO_DGS30_DELTA = 0.50 # 50 bps over window
SCENARIO_DGS30_ROLLING_WINDOW = 21
# Cross-asset: S&P 500 vs NASDAQ divergence.
SCENARIO_SP_NASDAQ_DIVERGENCE = 0.05 # 5% divergence over window
SCENARIO_SP_NASDAQ_WINDOW = 21
# VIX regime: sustained elevated volatility.
SCENARIO_VIX_REGIME_THRESHOLD = 25.0 # VIX above 25
SCENARIO_VIX_REGIME_MIN_DAYS = 10 # sustained for at least 10 days
# ── NEW: Major FX pair shocks (EUR, JPY, GBP, CNY) ──
SCENARIO_FX_PCT_CHANGE = 0.03 # 3% move over window
SCENARIO_FX_ROLLING_WINDOW = 21
# ── NEW: Breakeven inflation shocks (T10YIE, T5YIE) ──
SCENARIO_BEI_DELTA = 0.30 # 30 bps move over window
SCENARIO_BEI_ROLLING_WINDOW = 21
# ── NEW: DJIA large moves ──
SCENARIO_DJIA_PCT_CHANGE = 0.03 # 3% move over window
SCENARIO_DJIA_ROLLING_WINDOW = 21
# ── NEW: JOLTS job openings ──
SCENARIO_JOLTS_PCT_CHANGE = 0.05 # 5% month-over-month change
SCENARIO_JOLTS_DEDUP_DAYS = 28
# ── NEW: Average hourly earnings ──
SCENARIO_EARNINGS_MOM_THRESHOLD = 0.005 # 0.5% month-over-month
# ── NEW: Vehicle sales ──
SCENARIO_VEHICLE_PCT_CHANGE = 0.08 # 8% month-over-month
# ── NEW: Building permits ──
SCENARIO_PERMIT_PCT_CHANGE = 0.08 # 8% month-over-month
# ── NEW: Existing home sales ──
SCENARIO_EXISTING_HOME_SALES_PCT = 0.05 # 5% month-over-month
# ── NEW: Chicago Fed NFCI ──
SCENARIO_NFCI_THRESHOLD = 0.0 # NFCI crosses above 0 (tighter than avg)
# ── NEW: Fed balance sheet (WALCL) ──
SCENARIO_FED_BS_PCT_CHANGE = 0.05 # 5% change over window (quarterly)
SCENARIO_FED_BS_ROLLING_WINDOW = 13 # ~quarterly for weekly data
# ── NEW: Monetary base (BOGMBASE) ──
SCENARIO_MONETARY_BASE_PCT = 0.05 # 5% month-over-month
# ── NEW: Business loans (BUSLOANS) ──
SCENARIO_BUSLOANS_PCT_CHANGE = 0.02 # 2% month-over-month
# ── NEW: PCE inflation ──
SCENARIO_PCEPI_MOM_THRESHOLD = 0.004 # 0.4% month-over-month
# ── NEW: SOFR rate shocks ──
SCENARIO_SOFR_DELTA = 0.25 # 25 bps move
SCENARIO_SOFR_WINDOW = 10 # observations
# ── NEW: Cross-asset composites ──
# Real yield: DGS10 - T10YIE (breakeven inflation)
SCENARIO_REAL_YIELD_DELTA = 0.40 # 40 bps change in real yield
SCENARIO_REAL_YIELD_WINDOW = 21
# Credit compression: HY spread minus IG spread
SCENARIO_CREDIT_COMPRESSION_DELTA = 0.75 # 75 bps change
SCENARIO_CREDIT_COMPRESSION_WINDOW = 21
# Term premium: DGS30 - DGS2
SCENARIO_TERM_PREMIUM_DELTA = 0.50 # 50 bps change
SCENARIO_TERM_PREMIUM_WINDOW = 21
# ── NEW: Short-term shock windows (5-day) for daily series ──
SCENARIO_SP500_SHORT_DRAWDOWN = 0.03 # 3% over 5 days (acute crash)
SCENARIO_SP500_SHORT_WINDOW = 5
SCENARIO_NASDAQ_SHORT_PCT = 0.04 # 4% over 5 days
SCENARIO_NASDAQ_SHORT_WINDOW = 5
SCENARIO_OIL_SHORT_PCT = 0.08 # 8% over 5 days
SCENARIO_OIL_SHORT_WINDOW = 5
SCENARIO_DGS10_SHORT_DELTA = 0.25 # 25 bps over 5 days
SCENARIO_DGS10_SHORT_WINDOW = 5
# Pre/post event windows for scenario context (calendar days).
SCENARIO_PRE_WINDOW_DAYS = 63
SCENARIO_POST_WINDOW_DAYS = 63
# ---------------------------------------------------------------------------
# News collection (Layer 1 -- collect_news.py, Step 10)
# ---------------------------------------------------------------------------
NEWS_WORKERS = 4 # ThreadPoolExecutor parallelism for yfinance news
NEWS_PER_TICKER_COUNT = 50 # articles per ticker per tab (news / press releases)
NEWS_SCENARIO_LIMIT = 10 # Firecrawl results per scenario event
NEWS_RATE_LIMIT_SEC = 1.0 # seconds between API calls
# ---------------------------------------------------------------------------
# Synthetic property generation (agents/synthetic_re/)
# ---------------------------------------------------------------------------
COMMERCIAL_RE_TYPES = ["Office", "Retail", "Industrial", "Mixed-Use"]
COMMERCIAL_RE_SEED_LIMIT = 20 # Firecrawl results per type per metro
# ---------------------------------------------------------------------------
# Valuation (agents/valuation/)
# ---------------------------------------------------------------------------
VALUATION_DIR = DATA_DIR / "valuation"
# DCF parameters
DCF_PROJECTION_YEARS = 5
DCF_TERMINAL_GROWTH_DEFAULT = 0.025 # 2.5% long-term GDP growth
MARKET_RISK_PREMIUM = 0.06 # 6% historical equity risk premium
BETA_LOOKBACK_DAYS = 252 # 1 year of trading days for rolling beta
# Comparable company analysis
COMPS_MAX_PEERS = 10
COMPS_MARKET_CAP_BAND = 0.5 # +/- 50 % for peer filtering by size
# Valuation benchmark
VALUATION_BENCHMARK_TASKS = [
"valuation_accuracy", # Task A: estimate intrinsic value
"statement_generation", # Task B: generate plausible financials
"scenario_forecast", # Task C: forecast impact of what-if
]
VALUATION_HOLDOUT_RATIO = 0.3 # 30 % of tickers held out for eval (Hwang: 50/50 or 70/30)
# ---------------------------------------------------------------------------
# XBRL collection & ontology (Layer 1 -- collected via collect_filings.py)
# ---------------------------------------------------------------------------
# SEC XBRL API base URL (no auth, just User-Agent required)
XBRL_COMPANY_FACTS_URL = "https://data.sec.gov/api/xbrl/companyfacts/CIK{cik}.json"
XBRL_WORKERS = 8 # asyncio.Semaphore concurrency
XBRL_RATE_LIMIT_SEC = 0.12 # seconds between requests (≤10 req/s SEC limit)
# Filing forms to include in ontology extraction.
# Policy: include EVERY form on which SEC accepts XBRL facts from our universe
# (enumerated from raw responses — 37 distinct forms). Do not gate the
# benchmark by form type: the parser keeps everything SEC deems a valid
# XBRL-bearing filing, and downstream preprocessing picks the latest value
# per (ticker, tag, unit) regardless of form.
XBRL_FORMS: list[str] = [
# US domestic periodic statements
"10-K", "10-K/A", "10-Q", "10-Q/A",
"10-KT", "10-KT/A", "10-QT", # fiscal-year transition period filings
# Foreign private issuer periodic (file US-GAAP or IFRS via these)
"20-F", "20-F/A", "40-F", "40-F/A", "6-K", "6-K/A",
# Current / event reports (earnings releases often carry full financials)
"8-K", "8-K/A",
# Registration statements — IPO, shelf, M&A, employee plans
"S-1", "S-1/A", "S-1MEF",
"F-1/A", "F-1MEF",
"S-3", "S-3ASR",
"S-4", "S-4/A",
"S-8",
"POS AM",
# Investment company filings (cef / invest taxonomy)
"N-CSR", "N-2",
# Prospectus supplements
"424B2", "424B5", "424B7",
# Proxy statements
"DEF 14A", "PRE 14A", "DEFR14A", "DEFC14A", "PREM14A",
# Tender offers
"SC TO-I",
]
# Ontology classification thresholds (fraction of companies in an industry)
XBRL_CORE_THRESHOLD = 0.70 # tag appears in ≥70% → core
XBRL_COMMON_THRESHOLD = 0.30 # tag appears in ≥30% → common (else extension)
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