Layer 1 · Composite Indicators
Derived indicators combining atomic factors — MFLE regime detection, CLI, output gap, TVP-VAR, etc.
Modules: 80 total · 72 Active (shipped)
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✅ Active (shipped)
Goldened, validated, and deployed to Canvas
ALM Duration Stress
Insurance asset-liability reading on the sovereign-curve panel: duration gap from a declared liability template, NAV impact under the in-force Solvency II Art. 166/167 rate shocks (verbatim tables), and a cashflow coverage runway — recomputed daily, metrics = last row.
B0 Toy ABM — Wealth Exchange with Gini Tracking
Pedagogical / demo-grade agent-based model: N agents start with log-normal wealth; each tick, two random agents exchange 0.05 × min(wealth_i, wealth_j) × (rn...
B0 All-Weather 4-Quadrant (Growth × Inflation)
Bridgewater-style 4-quadrant macro regime classification — based on where GDP growth and inflation sit relative to a 2.5% neutral anchor, returning one of go...
Criticality Composite (correlation + vol suppression + heavy-tail)
Three-in-one vulnerability heuristic: (1) upper-triangular mean of correlation matrix, (2) volatility suppression index (1 - vol / max|r|), (3) heavy-tail re...
B0 Escalation Ladder → Risk Premium + Regional Commodity Exposure
Maps geopolitical escalation ladder rungs (1-99+) to stylized risk premium ranges (bps) + equity shock ranges (pct) + region-specific commodity/ETF exposure ...
B0 Narrative Intensity + Topic Break
A lightweight narrative intensity heuristic (type-token ratio + length + token density weighted), optionally calculates topic Jaccard overlap / break score w...
B0 Simon Satisficing Choice
Herbert Simon's satisficing decision rule: sort candidates by score descending and return the first one meeting the aspiration threshold (no global argmax). ...
BLCV Business Model (B-Dimension)
Evaluates company business model quality — 9 quantitative metrics including CapEx intensity / ROIC / FCF yield / R&D density / Revenue CAGR + qualitative tag...
BLCV Competitive Dimension (Porter 5+1 Forces)
Heuristic implementation extending Porter Five Forces to 5+1 (adding complementary power): derives proxy signals from yfinance financial reports (margin stab...
BLCV Batch Equity Scan
Run the composite BLCV score (4-dimension synthesis) over a basket of equities, sort by blcv_score, assign rank numbers, and surface the top_pick. scan_full ...
BLCV Financials (V-Dimension)
Calculates 30+ metrics + V score (0-100) from the three financial statements (income / balance / cashflow), covering 9 categories: liquidity / solvency / pro...
BLCV Leadership Dimension (Management Quality Scoring)
Assess a listed company's management quality: quantitative signals derived from yfinance financials (ROIC, revenue per employee, growth consistency) plus a h...
Cascade Backstop — the two-tails fork
Runs the same stressed network down its two structural tails: Mode A (no backstop — the loop completes) versus Mode B (a backstop absorbs the flow, which re-...
Central Bank Taylor-Rule Policy Rate
Based on Taylor (1993) original rule + policy stance adjustment + ZLB floor, derive policy rate recommendations from inflation and unemployment rates, and ou...
Compute Bollinger Bands
Bollinger Bands (20-period, 2-sigma default) on an upstream close series: mid = SMA(period), upper/lower = mid ± std_dev × rolling std. Returns upper / mid /...
MA Crossover (transform)
Golden/death-cross detector. ONE input port accepts N moving averages; fast/slow are inferred from each line's window (smallest = fast, largest = slow), all ...
EMA (transform)
Exponential moving average of an upstream series in EWM recursive form (adjust=False): EMA_t = α·P_t + (1-α)·EMA_{t-1}, α = 2/(span+1). Edge-first, chainable...
Compute MACD
MACD triplet (12/26/9 default) via pandas-ta on an upstream close series: MACD line (EMA12 - EMA26), signal line (EMA9 of MACD), and histogram (MACD - signal...
Returns (transform)
Period-over-period returns of an upstream price series, simple (pct_change) or log. Edge-first, chainable transform primitive; fans out to per-ticker by_symb...
Compute RSI
Relative Strength Index (Wilder default / Cutler opt-in) on an upstream close series. Cross-validated against pandas-ta / Bloomberg to 1.4e-14. Edge-first; f...
SMA (transform)
Simple moving average of an upstream price/value series — a thin rolling-mean transform (default window 20). Edge-first, chainable primitive: it consumes the...
Rolling Z-score (transform)
Rolling z-score (x − rolling_mean) / rolling_std of an upstream series — a mean-reversion building block. A constant window returns 0 (never NaN/inf). Edge-f...
Contagion Simulator — Cross-Asset Contagion Path Simulation
Canvas cross-asset contagion simulator: given an epicenter asset and initial shock magnitude, propagate the shock through a preset / dynamically-built cross-...
Correlation Matrix
Pairwise Pearson correlation of named series. Unlike the per-ticker transforms, it aggregates two or more wired symbols into a single N×N matrix. Used as inp...
Country Rates Board (UK / EA / JP)
One official-source rates board per country: policy rate, 2Y/10Y curve snapshot, the same 7-class 2s10s regime taxonomy used for the US, the 10Y nominal/real...
Cross-Asset Regime — the joint state
Classifies the JOINT state of a declared asset set — per-asset direction plus cross-asset co-movement — into a fixture-locked regime vocabulary. The board-le...
Curve Regime (Bull/Bear Steepener/Flattener)
Classify every rolling move in a curve spread into the textbook taxonomy (bull/bear steepener, bull/bear flattener, twists, neutral) and run the same classif...
Dissipation — circulating vs draining distress flow
Answers the third independent question about a stressed network: once distress MOVES, does it get trapped circulating in feedback loops (self-feeding whirlpo...
Distress Screen
A three-pillar corporate distress read on three honest axes: a daily Merton distance-to-default / risk-neutral PD series (equity as a call on firm assets, th...
Drawdown Series
Peak-to-trough drawdown series plus the maximum drawdown over the series. Standard performance primitive taking a returns (or prices) array. Edge-first; fans...
Equity Breadth (Breadth / Dispersion / Attribution)
Read how broad the index move is and who is carrying it: sector breadth above own moving averages, cross-sector return dispersion, vol-scaled momentum ranks ...
Equity Valuation (CAPE / ECY / Earnings-vs-Multiple)
The Shiller valuation anatomy of the S&P 500 — CAPE with its 154-year percentile, Excess CAPE Yield, the exact identity split of price change into earnings a...
Financial Conditions (NFCI)
Summarize the Chicago Fed National Financial Conditions Index (NFCI) into a desk-ready reading — the latest value, its 13-week change, its historical percent...
Funding Stress Calendar — when does the wall hit?
Answers the WHEN leg the network lenses don't: when the Treasury refinancing load peaks, and how much reserve runway remains to absorb it — from live public ...
FX Rate Differential (EURUSD / USDJPY / GBPUSD)
The FX-vs-rate-differential anatomy from free official legs: 2Y/10Y nominal differentials for all three pairs, real and inflation differentials on GBPUSD (th...
FX Market Weighted-Factor Model (carry + risk + surprise)
Weighted three-factor model combining interest-rate differential (carry trade), risk sentiment, and economic-data surprise to derive currency-pair FX directi...
G20 FX Matrix (ECB reference rates)
Every G20 currency against every other in one EUR-triangulated cross-rate matrix from ECB official reference rates: % moves over 1D/1W/1M/3M windows plus vol...
Index Fundamentals Aggregate
Compute index-level fundamental aggregates — ROE, EBITDA margin, gross margin and free-cash-flow yield — as a transparent ratio-of-sums over the index consti...
Inflation Nowcast (Core PCE)
Report core PCE inflation as a desk-ready nowcast — the year-over-year pace, the 3-month-annualized near-term momentum, the Cleveland Fed 1-year forward expe...
Information Geometry — Fisher-Rao regime distance
Treats a market regime as a point on a statistical manifold — the distribution of recent moves — and tracks its Fisher-Rao geodesic distance from a fixed cal...
LDI Funding Gap (Redington / Fisher-Weil)
Put a pension/insurance liability book against its asset portfolio on a real sovereign spot curve: liability PV and Fisher-Weil duration, the asset–liability...
Loop Analysis — feedback-cycle decomposition
Decomposes the SAME weighted dependency network that the spectral lens reduces to one number (rho) into its feedback loops: how many cycles, how strong, and ...
Macro Composite Leading Indicator (simplified, 3-factor FRED)
Three-factor weighted z-score macro composite leading index: INDPRO(+0.4) / UNRATE(-0.3) / FEDFUNDS(-0.3), 3-month rolling smoothed, direction inferred from ...
Business Cycle Phase (Harding-Pagan quarterly turning points)
Simplified Harding-Pagan cyclical turning-point detection over the FRED GDPC1 quarterly real-GDP series. Returns the current cycle_phase (expansion / recessi...
Macro Shock Scenario (rule-based + bilingual i18n)
Canvas macro-shock node: takes a scenario_id and returns a 4-stage w-confidence decay + cross-sector liquidity-drying path + bilingual event narration. Rule-...
Macro Snapshot Dashboard (regime + cycle + CLI + output gap aggregator)
One-shot macro dashboard aggregator: a single call returns the current macro regime (expansion / contraction / stagflation etc.) + cycle phase (Harding-Pagan...
Market Linkage (8-Regime + One-Trade Gauge)
Sort each day into one of 8 direction regimes on the SPX / 10y-rates / broad-dollar trio (vol-scaled signals), and measure the share of the trio's variance e...
Markov Regime Detection (statsmodels MarkovAutoregression + rolling-vol fallback)
Performs 2-state Markov-switching autoregression (MS-AR(1), switching variance) on return series. Primary path uses statsmodels; falls back to rolling-vol he...
Output Gap (HP filter on FRED GDPC1)
US output gap (real GDP's percentage deviation from its HP trend): fetch FRED GDPC1 → HP filter λ=1600 → gap_pct = (actual - trend) / trend * 100. The source...
Network Entropy — concentration of exposure
The structural-diversification lens: is risk/exposure CONCENTRATED in a few hubs (low entropy, high HHI) or DISPERSED across the web (high entropy)? Independ...
Network Topology — the wiring census
The plain structural census of a dependency graph: density, DAG-ness, connected components, and the circular cores (SCCs larger than one node) where feedback...
Policy Stance vs Neutral (r* proxy)
Gauge how restrictive or accommodative monetary policy is relative to a neutral benchmark — real policy rate (fed funds minus core PCE inflation) versus a ma...
Global Policy Heatmap (FED / BOE / ECB / BOJ)
The cross-central-bank policy matrix (deck-p5 grammar, honest-coverage version): each row is one bank's market-priced policy rate at fixed forward horizons w...
Policy Path (Market-Implied, Atlanta Fed)
What the market prices the Fed to do: per quarterly SOFR reference period the implied rate distribution, cut/hike probabilities and most likely target ranges...
Rate Decomposition (Nominal = Real + Breakeven)
Split each Treasury tenor's nominal yield into its real-yield and inflation-compensation legs as an exact accounting identity (no model fit), attribute every...
Reflexivity 4D ODE — Dynamical Solver (Library Primitive)
Library-level primitive: scipy.integrate.solve_ivp (RK45 adaptive step) solves the Pangura 4D reflexivity ODE system dx/dt, dy/dt, dz/dt, dw/dt, and returns ...
Reflexivity Agent Simulate — Multi-Step Agent ODE Simulation (Library Primitive)
Library-level primitive: runs N steps of the 4D reflexivity ODE (classic RK4 single-step integrator) for a single agent, with optional external shock injecti...
Reflexivity Detector — w-Fracture Precursor
Detects fracture precursors from a w-history (market confidence / reflexivity state variable): computes velocity, acceleration, trend persistence, and xyz-di...
Relative Rotation Graph (RRG)
RS-Ratio (relative-strength trend) and RS-Momentum (its rate-of-change) of a style/sector ETF basket versus a benchmark, classified into four clockwise-rotat...
Sharpe Ratio
Annualized Sharpe ratio: (mean(return) − rf) / std(return) × sqrt(annualization_factor). Zero-volatility inputs are guarded via an np.ptp check (BUG-GOLDEN-0...
Sortino Ratio
Downside-deviation-adjusted Sharpe variant: only penalizes returns below a target. Same zero-volatility guard as Sharpe (BUG-GOLDEN-001 fix). Edge-first; fan...
Spectral Dynamics — ρ(t), anchored
Adds the time dimension to the structural rho WITHOUT inventing new theory: topology and every estimated edge stay frozen at their calibrated constants; only...
Spectral Fragility — distance to runaway (ρ)
The load-bearing structural number of the fragility family: the spectral radius rho of the weighted transmission network — a SHOCK-INDEPENDENT reading of how...
Strategy Homophily — Multi-Agent Herding + Flash-Crash Simulation
Canvas strategy-homophily simulation: N agents each run the 4D reflexivity ODE, an agent-to-agent coupling force pulls each w_i toward the group mean, every ...
Taylor Rule (Implied Policy Rate)
Compute the Taylor (1993) rule-implied policy rate from real FRED data — core PCE inflation, unemployment, and the actual fed funds rate — and report the gap...
TVP-KFAVAR Macro Regime Detection (PCA + Markov Switching + fallback)
TVP-KFAVAR v2 macro regime detection: sklearn PCA extracts the first macro factor → statsmodels Markov Switching AR(1) with switching variance → 3-state labe...
Primiceri (2005) TVP-SVAR — Bayesian MCMC with stochastic volatility
A full Primiceri (2005) Bayesian MCMC TVP-SVAR: β_t + A_t + log σ_t all follow random-walk state equations; the Gibbs sampler cycles Carter-Kohn (1994) simul...
Koop-Korobilis (2013) TVP-VAR with forgetting factors
Koop-Korobilis (2013) forgetting-factor Kalman TVP-VAR: continuously time-varying coefficients β_t (not Markov finite-regime jumps) + EWMA time-varying covar...
Value Investing · Intrinsic Value
Value dimension of the Value Investing suite: Greenwald EPV under TWO labeled WACC measures (flat 9.5% convention + CAPM per ticker), reverse-DCF expectation...
Value Investing · Moat
Moat dimension (BLCV Competition successor): margin persistence as the measurable pricing-power proxy — level, stability and trend of gross and operating mar...
Value Investing · Quality
Quality dimension of the Value Investing suite (BLCV successor): Piotroski F-Score with the full 9-signal breakdown, Novy-Marx gross profitability (GP/A), RO...
Value Investing · Stewardship
Stewardship dimension (BLCV Leadership successor): the quantifiable capital-allocation record — ROIIC, shareholder yield, dilution, Sloan accruals, goodwill-...
Volatility Regime
GARCH(1,1) conditional volatility fitted by Gaussian quasi-MLE on daily log returns, a RiskMetrics EWMA (λ 0.94) twin on the same variance seed, and a declared rule-based volatility state (rising / high / low / normal) — one honest daily axis, per ticker.
Script
A bounded-total scripting language living inside one Canvas node: users write custom factors, measures, and signals over the series produced by wired upstrea...
📝 Draft
Placeholder stub — pending research references, formulas, golden test
Basis Positioning — the basis-trade fuel gauge
Tracks the leveraged-fund net short in Treasury futures (CFTC COT) as the fuel gauge of the cash-futures basis trade — level, historical percentile and trend...
Calibration Robustness — does the reading survive?
Stress-tests the calibration itself: perturbs every edge weight by a uniform band, re-reads the fragility numbers per draw, and reports the distribution — so...
Causal Skeleton — conditional-dependence structure
Builds the conditional-dependence NETWORK of a set of return series — the skeleton phase only: partial-correlation edges after a common-cause de-confounding ...
Constraint Wedges — how tight are the dealers?
Reads dealer balance-sheet tightness from no-arbitrage funding wedges (CIP deviations, cash-futures basis, swap spreads): per-wedge z-scores on established a...
Coupled ρ Dynamics — cross-centre tightness
Tracks the coupled tightness of multi-centre systems (the three-financial-centres read): within-centre blocks stay frozen as wired, only cross-centre edges m...
DebtRank Propagate — the cascade engine
The propagation engine of the family: injects declared shocks into the weighted network and runs a saturating, reverberating DebtRank cascade — per-node term...
Distress Readout — the one-panel verdict
The readout node of the fragility family: collects the upstream lens outputs (rho, loops, dissipation, entropy, topology) into one panel with the unified-rul...
Shock Input — the declared scenario
The L0 declaration node for cascade scenarios: names the shocked node(s), magnitudes and kind. Exists so that every cascade result is conditional on an EXPLI...