feat(technicals,engine): add V2 multi-timeframe scoring, SMC patterns, and COS V2 engine
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using System;
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using System.Threading;
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using System.Threading.Tasks;
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using FinlyticCore.Dtos.Fundamentals;
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using FinlyticCore.Dtos.Sentiment;
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using FinlyticCore.Dtos.Simulation;
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using FinlyticCore.Dtos.TechnicalAnalysis;
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using FinlyticCore.Services;
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using FinlyticEngine.Settings;
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namespace FinlyticEngine.Services.Scoring;
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/// <summary>
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/// V2 Implementation of <see cref="ICompositeOpportunityScorer"/> featuring direction-aware fundamental
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/// evaluation (Long vs Short), symmetrical sentiment scaling, and short-squeeze awareness.
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/// </summary>
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public class CompositeOpportunityScorerV2 : ICompositeOpportunityScorer
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{
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private readonly ISettingsService _settingsService;
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private readonly IFinlyticLogger<CompositeOpportunityScorerV2> _logger;
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/// <summary>
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/// Initializes a new instance of the <see cref="CompositeOpportunityScorerV2"/> class.
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/// </summary>
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public CompositeOpportunityScorerV2(
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ISettingsService settingsService,
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IFinlyticLogger<CompositeOpportunityScorerV2> logger)
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{
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_settingsService = settingsService;
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_logger = logger;
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}
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/// <inheritdoc />
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public async Task<ScoringResult> CalculateCompositeScoreAsync(
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StrategyResultDto setup,
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IsinSentimentSummaryDto? sentiment,
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AssetFundamentalsDto? fundamentals,
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StrategyAssetReliabilityDto? reliability = null,
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CancellationToken cancellationToken = default)
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{
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var wTech = await _settingsService.GetSettingAsync(EngineSettingKeys.WeightTechnical, cancellationToken);
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var wSent = await _settingsService.GetSettingAsync(EngineSettingKeys.WeightSentiment, cancellationToken);
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var wFund = await _settingsService.GetSettingAsync(EngineSettingKeys.WeightFundamental, cancellationToken);
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var lockoutDays = await _settingsService.GetSettingAsync(EngineSettingKeys.EarningsLockoutDays, cancellationToken);
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var dividendGateDays = await _settingsService.GetSettingAsync(EngineSettingKeys.DividendGateDays, cancellationToken);
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// 1. Technical Score (0..100)
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decimal sTech = Math.Clamp(setup.QualityScore, 0m, 100m);
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// 2. Sentiment Score (0..100) - Direction aware
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decimal sSent = 50m;
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if (sentiment?.CurrentSummary != null)
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{
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decimal compound = (decimal)sentiment.CurrentSummary.CompoundScore; // -1.0 .. +1.0
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if (setup.Direction == SignalDirection.Buy)
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{
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// Compound: -1.0 -> 0, 0.0 -> 50, +1.0 -> 100
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sSent = Math.Clamp(((compound + 1.0m) / 2.0m) * 100m, 0m, 100m);
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}
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else if (setup.Direction == SignalDirection.Sell)
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{
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// Compound: +1.0 -> 0, 0.0 -> 50, -1.0 -> 100
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sSent = Math.Clamp(((1.0m - compound) / 2.0m) * 100m, 0m, 100m);
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}
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}
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// 3. Fundamental Score (0..100) - V2 Direction Aware (Long vs Short)
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decimal sFund = 50m;
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if (fundamentals?.Fundamentals != null)
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{
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sFund = CalculateDirectionalFundamentalScore(fundamentals.Fundamentals, setup.Direction);
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}
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// 4. Earnings Lockout Check
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int? daysToEarnings = fundamentals?.DaysToNextEarnings;
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bool passedLockout = true;
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decimal mEarnings = 1.0m;
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if (daysToEarnings.HasValue && daysToEarnings.Value <= lockoutDays && daysToEarnings.Value >= 0)
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{
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passedLockout = false;
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mEarnings = 0.15m; // Strong suppression penalty
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await _logger.LogWarningAsync(EngineSettingKeys.ScoringChannel,
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"[CompositeScorerV2] ISIN {Isin} hit earnings lockout ({Days} days to earnings). Suppressing score.",
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setup.Isin, daysToEarnings.Value);
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}
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// 4b. Dividend Gate Check
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int? daysToExDividend = fundamentals?.DaysToNextExDividend;
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bool passedDividendGate = true;
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decimal mDividend = 1.0m;
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if (daysToExDividend.HasValue && daysToExDividend.Value <= dividendGateDays && daysToExDividend.Value >= 0)
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{
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passedDividendGate = false;
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mDividend = 0.5m; // Moderate suppression penalty
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await _logger.LogWarningAsync(EngineSettingKeys.ScoringChannel,
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"[CompositeScorerV2] ISIN {Isin} hit dividend gate ({Days} days to ex-dividend). Suppressing score.",
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setup.Isin, daysToExDividend.Value);
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}
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// 5. Backtesting Matrix Feedback-Loop (Score-Bonus or Veto)
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decimal matrixBonus = 0m;
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bool passedVeto = true;
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decimal mVeto = 1.0m;
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if (reliability != null)
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{
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if (reliability.RecommendedAction == "BOOST_SCORE" || (reliability.ProfitFactor >= 1.60m && reliability.SampleTradeCount >= 5))
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{
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matrixBonus = 15.0m;
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await _logger.LogInfoAsync(EngineSettingKeys.ScoringChannel,
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"[CompositeScorerV2] Simulation matrix bonus (+15 pts) applied for {Isin} ({Strategy}): PF={PF:F2}, WR={WR:F1}%",
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setup.Isin, setup.StrategyKey, reliability.ProfitFactor, reliability.WinRatePercent);
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}
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else if (reliability.RecommendedAction == "VETO_DISABLE" || (!reliability.IsStrategyApprovedForAsset && reliability.SampleTradeCount >= 5))
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{
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passedVeto = false;
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mVeto = 0.20m; // Heavy suppression penalty
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await _logger.LogWarningAsync(EngineSettingKeys.ScoringChannel,
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"[CompositeScorerV2] Simulation matrix VETO applied for {Isin} ({Strategy}): PF={PF:F2} < 1.00. Suppressing score.",
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setup.Isin, setup.StrategyKey, reliability.ProfitFactor);
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}
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}
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// 6. Calculate Weighted Composite Opportunity Score (COS)
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decimal rawScore = (wTech * sTech) + (wSent * sSent) + (wFund * sFund) + matrixBonus;
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decimal finalCos = Math.Clamp(rawScore * mEarnings * mDividend * mVeto, 0m, 100m);
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await _logger.LogInfoAsync(EngineSettingKeys.ScoringChannel,
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"[CompositeScorerV2] ISIN {Isin} ({Direction}) evaluated: COS={Cos:F1} (Tech={Tech:F1}, Sent={Sent:F1}, Fund={Fund:F1}, Bonus={Bonus}, Veto={Veto}, Lockout={Lockout}, DividendGate={DividendGate})",
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setup.Isin, setup.Direction, finalCos, sTech, sSent, sFund, matrixBonus, passedVeto, passedLockout, passedDividendGate);
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return new ScoringResult(
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CompositeScore: Math.Round(finalCos, 2),
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TechnicalScore: Math.Round(sTech, 2),
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SentimentScore: Math.Round(sSent, 2),
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FundamentalScore: Math.Round(sFund, 2),
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PassedEarningsLockout: passedLockout,
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DaysToNextEarnings: daysToEarnings,
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ReliabilityBonus: matrixBonus,
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PassedSimulationVeto: passedVeto,
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PassedDividendGate: passedDividendGate,
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DaysToNextExDividend: daysToExDividend
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);
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}
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/// <summary>
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/// Computes directional fundamental score tailored specifically for Buy vs Sell opportunities.
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/// </summary>
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private static decimal CalculateDirectionalFundamentalScore(FundamentalDataDto fund, SignalDirection direction)
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{
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decimal baseScore = 50m;
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if (direction == SignalDirection.Buy)
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{
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// Forward P/E: Low valuation supports Long (+10), extreme overvaluation penalizes (-10)
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if (fund.ForwardPe.HasValue)
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{
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if (fund.ForwardPe.Value > 0 && fund.ForwardPe.Value < 20m) baseScore += 10m;
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else if (fund.ForwardPe.Value > 45m || fund.ForwardPe.Value <= 0) baseScore -= 10m;
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}
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// Return on Equity: Profitable return on equity supports Long (+10), capital destruction penalizes (-15)
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if (fund.ReturnOnEquity.HasValue)
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{
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if (fund.ReturnOnEquity.Value > 0.15m) baseScore += 10m;
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else if (fund.ReturnOnEquity.Value < 0.0m) baseScore -= 15m;
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}
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// Analyst Consensus
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if (!string.IsNullOrWhiteSpace(fund.ConsensusRating))
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{
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var r = fund.ConsensusRating.ToLowerInvariant();
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if (r.Contains("buy") || r.Contains("strong_buy") || r.Contains("outperform")) baseScore += 10m;
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else if (r.Contains("sell") || r.Contains("underperform")) baseScore -= 15m;
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}
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// Debt to Equity penalty for highly leveraged balance sheets on Longs
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if (fund.DebtToEquity.HasValue && fund.DebtToEquity.Value > 2.5m)
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{
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baseScore -= 10m;
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}
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}
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else if (direction == SignalDirection.Sell)
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{
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// Symmetrical Short evaluation:
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// Forward P/E: Extreme valuation or negative earnings supports Short (+12), deep value penalizes (-12)
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if (fund.ForwardPe.HasValue)
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{
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if (fund.ForwardPe.Value > 45m || fund.ForwardPe.Value <= 0) baseScore += 12m;
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else if (fund.ForwardPe.Value > 0 && fund.ForwardPe.Value < 15m) baseScore -= 12m;
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}
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// Return on Equity: Capital destruction / losses supports Short (+15), high cash cow returns penalizes (-12)
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if (fund.ReturnOnEquity.HasValue)
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{
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if (fund.ReturnOnEquity.Value < 0.0m) baseScore += 15m;
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else if (fund.ReturnOnEquity.Value > 0.25m) baseScore -= 12m;
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}
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// Analyst Consensus: Downgrades and Sell ratings confirm Short (+15), Strong Buy opposes Short (-15)
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if (!string.IsNullOrWhiteSpace(fund.ConsensusRating))
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{
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var r = fund.ConsensusRating.ToLowerInvariant();
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if (r.Contains("sell") || r.Contains("underperform") || r.Contains("downgrade")) baseScore += 15m;
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else if (r.Contains("strong_buy") || r.Contains("outperform")) baseScore -= 15m;
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}
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// High Debt to Equity adds vulnerability in downtrend (+10)
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if (fund.DebtToEquity.HasValue && fund.DebtToEquity.Value > 2.5m)
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{
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baseScore += 10m;
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}
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// Short Interest Float check: moderate short interest (5-15%) confirms short thesis (+5),
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// but extreme short interest (>25%) warns of dangerous short squeeze risk (-10)
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if (fund.ShortPercentOfFloat.HasValue)
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{
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if (fund.ShortPercentOfFloat.Value is >= 0.05m and <= 0.15m) baseScore += 5m;
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else if (fund.ShortPercentOfFloat.Value > 0.25m) baseScore -= 10m;
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}
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}
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return Math.Clamp(baseScore, 0m, 100m);
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}
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}
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