quantwise 1.2.0 → 1.2.2

package/.claude/skills/ftd-detector/references/post_ftd_guide.md

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+# Post-FTD Monitoring Guide
+
+## Overview
+
+A confirmed Follow-Through Day (FTD) shifts the probability toward a new uptrend, but approximately 75% of FTDs ultimately fail. Post-FTD monitoring is essential for:
+1. Confirming the signal is working (exposure increase)
+2. Detecting early failure (exposure reduction)
+3. Identifying Power Trend confirmation (maximum conviction)
+
+---
+
+## Distribution Day Monitoring After FTD
+
+### What Is a Post-FTD Distribution Day?
+A distribution day after an FTD is defined as:
+- Index declines >= 0.2% from the prior day's close
+- Volume is higher than the previous day's volume
+- Occurs within the first 5 trading days after the FTD
+
+### Failure Rate by Distribution Timing
+
+| Distribution Timing | Failure Rate | Quality Score Impact | Action |
+|--------------------|-------------|---------------------|--------|
+| **Day 1 after FTD** | ~85% fail | -30 points | Immediately reduce exposure |
+| **Day 2 after FTD** | ~80% fail | -30 points | Reduce to defensive levels |
+| **Day 3 after FTD** | ~65% fail | -15 points | Tighten stops significantly |
+| **Day 4 after FTD** | ~50% fail | -5 points | Moderate caution |
+| **Day 5 after FTD** | ~45% fail | -5 points | Normal monitoring |
+| **No distribution (5 days)** | ~35% fail | +10 points | Increase conviction |
+
+**Key Insight:** The earlier distribution appears after an FTD, the more likely the FTD will fail. Distribution within the first 2 days is a near-certain failure signal.
+
+### Multiple Distribution Days
+- 2+ distribution days within 5 days of FTD: ~90% failure rate
+- Even if individual days are in the "moderate" timing zone (Day 4-5), accumulation of distribution is bearish
+
+---
+
+## FTD Invalidation
+
+### Invalidation Criteria
+An FTD is formally invalidated when:
+- **Index closes below the FTD day's intraday low**
+- This is a hard stop - the FTD signal is no longer valid
+
+### What to Do After Invalidation
+1. Reduce equity exposure to defensive levels (0-25%)
+2. Do NOT try to average down or hold through
+3. Wait for a new swing low and fresh rally attempt
+4. The previous FTD failure provides no information about the next attempt
+
+### Soft Warnings (Not Yet Invalidated)
+- Close approaches but doesn't breach FTD low: heightened caution
+- Intraday breach but close above: technically valid but weak
+- Slow grinding decline toward FTD low: consider preemptive reduction
+
+---
+
+## Power Trend Confirmation
+
+### Definition
+A Power Trend is the strongest bullish condition in O'Neil's framework. It occurs when three conditions are simultaneously true:
+
+1. **21-day EMA > 50-day SMA** (short-term momentum above medium-term trend)
+2. **50-day SMA slope is positive** (rising over the last 5 trading days)
+3. **Price above 21-day EMA** (current price confirming the trend)
+
+### Significance
+- Power Trend + FTD = highest conviction bottom signal
+- Historically, markets in Power Trend have very low probability of immediate failure
+- Power Trend typically develops 2-4 weeks after a successful FTD
+- Not required for FTD validity, but serves as strong confirmation
+
+### Power Trend Conditions Breakdown
+
+| Conditions Met | Interpretation |
+|---------------|---------------|
+| 3/3 | Full Power Trend - maximum conviction |
+| 2/3 | Developing trend - monitor for completion |
+| 1/3 | No Power Trend - rely on other signals |
+| 0/3 | Bearish structure - be cautious despite FTD |
+
+---
+
+## FTD Success vs Failure Patterns
+
+### Characteristics of Successful FTDs
+
+| Factor | Successful Pattern |
+|--------|--------------------|
+| **Day Timing** | Day 4-7 (prime window) |
+| **Gain** | 2.0%+ on heavy volume |
+| **Volume** | Above 50-day average |
+| **Dual Index** | Both S&P 500 and NASDAQ confirm |
+| **Post-FTD** | Clean first 3-5 days (no distribution) |
+| **Leading Stocks** | Many breakouts from proper bases |
+| **Sector Breadth** | Multiple sectors participating |
+| **Catalyst** | Identifiable positive catalyst (Fed pivot, earnings surprise) |
+| **Power Trend** | Develops within 2-4 weeks |
+
+### Characteristics of Failed FTDs
+
+| Factor | Failure Pattern |
+|--------|--------------------|
+| **Day Timing** | Day 8-10 (late window) |
+| **Gain** | Minimum qualifying (1.25-1.49%) |
+| **Volume** | Below 50-day average |
+| **Dual Index** | Only one index confirms |
+| **Post-FTD** | Distribution within first 2 days |
+| **Leading Stocks** | Few/no quality breakouts |
+| **Sector Breadth** | Narrow participation (1-2 sectors) |
+| **Catalyst** | No clear catalyst, or hostile macro backdrop |
+| **Power Trend** | Never develops, 50 SMA continues declining |
+
+---
+
+## Exposure Management After FTD
+
+### Graduated Exposure Model
+
+The O'Neil approach uses progressive exposure increase, not all-at-once buying:
+
+**Phase 1: Initial (FTD Day)**
+- Start at 25% of target exposure
+- Buy 1-2 leading stocks breaking out of bases
+- Use FTD day's low as initial stop reference
+
+**Phase 2: Confirmation (Days 1-5 post-FTD)**
+- If no distribution: increase to 50% exposure
+- Add positions in additional leaders
+- Tighten stops on initial positions to breakeven
+
+**Phase 3: Acceleration (Days 5-15 post-FTD)**
+- If trend confirms (clean action, breakouts working): increase to 75%
+- Pyramid into winning positions
+- Look for Power Trend development
+
+**Phase 4: Full Exposure (2-4 weeks post-FTD)**
+- If Power Trend develops: full 100% exposure
+- Focus on strongest leaders
+- Normal stop-loss management
+
+### Exposure Reduction Triggers
+
+| Trigger | Action |
+|---------|--------|
+| Distribution Day 1-2 post-FTD | Cut to 0-25% |
+| Distribution Day 3 post-FTD | Cut to 25-50% |
+| FTD invalidated | Cut to 0-25% |
+| Breakouts failing (stocks reversing after breakout) | Reduce by 25% |
+| No quality setups forming | Don't force increase |
+
+---
+
+## Interaction with Market Top Detector
+
+The FTD Detector and Market Top Detector are complementary:
+
+### During Correction (Top Detector score 60+):
+1. Top Detector signals defensive posture
+2. FTD Detector watches for bottom signals
+3. When FTD confirms, begin transitioning from defensive to offensive
+
+### During FTD Confirmed:
+1. FTD Detector guides exposure increase
+2. Top Detector should show declining score (improving conditions)
+3. If Top Detector score remains high despite FTD, exercise extra caution
+
+### Signal Conflict Resolution:
+- FTD confirmed but Top Detector still 60+: proceed with caution, use smaller position sizes
+- FTD confirmed and Top Detector below 40: higher conviction signal
+- FTD invalidated: defer to Top Detector for defensive guidance
+
+---
+
+## Historical Success Rate Context
+
+Based on IBD historical analysis of FTDs since 1900:
+
+- **Overall FTD success rate:** ~25% (1 in 4 leads to sustained uptrend)
+- **FTDs with quality score 80+:** ~45-50% success rate
+- **FTDs with quality score 60-79:** ~30-35% success rate
+- **FTDs with quality score below 60:** ~10-15% success rate
+
+The quality scoring system effectively filters the ~75% failure rate down to a more manageable ~50-55% for high-quality signals. Combined with proper stop-loss management, this creates a positive expected value system despite the sub-50% win rate, because winners significantly outperform losers when properly managed.

package/.claude/skills/ftd-detector/scripts/fmp_client.py

@@ -0,0 +1,158 @@
+#!/usr/bin/env python3
+"""
+FMP API Client for Market Top Detector
+
+Provides rate-limited access to Financial Modeling Prep API endpoints
+for market top detection analysis.
+
+Features:
+- Rate limiting (0.3s between requests)
+- Automatic retry on 429 errors
+- Session caching for duplicate requests
+- Batch quote support for ETF baskets
+"""
+
+import os
+import sys
+import time
+from typing import Dict, List, Optional
+
+try:
+    import requests
+except ImportError:
+    print("ERROR: requests library not found. Install with: pip install requests", file=sys.stderr)
+    sys.exit(1)
+
+
+class FMPClient:
+    """Client for Financial Modeling Prep API with rate limiting and caching"""
+
+    BASE_URL = "https://financialmodelingprep.com/api/v3"
+    RATE_LIMIT_DELAY = 0.3  # 300ms between requests
+
+    def __init__(self, api_key: Optional[str] = None):
+        self.api_key = api_key or os.getenv("FMP_API_KEY")
+        if not self.api_key:
+            raise ValueError(
+                "FMP API key required. Set FMP_API_KEY environment variable "
+                "or pass api_key parameter."
+            )
+        self.session = requests.Session()
+        self.cache = {}
+        self.last_call_time = 0
+        self.rate_limit_reached = False
+        self.retry_count = 0
+        self.max_retries = 1
+        self.api_calls_made = 0
+
+    def _rate_limited_get(self, url: str, params: Optional[Dict] = None) -> Optional[Dict]:
+        if self.rate_limit_reached:
+            return None
+
+        if params is None:
+            params = {}
+        params['apikey'] = self.api_key
+
+        elapsed = time.time() - self.last_call_time
+        if elapsed < self.RATE_LIMIT_DELAY:
+            time.sleep(self.RATE_LIMIT_DELAY - elapsed)
+
+        try:
+            response = self.session.get(url, params=params, timeout=30)
+            self.last_call_time = time.time()
+            self.api_calls_made += 1
+
+            if response.status_code == 200:
+                self.retry_count = 0
+                return response.json()
+            elif response.status_code == 429:
+                self.retry_count += 1
+                if self.retry_count <= self.max_retries:
+                    print("WARNING: Rate limit exceeded. Waiting 60 seconds...", file=sys.stderr)
+                    time.sleep(60)
+                    return self._rate_limited_get(url, params)
+                else:
+                    print("ERROR: Daily API rate limit reached.", file=sys.stderr)
+                    self.rate_limit_reached = True
+                    return None
+            else:
+                print(f"ERROR: API request failed: {response.status_code} - {response.text[:200]}",
+                      file=sys.stderr)
+                return None
+        except requests.exceptions.RequestException as e:
+            print(f"ERROR: Request exception: {e}", file=sys.stderr)
+            return None
+
+    def get_quote(self, symbols: str) -> Optional[List[Dict]]:
+        """Fetch real-time quote data for one or more symbols (comma-separated)"""
+        cache_key = f"quote_{symbols}"
+        if cache_key in self.cache:
+            return self.cache[cache_key]
+
+        url = f"{self.BASE_URL}/quote/{symbols}"
+        data = self._rate_limited_get(url)
+        if data:
+            self.cache[cache_key] = data
+        return data
+
+    def get_historical_prices(self, symbol: str, days: int = 365) -> Optional[Dict]:
+        """Fetch historical daily OHLCV data"""
+        cache_key = f"prices_{symbol}_{days}"
+        if cache_key in self.cache:
+            return self.cache[cache_key]
+
+        url = f"{self.BASE_URL}/historical-price-full/{symbol}"
+        params = {"timeseries": days}
+        data = self._rate_limited_get(url, params)
+        if data:
+            self.cache[cache_key] = data
+        return data
+
+    def get_batch_quotes(self, symbols: List[str]) -> Dict[str, Dict]:
+        """Fetch quotes for a list of symbols, batching up to 5 per request"""
+        results = {}
+        # FMP supports comma-separated symbols in quote endpoint
+        batch_size = 5
+        for i in range(0, len(symbols), batch_size):
+            batch = symbols[i:i+batch_size]
+            batch_str = ",".join(batch)
+            quotes = self.get_quote(batch_str)
+            if quotes:
+                for q in quotes:
+                    results[q['symbol']] = q
+        return results
+
+    def get_batch_historical(self, symbols: List[str], days: int = 50) -> Dict[str, List[Dict]]:
+        """Fetch historical prices for multiple symbols"""
+        results = {}
+        for symbol in symbols:
+            data = self.get_historical_prices(symbol, days=days)
+            if data and 'historical' in data:
+                results[symbol] = data['historical']
+        return results
+
+    def calculate_ema(self, prices: List[float], period: int) -> float:
+        """Calculate Exponential Moving Average from a list of prices (most recent first)"""
+        if len(prices) < period:
+            return sum(prices) / len(prices)
+
+        prices_reversed = prices[::-1]
+        sma = sum(prices_reversed[:period]) / period
+        ema = sma
+        k = 2 / (period + 1)
+        for price in prices_reversed[period:]:
+            ema = price * k + ema * (1 - k)
+        return ema
+
+    def calculate_sma(self, prices: List[float], period: int) -> float:
+        """Calculate Simple Moving Average from a list of prices (most recent first)"""
+        if len(prices) < period:
+            return sum(prices) / len(prices)
+        return sum(prices[:period]) / period
+
+    def get_api_stats(self) -> Dict:
+        return {
+            "cache_entries": len(self.cache),
+            "api_calls_made": self.api_calls_made,
+            "rate_limit_reached": self.rate_limit_reached,
+        }

package/.claude/skills/ftd-detector/scripts/ftd_detector.py

@@ -0,0 +1,280 @@
+#!/usr/bin/env python3
+"""
+FTD Detector - Main Orchestrator
+
+Detects Follow-Through Day (FTD) signals for market bottom confirmation
+using William O'Neil's methodology with dual-index tracking.
+
+Usage:
+    python3 ftd_detector.py --api-key YOUR_KEY
+    python3 ftd_detector.py  # uses FMP_API_KEY env var
+
+Output:
+    - JSON: ftd_detector_YYYY-MM-DD_HHMMSS.json
+    - Markdown: ftd_detector_YYYY-MM-DD_HHMMSS.md
+"""
+
+import argparse
+import os
+import sys
+from datetime import datetime
+from typing import Dict
+
+# Add parent directory to path for imports
+sys.path.insert(0, os.path.dirname(__file__))
+
+from fmp_client import FMPClient
+from rally_tracker import get_market_state
+from post_ftd_monitor import assess_post_ftd_health
+from report_generator import generate_json_report, generate_markdown_report
+
+
+def parse_arguments():
+    parser = argparse.ArgumentParser(
+        description="FTD Detector - Follow-Through Day Bottom Confirmation"
+    )
+    parser.add_argument(
+        "--api-key",
+        help="FMP API key (defaults to FMP_API_KEY environment variable)"
+    )
+    parser.add_argument(
+        "--output-dir", default=".",
+        help="Output directory for reports (default: current directory)"
+    )
+    return parser.parse_args()
+
+
+def main():
+    args = parse_arguments()
+
+    print("=" * 70)
+    print("FTD Detector - Follow-Through Day Bottom Confirmation")
+    print("O'Neil Rally Attempt + FTD State Machine (Dual Index)")
+    print("=" * 70)
+    print()
+
+    # Initialize FMP client
+    try:
+        client = FMPClient(api_key=args.api_key)
+        print("FMP API client initialized")
+    except ValueError as e:
+        print(f"ERROR: {e}", file=sys.stderr)
+        sys.exit(1)
+
+    # ========================================================================
+    # Step 1: Fetch Market Data (4 API calls)
+    # ========================================================================
+    print()
+    print("Step 1: Fetching Market Data")
+    print("-" * 70)
+
+    # S&P 500 history (60 trading days)
+    print("  Fetching S&P 500 history...", end=" ", flush=True)
+    sp500_history_data = client.get_historical_prices("^GSPC", days=80)
+    sp500_history = sp500_history_data.get("historical", []) if sp500_history_data else []
+    if sp500_history:
+        print(f"OK ({len(sp500_history)} days)")
+    else:
+        print("FAILED")
+        print("ERROR: Cannot proceed without S&P 500 data", file=sys.stderr)
+        sys.exit(1)
+
+    # NASDAQ/QQQ history (60 trading days)
+    print("  Fetching NASDAQ (QQQ) history...", end=" ", flush=True)
+    qqq_history_data = client.get_historical_prices("QQQ", days=80)
+    qqq_history = qqq_history_data.get("historical", []) if qqq_history_data else []
+    if qqq_history:
+        print(f"OK ({len(qqq_history)} days)")
+    else:
+        print("WARN - NASDAQ data unavailable, using S&P 500 only")
+
+    # S&P 500 quote (for current price)
+    print("  Fetching S&P 500 quote...", end=" ", flush=True)
+    sp500_quote_list = client.get_quote("^GSPC")
+    sp500_quote = sp500_quote_list[0] if sp500_quote_list else None
+    if sp500_quote:
+        print(f"OK (${sp500_quote.get('price', 0):.2f})")
+    else:
+        print("WARN - Using historical close as current price")
+
+    # QQQ quote
+    print("  Fetching QQQ quote...", end=" ", flush=True)
+    qqq_quote_list = client.get_quote("QQQ")
+    qqq_quote = qqq_quote_list[0] if qqq_quote_list else None
+    if qqq_quote:
+        print(f"OK (${qqq_quote.get('price', 0):.2f})")
+    else:
+        print("WARN - Using historical close as current price")
+
+    print()
+
+    # ========================================================================
+    # Step 2: Run State Machine (Rally Tracker)
+    # ========================================================================
+    print("Step 2: Analyzing Market State")
+    print("-" * 70)
+
+    market_state = get_market_state(sp500_history, qqq_history)
+
+    sp500_state = market_state["sp500"]["state"]
+    nasdaq_state = market_state["nasdaq"]["state"]
+    combined = market_state["combined_state"]
+
+    print(f"  S&P 500 State: {sp500_state}")
+    print(f"  NASDAQ State:  {nasdaq_state}")
+    print(f"  Combined:      {combined}")
+
+    # Print swing low info if found
+    for label, idx_data in [("S&P 500", market_state["sp500"]),
+                            ("NASDAQ", market_state["nasdaq"])]:
+        swing = idx_data.get("swing_low")
+        if swing:
+            print(f"  {label} Swing Low: {swing['swing_low_date']} "
+                  f"(${swing['swing_low_price']:.2f}, "
+                  f"{swing['decline_pct']:.1f}% decline)")
+        rally = idx_data.get("rally_attempt")
+        if rally and rally.get("day1_date"):
+            print(f"  {label} Rally Day 1: {rally['day1_date']} "
+                  f"(Day {rally['current_day_count']})")
+
+    print()
+
+    # ========================================================================
+    # Step 3: Post-FTD Health Assessment
+    # ========================================================================
+    print("Step 3: Post-FTD Health Assessment")
+    print("-" * 70)
+
+    # Convert to chronological for post-FTD analysis
+    sp500_chrono = list(reversed(sp500_history))
+    nasdaq_chrono = list(reversed(qqq_history)) if qqq_history else []
+
+    market_state = assess_post_ftd_health(market_state, sp500_chrono, nasdaq_chrono)
+
+    quality = market_state.get("quality_score", {})
+    print(f"  Quality Score: {quality.get('total_score', 0)}/100")
+    print(f"  Signal: {quality.get('signal', 'N/A')}")
+    print(f"  Guidance: {quality.get('guidance', 'N/A')}")
+    print(f"  Exposure Range: {quality.get('exposure_range', 'N/A')}")
+
+    # Power trend
+    pt = market_state.get("power_trend", {})
+    if pt:
+        print(f"  Power Trend: {'YES' if pt.get('power_trend') else 'No'} "
+              f"({pt.get('conditions_met', 0)}/3 conditions)")
+
+    # Post-FTD distribution
+    dist = market_state.get("post_ftd_distribution", {})
+    if dist:
+        print(f"  Post-FTD Distribution Days: {dist.get('distribution_count', 0)} "
+              f"(monitored {dist.get('days_monitored', 0)} days)")
+
+    # Invalidation
+    inv = market_state.get("ftd_invalidation", {})
+    if inv and inv.get("invalidated"):
+        print(f"  FTD INVALIDATED on {inv.get('invalidation_date')} "
+              f"({inv.get('days_after_ftd')} days after FTD)")
+
+    print()
+
+    # ========================================================================
+    # Step 4: Generate Reports
+    # ========================================================================
+    print("Step 4: Generating Reports")
+    print("-" * 70)
+
+    analysis = {
+        "metadata": {
+            "generated_at": datetime.now().strftime("%Y-%m-%d %H:%M:%S"),
+            "api_calls": client.get_api_stats(),
+            "index_prices": {
+                "sp500": sp500_quote.get("price", 0) if sp500_quote else (
+                    sp500_history[0].get("close", 0) if sp500_history else None
+                ),
+                "qqq": qqq_quote.get("price", 0) if qqq_quote else (
+                    qqq_history[0].get("close", 0) if qqq_history else None
+                ),
+            },
+        },
+        "market_state": {
+            "combined_state": market_state["combined_state"],
+            "dual_confirmation": market_state["dual_confirmation"],
+            "ftd_index": market_state.get("ftd_index"),
+        },
+        "sp500": _serialize_index(market_state["sp500"]),
+        "nasdaq": _serialize_index(market_state["nasdaq"]),
+        "quality_score": quality,
+        "post_ftd_distribution": market_state.get("post_ftd_distribution", {}),
+        "ftd_invalidation": market_state.get("ftd_invalidation", {}),
+        "power_trend": market_state.get("power_trend", {}),
+    }
+
+    timestamp = datetime.now().strftime("%Y-%m-%d_%H%M%S")
+    json_file = os.path.join(args.output_dir, f"ftd_detector_{timestamp}.json")
+    md_file = os.path.join(args.output_dir, f"ftd_detector_{timestamp}.md")
+
+    generate_json_report(analysis, json_file)
+    generate_markdown_report(analysis, md_file)
+
+    print()
+    print("=" * 70)
+    print("FTD Detection Complete")
+    print("=" * 70)
+    print(f"  Combined State: {market_state['combined_state']}")
+    print(f"  Quality Score: {quality.get('total_score', 0)}/100 ({quality.get('signal', 'N/A')})")
+    print(f"  JSON Report: {json_file}")
+    print(f"  Markdown Report: {md_file}")
+    print()
+
+    stats = client.get_api_stats()
+    print(f"API Usage:")
+    print(f"  API calls made: {stats['api_calls_made']}")
+    print(f"  Cache entries: {stats['cache_entries']}")
+    print()
+
+
+def _serialize_index(idx_data: Dict) -> Dict:
+    """Serialize index analysis for JSON output, removing large rally_days lists."""
+    result = {
+        "state": idx_data.get("state"),
+        "current_price": idx_data.get("current_price"),
+        "lookback_high": idx_data.get("lookback_high"),
+        "correction_depth_pct": idx_data.get("correction_depth_pct"),
+    }
+
+    swing = idx_data.get("swing_low")
+    if swing:
+        result["swing_low"] = {
+            "date": swing.get("swing_low_date"),
+            "price": swing.get("swing_low_price"),
+            "decline_pct": swing.get("decline_pct"),
+            "down_days": swing.get("down_days"),
+            "recent_high_date": swing.get("recent_high_date"),
+            "recent_high_price": swing.get("recent_high_price"),
+        }
+
+    rally = idx_data.get("rally_attempt")
+    if rally:
+        result["rally_attempt"] = {
+            "day1_date": rally.get("day1_date"),
+            "current_day_count": rally.get("current_day_count"),
+            "invalidated": rally.get("invalidated"),
+            "invalidation_reason": rally.get("invalidation_reason"),
+        }
+
+    ftd = idx_data.get("ftd")
+    if ftd:
+        result["ftd"] = {
+            "ftd_detected": ftd.get("ftd_detected"),
+            "ftd_date": ftd.get("ftd_date"),
+            "ftd_day_number": ftd.get("ftd_day_number"),
+            "gain_pct": ftd.get("gain_pct"),
+            "gain_tier": ftd.get("gain_tier"),
+            "volume_above_avg": ftd.get("volume_above_avg"),
+        }
+
+    return result
+
+
+if __name__ == "__main__":
+    main()