Factor inventory — model card

v2.7 · Live The 30+ factor library powering the scoring engine. Tier 1-4 hierarchy: macro → sector → instrument → sentiment. Per Bible §6.1 inventory must be explicit.

Tier 1 — Macro / cross-asset (always-on; weight ≥ 0.30)

ID	Name	Source	Notes
F01_macro_mood	Macro mood (composite of DXY/yields/VIX)	FRED + Yahoo	Drives regime layer
F02_dxy	Dollar index trend + level	FRED DTWEXBGS	Risk-on inverse correlator
F03_yield_curve	10Y-2Y spread	FRED T10Y2Y	Recession proxy
F04_credit	HY credit spread (OAS)	FRED BAMLH0A0HYM2	Risk appetite
F09_vix	VIX level + slope	Yahoo ^VIX	Vol regime classifier

Tier 2 — Sector / industry (weight ≥ 0.20)

ID	Name	Source	Notes
F11_sector_rotation	Sector momentum cross-section	Yahoo	Top-3 / bottom-3
F12_breadth	% above 200d SMA in sector	Yahoo	Internal participation
F13_intermarket	SPY/TLT/GLD/USD correlation	Yahoo	Risk-on confirmation
F15_vol_regime	Sector-level vol percentile	Yahoo	Position sizing input
F18_relative_strength	Sector RS vs SPY	Yahoo	Rotation signal

Tier 3 — Instrument fundamentals (weight ≥ 0.15)

ID	Name	Source	Notes
F22_earnings	Earnings revision + surprise	Finnhub / SEC	Quality factor
F23_liquidity	Spread + book depth	Yahoo + Coinbase	Below 25 → no-action
F24_short_interest	SI as % of float	Finnhub	Squeeze setup signal
F25_squeeze	Squeeze composite (SI + days-to-cover + vol)	Computed	Lead indicator
F26_insider	Insider net buys (last 90d)	SEC EDGAR	Signal-rich for < $5B mcap
F28_quality	ROIC + FCF + balance sheet	FMP	Risk-off rewarded

Tier 4 — Sentiment / technical (weight ≥ 0.05)

ID	Name	Source	Notes
F05_mom3m	3-month momentum	Bars	Risk-on rewarded
F06_mom1m	1-month momentum	Bars	Faster-decaying
F07_mean_reversion	Z-score from 50d mean	Bars	Counter-trend
F08_news_velocity	News story rate × sentiment	News aggregator	Event-window detector
F10_atr_vol	14-day ATR % of price	Bars	Compression detector
F31_funding	Crypto perp funding rate	Binance Futures (v77)	Crypto-only
F32_oi_change	Open-interest delta	Binance Futures (v77)	Crypto-only
F33_smart_money	Whale + tier-1 fund flows	SEC 13F + on-chain	Quarterly lag

Layer-conditional weighting

Per engine/v76-layer-conditional.js, weights vary by regime:

• Risk-on: Tier 4 momentum (F05, F06) up-weighted; Tier 3 quality (F28) down-weighted
• Risk-off: Tier 3 quality (F22, F26, F28) up-weighted; Tier 4 momentum down-weighted
• Transition: Tier 1 macro factors dominate; Tier 4 suppressed (whipsaw zone)
• Recovery: Tier 2 sector rotation up-weighted (rebuilding leadership)

When to add a factor (Bible §6.6)

Proactively. When auditing API responses, watching the news cycle, or reading research:

1. Add to FactorRegistry
2. Backfill historical data
3. Re-weight if necessary (sum to 1.0 ± 0.05)
4. Add unit test (factor produces values in expected range)
5. Document here + in HANDOVER.md
6. Bump engine VERSION (Bible §15.7)

Source

engine/factors.js, engine/factors-extended.js, engine/factors-extended-2.js, engine/factors-extended-3.js, engine/v33-improvements.js through engine/v52-cockpit-views.js.

Reviewed: 2026-04-27 · Next: 2026-07-27 · Per Bible §15.61 + §6.1