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Theme Sampler v2 — Data-driven gap analysis using REAL BRAIN fields.
Picks under-explored themes from the canonical field registry.
Now uses actual field IDs, AC counts, and dataset tiers.
"""
import math
import random
from collections import Counter
from typing import Optional
from ..schemas import AnomalyTag
from ..data.brain_fields import (
ALL_FIELDS, GOLDMINE_FIELDS, TIER1_MODEL77_FIELDS,
TIER3_ANALYST_FIELDS, TIER2_NEWS_FIELDS, TIER3_OPTION_FIELDS,
TIER3_SUPPLY_CHAIN_FIELDS, TIER3_SOCIAL_FIELDS, TIER2_MODEL16_FIELDS,
BrainField, DatasetTier, pick_field, get_sign_multiplier,
FIELD_INDEX,
)
THEME_FIELDS: dict[str, list[str]] = {
"earnings_surprise_momentum": [
"standardized_unexpected_earnings_2",
"quarterly_earnings_surprise_stddev",
"quarterly_eps_surprise_change",
"six_month_eps_revision_fy2",
"mdl77_ooearningsmomemtummodel_fc_fqsurstd",
],
"earnings_quality_signaling": [
"mdl77_2valuemomemtummodel_earningsqualitymodule",
"mdl77_2valuemomemtummodel_managementsignalingmodule",
"mdl77_valueanalystmodelqva_mgtsignaling",
"mdl77_valueanalystmodelqva_yoychgdebt",
"mdl77_valueanalystmodelqva_chginv",
],
"asset_growth_anomaly": [
"mdl77_ohistoricalgrowthfactor_pctchgqtrast",
"three_year_change_gross_profit_margin_2",
"yearly_percentage_change_roe",
],
"forward_value_composite": [
"time_weighted_cash_flow_to_price",
"time_weighted_ebitda_to_enterprise_value_2",
"ttm_sales_to_enterprise_value",
"fundamental_growth_module_score",
],
"liquidity_risk_premium": [
"mdl77_2liquidityriskfactor_milliq",
"mdl177_2_globaldevnorthamerica_v502_liqcoeff",
],
"multi_factor_momentum": [
"multi_factor_static_score_derivative",
"relative_valuation_rank_derivative",
"growth_potential_rank_derivative",
"earnings_certainty_rank_derivative",
],
"news_reaction_drift": [
"news_short_interest",
"news_pct_5_min",
"news_vol_stddev",
],
"analyst_guidance_revision": [
"dividend_estimate_average",
"max_ebitda_guidance",
"cash_flow_operations_min_guidance",
"pretax_income_reported",
],
"options_sentiment_pcr": [
"pcr_vol_90",
"pcr_vol_20",
"forward_price_120",
],
"supply_chain_network": [
"pv13_customergraphrank_auth_rank",
"pv13_customergraphrank_page_rank",
"rel_ret_all",
"rel_ret_comp",
"pv13_custretsig_retsig",
],
"social_contrarian": [
"snt_buzz_ret_fast_d1",
"scl12_sentiment_fast_d1",
],
"geographic_exposure": [
"north_america_sales_exposure",
"mdl177_2_globaldevnorthamerica_v502_chgalpha12m",
],
}
THEME_TO_ARCHETYPE: dict[str, str] = {
"earnings_surprise_momentum": "pead_revisions",
"earnings_quality_signaling": "value_quality_blend",
"asset_growth_anomaly": "value_quality_blend",
"forward_value_composite": "fundamental_yield_composite",
"liquidity_risk_premium": "vol_scaled_shock",
"multi_factor_momentum": "multi_horizon_mr",
"news_reaction_drift": "intraday_mr_decay",
"analyst_guidance_revision": "pead_revisions",
"options_sentiment_pcr": "vol_scaled_shock",
"supply_chain_network": "multi_horizon_mr",
"social_contrarian": "intraday_mr_decay",
"geographic_exposure": "value_quality_blend",
}
THEME_TO_TAG: dict[str, AnomalyTag] = {
"earnings_surprise_momentum": AnomalyTag.PEAD,
"earnings_quality_signaling": AnomalyTag.QUALITY,
"asset_growth_anomaly": AnomalyTag.FUNDAMENTAL,
"forward_value_composite": AnomalyTag.VALUE,
"liquidity_risk_premium": AnomalyTag.LIQUIDITY,
"multi_factor_momentum": AnomalyTag.MOMENTUM,
"news_reaction_drift": AnomalyTag.EVENT,
"analyst_guidance_revision": AnomalyTag.ANALYST,
"options_sentiment_pcr": AnomalyTag.OPTION_SURFACE,
"supply_chain_network": AnomalyTag.TECHNICAL,
"social_contrarian": AnomalyTag.SOCIAL,
"geographic_exposure": AnomalyTag.OTHER,
}
PROVEN_ARCHETYPES = list(set(THEME_TO_ARCHETYPE.values()))
THEME_AVG_AC: dict[str, float] = {}
for _theme, _field_ids in THEME_FIELDS.items():
_acs = [FIELD_INDEX[fid].alpha_count for fid in _field_ids if fid in FIELD_INDEX]
THEME_AVG_AC[_theme] = sum(_acs) / len(_acs) if _acs else 999
def compute_gap_scores(
existing_themes: list[str],
existing_anomaly_tags: list[str],
dead_themes: Optional[list[str]] = None,
) -> list[tuple[str, float]]:
"""Rank themes by opportunity (higher = bigger gap)."""
theme_counts = Counter(existing_themes)
anomaly_counts = Counter(existing_anomaly_tags)
dead_set = set(dead_themes or [])
scores = []
for theme, fields in THEME_FIELDS.items():
if theme in dead_set:
continue
field_count = len(fields)
alpha_count = theme_counts.get(theme, 0)
avg_ac = THEME_AVG_AC.get(theme, 100)
gap = math.log(field_count + 1) - 2 * math.log(1 + alpha_count)
# Goldmine bonus for AC=0 fields
has_goldmine = any(
fid in FIELD_INDEX and FIELD_INDEX[fid].alpha_count == 0
for fid in fields
)
if has_goldmine:
gap += 2.0
if avg_ac <= 5:
gap += 1.0
elif avg_ac <= 50:
gap += 0.5
tag = THEME_TO_TAG.get(theme, AnomalyTag.OTHER)
tag_count = anomaly_counts.get(tag.value, 0)
if tag_count < 2:
gap += 0.5
scores.append((theme, gap))
scores.sort(key=lambda x: -x[1])
return scores
def pick_theme(
existing_themes: list[str],
existing_anomaly_tags: list[str],
dead_themes: Optional[list[str]] = None,
top_k: int = 3,
) -> str:
"""Pick the best theme to explore next."""
scores = compute_gap_scores(existing_themes, existing_anomaly_tags, dead_themes)
top = scores[:top_k]
if not top:
return random.choice(list(THEME_FIELDS.keys()))
return random.choice(top)[0]
def get_theme_fields(theme: str) -> list[str]:
return THEME_FIELDS.get(theme, [])
def get_theme_archetype(theme: str) -> str:
return THEME_TO_ARCHETYPE.get(theme, "novel")
def get_theme_tag(theme: str) -> AnomalyTag:
return THEME_TO_TAG.get(theme, AnomalyTag.OTHER)
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