quant-garage

Plugin quant-garage in rgourley/quant-garage. Commands read from the repo's manifest — 20 days ago.

Skills (62)

• 8-k-scanner

  Scan SEC 8-K disclosures across a single ticker or a watchlist using Massive's pre-parsed disclosure taxonomy. Groups the underlying rows by filing (one 8-K carries N tagged Items), ranks by signal bucket (M&A / Restatement / Material agreement / Regulatory / Leadership change / Capital / Earnings /

• analyst-tracker

  Track sell-side analyst positioning on a name via Benzinga Analyst Ratings. Pulls every rating event over the lookback window, classifies each as upgrade / downgrade / initiation / reiteration / drop-coverage / PT-change, aggregates the latest rating and price target per firm, and reports the curren

• backtest-data-prep

  Build a clean, point-in-time, ready-to-backtest OHLCV dataset for a US equity universe across an arbitrary date window. Emits parquet plus a manifest plus an edge-case log, with corporate actions reconciled, survivorship treatment documented, holidays and half-days preserved correctly, and any IPO p

• change-point-detector

  Bayesian Online Change-Point Detection (BOCPD) on a ticker's daily log returns. Detects points in time where the return-generating distribution changed (regime shift in mean, vol, or both), reports the confidence at each detected boundary, and emits per-segment statistics (annualized return, annuali

• commodity-cycle

  Single-commodity macro read. Answers "is this commodity in a winning or losing macro setup right now" and names the macro driver that dominates it. Pulls one commodity ETF (default GLD; accepts SLV, USO, DBC, or any commodity ETF) plus the macro context it needs (UUP for the dollar, TIP and IEF for

• corp-actions-reconciler

  Reconcile a position file against splits, dividends, and spinoffs to catch breaks before they hit P&L or T+1 settlement. Use when an operator hands over a CSV of positions and asks "are these right after the recent corporate actions." Runs on a free Massive Basic key.

• corporate-actions-scanner

  Scan for material 8-K corporate actions over a lookback window. For a ticker or watchlist, pulls SEC EDGAR 8-K filings, filters to material items (offerings, private placements, splits, spin-offs, buybacks, M&A, restatements), cross-references Massive news for the headline, and computes T+1 and T+5

• crypto-vol-scanner

  Surface 24h crypto volatility and microstructure anomalies across a universe (default top 10) as a Bloomberg crypto desk / Cheddar-Flow-for-crypto-style stream. Per-name: realized vol spike (vs 30d distribution), volume anomaly (vs 30d avg), cross-exchange basis (max bid-ask divergence across Coinba

• earnings-blackout

  Lightweight watchlist scanner. Takes a comma-separated list of tickers plus a forward window and returns each ticker's earnings status (blackout_imminent, blackout_soon, blackout_extended, just_printed, recent_print, clear, unresolved) with the next/most-recent print date and consensus EPS where ava

• earnings-drilldown

  Produce a sell-side-grade earnings preview for a single ticker: implied vs realized move, beat/miss history, post-earnings drift, peer reaction, and a one-line take. Use when an analyst, PM, or trader is preparing for a specific company's earnings print. Lite mode runs on Stocks Starter; full mode a

• earnings-week-prep

  Sunday-night prep for the week's earnings prints. Runs earnings-blackout across the watchlist to find who prints in the window, then earnings-drilldown + technical-briefing per imminent print (capped to top_n_drilldown for cost control). Use when the operator has multiple names printing in a single

• event-study

  Measure abnormal returns around a corporate event for one or many tickers. Three input modes pick the output shape automatically: single ticker + single event renders a sell-side note (with t-stat vs that name's reaction distribution); many tickers + one event class renders a cross-section table; ma

• factor-research

  Run a quant-style multi-factor backtest on a defined US equity universe. For momentum, value, quality, and low-vol factors, compute decile spreads, information coefficients with t-stats, IC decay curves at 1M/3M/6M/12M forward horizons, single-name attribution at the long and short tails, and the fa

• filing-sentiment

  Score 10-K narrative sections (Business, Risk Factors) for a ticker using the Loughran-McDonald finance sentiment dictionary and report year-over-year tone shifts by category (negative, uncertain, litigious, modal-weak, modal-strong, constraining). Answers "did management's language get more defensi

• filing-triangulation

  Workflow composite that runs five filing / ownership skills on a single ticker (8-k-scanner + risk-factor-delta + filing-sentiment + insider-flow + analyst-tracker) and returns a unified fundamental report with a cross-source verdict (predominantly_constructive / predominantly_concerning / mixed / n

• fixed-income-context

  Rates and credit view via ETF proxies (SHV, SHY, IEF, TLT, TIP, LQD, HYG, AGG). Reports returns across 1/5/20/60/120 day windows, price percentile vs trailing year, HYG-LQD credit spread delta and TLT-IEF duration spread delta, plus HYG-benchmark correlation. Derives a regime label (risk_off, credit

• guidance-tracker

  Track corporate guidance history for a ticker via Benzinga Corporate Guidance. Classifies each event as raised / lowered / reaffirmed / initiation against the prior figure using the endpoint's built-in previous_min/max fields, groups by fiscal period, and reports the trajectory. Answers "how has man

• hedge-suggester

  Proposes concrete, live-priced option hedges against a single long position and ranks them by cost per dollar of downside protected. Takes a ticker and a position size (shares or notional), pulls the underlying price and the options chain around the horizon expiry, and constructs five standard overl

• historical-analog-finder

  Regime-conditional forecasting. Takes today's market-regime feature vector (5/20/60/120-day return, above 50/200-day SMA, RSI, realized vol, drawdown from 252-day high) and finds K historical periods with the most similar setup via z-scored Euclidean distance. Deduplicates overlapping matches so one

• historical-comparison

  Twin decision-support. Chains event-study (what happened around a specific event) with historical-analog-finder (what usually happens in setups like now). Useful before making a call where both name-specific event evidence and market-wide regime analog matter. Also runs analog-only mode when no tick

• hurst-exponent

  Estimate the Hurst exponent for a single ticker's daily log returns using rescaled-range (R/S) analysis, and classify the series as mean_reverting (H < 0.45), random_walk (H in [0.45, 0.55]), or trending (H > 0.55). Reports per-block R/S values and a block-bootstrap confidence band around H. Compani

• insider-flow

  Aggregate SEC Form 4 insider activity for a ticker over a caller-supplied lookback window, classify each transaction by SEC transaction code and Rule 10b5-1 status, separate signal (conviction buys, discretionary sales) from noise (grants, exercises, tax withholding, 10b5-1 sales), detect cluster bu

• macro-event-calendar

  Forward calendar of the macro releases that reprice the whole book (FOMC, CPI, PPI, NFP, ISM manufacturing/services, GDP, PCE, JOLTS, jobless claims, retail sales, Consumer Confidence, Michigan Sentiment). Each event ships with release date/time, an impact tier, and the historical mean absolute 1-da

• manager-portfolio-diff

  Diff the two most recent quarterly 13-F filings for an institutional investment manager (Berkshire, Baupost, Renaissance, Pershing Square, Tiger Global, Appaloosa, Scion, etc.) using Massive's pre-parsed 13-F endpoint. Reports initiations, exits, adds (>= 25% share change), trims (<= -25%), and port

• market-regime

  Daily macro context. Pulls SPY trend (5 buckets via 20/50/200-day SMA stack), VIX state with percentile rank vs the trailing year, breadth proxy from 11 sector ETFs above their own 50-day / 200-day SMAs, and 20-day relative-strength sector leadership. Combines the four blocks into a single composite

• massive-api-patterns

  Foundation skill for any REST workflow hitting api.massive.com. Use when calling any /v1, /v2, /v3 endpoint. Covers auth header, rate limit handling, pagination, and the best-price fallback chain. Every other REST-using skill depends on this.

• massive-flat-files

  Foundation skill for bulk historical workflows backed by Massive's S3 flat files. Use whenever you need more than a few hundred ticker-days of trades, quotes, or aggregates. Faster, cheaper, and rate-limit-free compared to REST. Included with any paid Massive plan.

• massive-websockets

  Foundation skill for live streaming workflows backed by Massive WebSockets. Use whenever you need sub-second updates from stocks, options, crypto, or FX feeds. Requires a real-time tier (Stocks Advanced, Options Developer, or Crypto Developer).

• mc-portfolio-simulator

  Monte Carlo forward P&L simulator for a book. Simulates 10,000 correlated return trajectories from the shrunk covariance matrix over a caller-specified horizon (default 60 trading days) and reports the full cumulative-return distribution, max-drawdown distribution, path VaR, and P(loss > X%) at 5/10

• morning-brief

  60-second daily open briefing. Composes market-regime + macro-event-calendar (today+tomorrow) + news-scanner (last N per watchlist ticker). Lighter and shorter-horizon than weekly-brief. Use daily at the open, or when the operator wants a quick "what happened overnight and what's on today.

• news-scanner

  Surface the day's news events that actually moved a stock. For each notable headline across a watchlist (or the broader market), render a Bloomberg news tape / Benzinga Pro-style stream with sentiment, novelty, and the post-publish price reaction. Ranked by impact, capped at top N (default 15-20). T

• options-flow

  Surface unusual options activity across a watchlist as a Cheddar Flow / FlowAlgo-style stream. Each notable print rendered as a three-line block with kind (sweep vs block), premium, volume vs avg, volume vs OI (opening vs closing), price relative to NBBO, and inferred direction. Use when a trader is

• options-structure-analyzer

  Given a view (direction_bullish, direction_bearish, vol_long, vol_short, hedge), a horizon, and a target move, enumerate candidate options structures (long call/put, bull/bear spreads, straddles, strangles, iron condor, protective put, collar), compute payoff-at-target, and rank by payoff/capital. N

• pairs-scanner

  Screen every pair in a basket for cointegration on daily closes and rank the tradeable ones by spread z-score. Runs the Engle-Granger two-step on log prices, tests the residual with a Dickey-Fuller t-stat against MacKinnon 2010 critical values, estimates the Ornstein-Uhlenbeck half-life of mean reve

• pitch-comps

  Build a Bloomberg / CapIQ-style comparable companies set for a subject ticker. Identifies peers via a curated override map (with correlation and SIC fallbacks), pulls current multiples (EV/Sales, EV/EBITDA, P/E) for the subject and peers, renders the comp table with median / mean / 25-75 percentile

• portfolio-macro-scenario

  Prescriptive macro scenario analysis on a current book. Given a position book (CSV of ticker,shares) and a scenario stated as flags (--rates-bp, --dxy-pct, --oil-pct, --gld-pct), it regresses each position's daily returns on four macro factor ETFs (TLT for rates, UUP for the dollar/DXY, USO for oil,

• portfolio-mark

  Mark a book of positions to current fair value and flag any name where the mark is low-confidence (stale, wide-spread, illiquid). Two modes: delayed REST snapshots for EOD reporting, live WebSocket stream for intraday risk. Emits a marked-positions table plus an exception block per flagged mark. Use

• portfolio-rebalancer

  Decision layer on top of risk-report. Takes positions with weights and outputs specific trade tickets to bring every name under a variance-share cap while respecting weight and churn limits. Turns "ALLO carries 66% of portfolio variance at 18% weight" into "sell $65k of ALLO, redistribute, portfolio

• portfolio-review

  Composite skill that chains market-regime, sector-rotation-signal, risk-report, earnings-blackout, macro-event-calendar, corporate-actions-scanner, and portfolio-rebalancer into one call. Turns the manual 6-command portfolio-review workflow into a single invocation. Emits a headline summary that pul

• position-sizer

  Run vol-target, fractional Kelly, risk parity, and equal-weight position sizes side-by-side on a basket of tickers. Use when a PM has names they want in the book and asks "how much of each?" The script doesn't pick names or predict returns; it shows what each sizing method gives so the PM can pick t

• pre-earnings-full-stack

  Workflow composite for a single ticker heading into an earnings print. Chains earnings-blackout (timing check) + event-study (prior print reaction distribution) + guidance-tracker (management raise/cut track record) + analyst-tracker (sell-side positioning) + mc-portfolio-simulator (P&L distribution

• prediction-market-monitor

  Pull Kalshi prediction market prices for Fed decisions, CPI, GDP, NFP, and other macro / market events. Report implied probability per outcome, aggregate cross-strike distribution when the series is a laddered strike set (like KXFED-27APR-T4.25, T4.00, T3.75...), expected value, modal outcome, and o

• preflight-trade

  Before-you-execute sanity check on a single ticker + intended action (buy, sell, add, reduce, exit). Composes technical-briefing + earnings-blackout (14d) + news-scanner (last N) + corporate-actions-scanner (90d) into a verdict (go, wait, review) plus red/green flag lists. Use when the operator is a

• regime-audit

  Workflow composite that runs change-point-detector + hurst-exponent on SPY plus the 11 SPDR sector ETFs. Reports per-name the last detected regime shift, current persistence classification (mean_reverting / random_walk / trending), and cross-sector summary (broad_regime_shift / localized_regime_shif

• relative-strength

  Rank a watchlist of tickers by relative strength versus a benchmark (default SPY) across multiple lookback windows (default 5/20/60/120 trading days). Emits per-window RS in basis points, total return, a within-watchlist composite percentile rank, and a trend label per name (stable_leader, improving

• risk-factor-delta

  Diff Item 1A Risk Factors between two 10-K filings for a name using Massive's pre-parsed and taxonomy-classified risk-factor endpoint. Reports categories added, categories removed, and categories where the supporting text materially changed (>= 25% length delta) year-over-year. Groups by primary cat

• risk-report

  VaR (historical + parametric), Expected Shortfall, max drawdown, beta, tracking error, position variance contributions, concentration metrics, and worst-N historical stress scenarios for a portfolio. Pairs with portfolio-mark (which marks the book — risk-report tells you what could happen to those m

• rough-vol-forecast

  Rough-volatility-scaled vol forecast (Bayer-Friz-Gatheral 2016) for a ticker across multiple horizons. Under rough vol, realized vol scales as h^H with H around 0.14 empirically (Livieri et al. 2018), much slower than the sqrt(t) growth of Brownian motion. This dampens long-horizon extrapolation and

• scan-and-frame

  Research-tier idea generation with regime framing. Chains market-regime (context) + universe-builder (candidates) + relative-strength (rank candidates vs SPY). Optionally adds factor-research for broader factor context (heavy, off by default). Different from portfolio-review (positions) and weekly-b

• sector-rotation-signal

  Change-detection layer on top of market-regime. market-regime reports current sector leadership as a snapshot; this skill tracks how the leadership order has changed over a rotation window (default 30 days) and flags sectors moving up or down the ranks. Categorizes moves into growth / value-cyclical

• signal-decay

  Estimate the half-life of a candidate signal by computing rolling information coefficient (IC) vs forward returns over a 5-year window and fitting an exponential decay to the IC series. Motivated by 2024-25 factor decay literature showing most published signals have decayed sharply post-publication.

• single-name-vs-sector

  Split one name's relative strength into two clean legs, name vs its sector ETF and sector vs benchmark, so you can tell whether the name is strong because its sector is strong or because it is pulling away from its own sector. Maps the ticker to its SPDR sector ETF (XLK, XLF, XLE, XLV, XLI, XLY, XLP

• slippage-cost

  Slippage analysis on an executed-fills CSV. For each fill, pulls the NBBO at the fill timestamp, computes slippage versus the inside quote and session VWAP, and flags fills that crossed the spread, traded off-NBBO, paid through a wide spread, or showed adverse selection in the 30 seconds after the p

• smart-money-cluster

  Workflow composite that runs manager-portfolio-diff across a curated cohort of well-known filers (Berkshire, Baupost, Renaissance, Bridgewater, Third Point, Pershing Square, Tiger Global, Scion, Appaloosa) and aggregates the initiations, adds, and exits by issuer. Surfaces cross-fund conviction: nam

• stock-one-pager

  Beginner-friendly single-name snapshot. Composes technical-briefing + earnings-blackout + market-regime into a plain-language card. The retail-tier answer to "what should I know before buying this thing I saw on social." Zero jargon. Every claim gated by what the data actually says. Use when a first

• t+1-settlement-prep

  Take a trade file (recent trades that haven't settled yet) and walk every line against the business-day calendar plus the corporate-action calendar to flag trades with settlement risk. Catches holiday adjacency, weekend crossing, short-sale locate prompts, ex-dividend in the settlement window, mid-s

• technical-briefing

  Single-name technical briefing — composite trend regime, RSI momentum, MACD cross, key MAs (20/50/200), Bollinger position, ATR as % of price, ADV-bucketed liquidity context — in a sell-side-quality block. Use when the user asks "what does the chart say on NVDA right now?" or "give me a technical re

• universe-builder

  Build a filtered, ranked equity universe from a candidate pool and emit a Bloomberg EQS / FactSet screener-style table. Chain composable predicates (market cap, momentum, valuation, options activity), rank survivors by composite z-score, flag sector concentration, and document survivorship handling.

• valuation-sanity-check

  Sanity-check an internal analyst valuation thesis against the live peer set. Input the target price, assumed revenue growth, assumed EBITDA margin, and horizon; the skill pulls the current name, builds the peer cohort, computes target-implied multiples vs the peer 25-75 band, compares the growth and

• vs-benchmark-audit

  Take a book (weights per ticker), compute the daily portfolio return series, and run the full tearsheet with deflated Sharpe correction (Bailey & Lopez de Prado) plus rolling IC vs benchmark. Emits a verdict (real_alpha / possibly_alpha / essentially_beta / underperforming / no_edge_evident) based o

• weekly-brief

  Sunday-night briefing for the week ahead. Composes market-regime + sector-rotation-signal + macro-event-calendar (7d) + earnings-blackout (7d) into a watchlist-focused prep brief. Different from portfolio-review, which is position-focused; this one asks "what's happening this week across the names I

• zero-dte-gamma

  Estimate net dealer gamma exposure (GEX) for same-day-expiry (or nearest-expiry) SPY / SPX / QQQ / IWM options and identify gamma pins. Uses Black-Scholes gamma applied to reported open interest with a standard dealer positioning assumption (short customer calls, long customer puts). Reports net dea

Similar plugins