e798fce6a8
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fundamental-analysis: added statistical risk layer - normality test (Jarque-Bera) — validates Sharpe/VaR reliability - unit root test (ADF) — validates technical analysis applicability - rolling skew/kurtosis — tail risk monitoring - interpretation rules for crash risk detection portfolio-review (NEW): portfolio health check and similarity search - HRP optimization, correlation matrix, risk parity weights - t-SNE clustering for hidden correlations - stock similarity search for diversification - rule-engine BUY_MORE/HOLD/SELL per holding strategy-backtest (NEW): historical strategy validation - SMA crossover, RSI mean-reversion, buy-and-hold, momentum - comparison framework with Sharpe, max DD, win rate - validation workflow for trade-analyze recommendations Coverage: 67% → 79% of API endpoints (104/131)
139 lines
5.3 KiB
Markdown
139 lines
5.3 KiB
Markdown
---
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name: fundamental-analysis
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description: Professional fundamental analysis — valuation, growth quality, financial health, risk metrics, institutional positioning via openbb-invest-api
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user-invocable: true
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metadata: { "openclaw": { "emoji": "📋", "requires": { "bins": ["curl"] } } }
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---
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# Fundamental Analysis
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Generate a professional-grade fundamental analysis. Think like a buy-side equity analyst.
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## Data Collection
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```bash
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BASE=https://invest-api.k8s.home
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# Company overview (quote + profile + metrics + financials in one call)
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curl -sk "$BASE/api/v1/stock/{TICKER}/summary"
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# Analyst consensus estimates
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curl -sk "$BASE/api/v1/stock/{TICKER}/estimates"
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# Analyst upgrades/downgrades with price targets
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curl -sk "$BASE/api/v1/stock/{TICKER}/upgrades"
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# Analyst buy/hold/sell counts
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curl -sk "$BASE/api/v1/stock/{TICKER}/recommendations"
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# Quantitative risk: Sharpe, volatility, max drawdown
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curl -sk "$BASE/api/v1/stock/{TICKER}/performance?days=365"
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# CAPM: beta, alpha, systematic vs idiosyncratic risk
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curl -sk "$BASE/api/v1/stock/{TICKER}/capm"
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# Sortino ratio (downside risk — better than Sharpe for asymmetric returns)
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curl -sk "$BASE/api/v1/stock/{TICKER}/sortino?days=365"
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# Omega ratio (full distribution gain/loss)
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curl -sk "$BASE/api/v1/stock/{TICKER}/omega?days=365"
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# Normality test (are returns normally distributed? If not, Sharpe/VaR underestimates risk)
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curl -sk "$BASE/api/v1/stock/{TICKER}/normality?days=365"
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# Unit root test (does the price have a trend, or is it random walk?)
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curl -sk "$BASE/api/v1/stock/{TICKER}/unitroot?days=365"
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# Rolling skewness (negative skew = increasing downside tail risk)
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curl -sk "$BASE/api/v1/stock/{TICKER}/rolling/skew?days=365&window=30"
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# Rolling kurtosis (high = fat tails, extreme moves more likely)
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curl -sk "$BASE/api/v1/stock/{TICKER}/rolling/kurtosis?days=365&window=30"
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# Share statistics (float, shares outstanding, short % of float)
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curl -sk "$BASE/api/v1/stock/{TICKER}/share-statistics"
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# Institutional holders (13F — who's buying/selling)
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curl -sk "$BASE/api/v1/stock/{TICKER}/institutional"
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# Dividend history (if applicable)
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curl -sk "$BASE/api/v1/stock/{TICKER}/dividends"
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# Upcoming earnings date
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curl -sk "$BASE/api/v1/calendar/earnings?start_date=$(date +%Y-%m-%d)&end_date=$(date -d '+30 days' +%Y-%m-%d 2>/dev/null || date -v+30d +%Y-%m-%d)"
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```
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## Report Structure
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```
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## {TICKER} Fundamental Analysis — {date}
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### Valuation
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- P/E: {value} vs S&P 500 avg (~22) — [cheap / fair / rich]
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- P/B: {value}
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- EV/EBITDA: {if available}
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- Price vs consensus target: ${current} vs ${target} ({upside/downside}%)
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- Price target range: ${low} — ${high}
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### Growth Quality
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- Revenue YoY: {%} — trend [accelerating / decelerating / stable]
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- EPS YoY: {%}
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- ROE: {%} — [excellent >20% / strong >15% / moderate >10% / weak <10%]
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- ROA: {%}
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- Net margin: {%} — [expanding / compressing]
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- Forward estimates: {consensus EPS for next quarter/year}
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### Financial Health
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- Debt-to-Equity: {ratio} — [conservative <0.5 / moderate / leveraged >1.5]
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- Current Ratio: {ratio} — [healthy >1.5 / tight <1.0]
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- Free Cash Flow: {trend and magnitude}
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- Cash position: {if available}
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### Risk Profile
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- Beta: {value} — [defensive <0.8 / market ~1.0 / aggressive >1.2]
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- CAPM alpha: {%} — [outperforming / underperforming vs market]
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- Sharpe (1Y): {value} — [poor <0.5 / good >1.0 / excellent >2.0]
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- Sortino (1Y): {value} — Sortino > Sharpe suggests positive skew (good)
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- Max drawdown (1Y): {%}
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- Omega ratio: {value}
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### Statistical Risk (Quant Layer)
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- Normality: {Jarque-Bera p-value} — [normal (p>0.05): Sharpe/VaR reliable / non-normal (p<0.05): use Sortino/Omega instead]
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- Unit root (ADF): {p-value} — [trend present (p<0.05): technicals valid / random walk (p>0.05): technicals unreliable]
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- Rolling skew (30d): {latest value} — [negative = growing downside tail / positive = upside tail / near 0 = symmetric]
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- Rolling kurtosis (30d): {latest value} — [>3 = fat tails, extreme moves likely / <3 = thin tails, well-behaved]
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- ⚠️ If non-normal + negative skew + high kurtosis = **elevated crash risk**, reduce position size
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### Institutional & Ownership
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- Float: {shares} ({% of total})
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- Short % of float: {%} — [low <5% / moderate / high >15%]
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- Top institutional holders: {names if available}
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- Recent institutional activity: [net buying / net selling / stable]
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### Analyst Consensus
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- Ratings: {strong buy} strong buy / {buy} buy / {hold} hold / {sell} sell
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- Recent actions: {last 2-3 upgrades/downgrades with firm names}
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- Upcoming earnings: {date if within 30 days — FLAG if within 7 days}
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### Dividend (if applicable)
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- Yield: {%}
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- Payout ratio: {%}
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- Growth streak: {years}
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### Signal: [BULLISH / BEARISH / NEUTRAL]
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### Confidence: {1-10}
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### Key Risk: {one-line}
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```
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## Rules
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- Use ONLY data from API responses
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- Compare metrics to sector peers, not just absolute thresholds
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- Flag **earnings within 7 days** as a major catalyst/risk
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- Sortino > Sharpe for stocks with asymmetric return profiles
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- High short interest + upcoming catalyst = potential squeeze
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- If normality test fails: Sharpe/VaR are unreliable, emphasize Sortino and Omega instead
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- If unit root test fails (random walk): de-emphasize technical signals in your assessment
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- Negative rolling skew + high kurtosis = crash risk flag — recommend smaller position
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- Keep under 600 words
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