# METHODOLOGY

Data Frequency: Daily End-of-Day (EOD); therefore all data as of previous trading day's close. Intraday, Pre- and Post-Market moves are not reflected.

## VALUERAY PROPRIETARY SCORES

### Market-Level
- ValueRay Market Regime (VMR, 0-100): Proprietary, percentile-based equity breadth index with a slight focus on S&P 500 stocks. Blends % of stocks above the 20/50/200-DMA, % at 52-week highs/lows and advance/decline ratio. Reads similar to RSI but with different thresholds. Bearish: <40; Neutral: 40-60; Bullish: >60; Top/Bottom 5% often followed by consolidation.
 
### Per-Stock Composite Ratings
- ValueRay Total Rating (VRT, 0-100): Proprietary composite score (0–100). Components for Stocks: Piotroski (VR-10), Safety Score, IBD Relative Strength, Jensen's Alpha, ROIC - WACC, Rev + EPS SUE and EV/FCF. Components for ETFs: IBD Relative Strength, Jensen's Alpha, Sharpe, Buy Signal, Cagr/Max DD, TER, Turnover. Higher is better: scores above 70 indicate above-average quality-momentum-value profile, above 85 are exceptional.
- ValueRay Safety Score (0-100): Proprietary risk score (0-100) that combines Altman Z'' (Solvency), Beneish M-Score (Accounting Quality), Relative Tail Risk, Oversold state (EMA 8) and Sector/Industry rotation. If either financial Altman or Beneish is compromised, the overall score collapses. Scale: 100 = Fortress Balance Sheet (AAA/AA standard); >75 = Investment Grade (Safe); <50 = Speculative/High Risk; <20 = High Distress or Manipulation warning.
- Piotroski VR-10 (0-10): Stricter version of the Piotroski F-Score with 10 criteria and elevated thresholds (e.g., Gross Margin >18%, Current Ratio >1.5, Interest Coverage >6, Net Debt/EBITDA <3). Higher is better; 8+ indicates strong financial quality.
- Overall Options Rating: A proprietary score from 0 to 3 that measures a trade idea's overall risk, reward, and probabilities. Higher scores are better, ratings above 3.0 are considered exceptional.
- Overall Dividend Rating: Proprietary composite score, quantified on a scale from 0 to +100. Ratings surpassing 70 are regarded as favorable, while those exceeding 85 are strong.

### Per-Stock Trend & Momentum
- ValueRay Oscillator (VRO, 0-100): Proprietary per-stock trend-strength based on RSI percentile and others. Same thresholds as VMR. Short term momentum indicator.
- VRO Trend: 4-day change in VRO score (current minus 4 trading days ago). Positive = strengthening momentum, negative = weakening. Useful for detecting too sharp momentum moves that are often followed by a short term consolidation.

### Trading Signal
- Buy Signal: Proprietary swing-trading signal (2w-3m) that synthesizes multiple technical and fundamental factors. Scales from -3 to +3; can change significantly e.g. on Earnings day. Watch: >= +1.5, Buy: >= +2.0, Strong Buy: > +2.5. Scoring is asymmetric: negative factors penalize more heavily than equivalent positive factors reward.
- Signals Positive / Negative: Space-separated tags indicating which sub-signals contributed to or detracted from the Buy Signal score. Each tag represents a specific pattern or condition that was detected (e.g., "bo_ph" = breakout past pivot high, "pead" = post-earnings drift, "choppy" = erratic price action). The net effect is already reflected in Buy Signal.

### ValueRay BACKTESTED Metrics
- Sector Rotation (rel_delta): Median 6-week group momentum vs. market. Positive = gaining relative strength; negative = losing. Default: industry. Actionable above 20 (effects beginning after 2–3 weeks); sweet spot 30–35, typically 4–5 weeks out.
- EMA8 Distance Percentile: Percentile rank of the current price distance from the 8-day EMA. 50 = price at EMA (median). Requires momentum filter (rel_delta ≥22). With filter: actionable 30–96, sweet spot 45–68 (orderly trend), no edge <30 or >96. Strongest edge with rel_delta 28–32.
- Difference to 52-week High: How far the current price sits below its 52-week high (0% = at high). When used with momentum filter (e.g. rel_delta >20) and in consolidation: Bell curve peak at -11% (sweet spot), slightly negativ when 0% to -2% (exhaustion) and -15% (distress); empirically calibrated for 4w swing-trades only. Strongest edge with rel_delta 25–30.
- Pullback Retracement: How far price has recovered from its 30-day pivot low back toward the pivot high. 0% = at the low, 100% = fully recovered. Requires momentum filter (rel_delta ≥22). With filter: sweet spot ~15% ±3% (early bounce) and ~45% ±3% (half recovery), no edge outside these zones, negative returns >83%. Strongest edge with rel_delta 28–30.
- Monthly Seasonality: Median return from up to 10 years of trend-removed returns (hype phases are subtracted out, so they cannot fake a pattern). Reliability (0-100): how dependably that month repeats its direction across years; 0 = pure chance, 100 = every single year; direction-agnostic, so pair it with edge_pct; interesting >40, strong >55.

### ValueRay DERIVED Metrics
- Downside Beta: Beta calculated using only days when the S&P 500 declined (TTM). Measures sensitivity to market drops specifically. Compare with Beta to get full picture.
- Relative Tail Risk: Measures left-tail fatness relative to a normal distribution. Zero = normal tails; positive = fatter left tail (crashes will hit harder); negative = thinner tail. 
- VaR 5%: 3-day 5% Value at Risk from a GARCH skew-t forecast. The expected worst loss over the next 3 trading days at 95% confidence. Higher = more downside risk.
- (Trend) Correlation: Spearman rank correlation of price vs. time over the given timeframe (3m, 6m, 12m). Scale -1 to +1. Bullish: >0.5; Strong Bullish >0.8. Values near zero indicate no clear directional trend.
- Support/Resistance: Price levels from historical peak/valley clusters. Strength combines how often tested, how recent and distance to current price. Values above 1.0 are strong levels; below 0.5 are weak.
- Zigzag Pivot Points: Significant price turning points identified by alternating swing highs and lows. Each point shows the date, price and percentage move from the previous pivot.
- Changepoints: Structural break dates over the last 3 quarters. Marks regime shifts in volatility or drift.
- Idiosyncrasy: IBD-style percentile rating of the stock's own residual performance after removing expected SPY and market-neutral peer effects via beta regression. Isolates company-specific strength or weakness, stripped of market drift and peer-group waves. Higher = stronger self-driven performance versus the universe. Lower = weaker self-driven performance.
- Idiosyncrasy Share: The fraction of the stock’s recent daily movement over 63d that is self-driven rather than explained by market and peer factors, shown as %. Higher = the stock moves more independently from its group. Lower = the stock mostly follows market/peers. Values above 100% mean it moved against its factors. Direction-agnostic — pair with Idiosyncratic Return to know whether the independent move is up or down. Universe Median: 58% (slight right skew).

## GLOSSARY

### Generic Metrics 
- Revenue / EPS Stability: Measures the stability of revenue or EPS growth based on linear regression (last 12 Quarters). Scale -100% to +100%. A higher score indicates more consistent growth.
- Growth Rating: A proprietary score from 0 to 100 that measures a company's overall growth profile. It combines factors like a stock's 1-year and 5-year total return, its price stability (measured by linear regression), and its risk-adjusted return (CAGR vs. Drawdown).
- Relative volume: Compares end-of-day volume to the *median* of last 20 trading days. Values below 0.7 indicate low interest, above 1.4 indicate trading activity and above 2.5 indicate news-driven trading activity.
- Peer Percentile: Shows the rank compared to its GICS Sub-Industry peer group on a scale of 0-100. A rank of 91 means: its value is higher than 91% of its peers for that period, ranks near 50 are median. Higher does not necessarily mean better, it depends on the metric (e.g. higher valuation is NOT better, but higher profitability is better).

### Options Metrics 
- Margin of Safety: Calculates a price buffer using the stock's Average True Range (ATR). This buffer is increased for options with more Days-to-Expiration (DTE), providing a wider margin of safety for longer-term trades.
- Prob. of Touch: The probability that the stock's price will reach ('touch') the strike price at any point before expiration.
- Shares Vola: GARCH Forecast of a stock's annualized volatility (i.e. how much its price is expected to swing over a year in percent).
- Return on Capital (RoC %): The Premium received as a percentage of the capital required to secure the trade (i.e., the margin or max loss).
- Diff to last: For In-The-Money (ITM) covered calls, this shows the portion of the total profit that comes from the stock's price being above the strike price (the intrinsic value).

### Dividends Metrics
- Dividend Growth Rate: Compound annual growth rate of annual dividend per share over the last 5 years.
- Dividend Payout Stability: Spearman rank correlation of dividend payments over the last 5 years (-100% to +100%). Positive values indicate consistently growing dividends, negative values indicate declining trend.
- Payout Ratio: Percentage of earnings paid as dividends (TTM).
- Payout Consistency: % of eligible periods with uninterrupted or increased dividends, measured over the entire lifetime of the stock or fund.
- Yield on Cost 5Y (YoC): Effective dividend yield based on the stock price 5 years ago. Shows the impact of dividend growth over time. >10% indicates strong compounder.
- Payout FCF: Dividend as percentage of Free Cash Flow. >75% stretched, <20% very safe.
- Dividend Streak: Consecutive years of dividend payments (backwards from last year). >25 = Dividend Aristocrat level.

### Market Regime 
- SPX Cap-Weight to Equal-Weight ratio: Ratio of S&P 500 cap-weighted index to its equal-weighted version. Rising = large-cap leadership; Falling = small/mid-cap strength.
- TRIN (Arms Index): Ratio of advancing/declining stocks to advancing/declining volume. >2.0 = panic selling; <0.5 = euphoric buying.
- COR10D/90D (Implied Correlation): Implied correlation of S&P 500 components. Higher = stocks moving alltogether (risk-off herding); lower = dispersion (stock-picking environment).
- Credit Proxy (HY Bond): Northern Trust High Yield US Corporate Bond Index. Declining = rising credit stress.
- SKEW (CBOE): Asymmetry of tail risk in S&P 500. Higher indicates more hedging activity against downside moves. Avg (modern regime) 140, >155 is alert. SKEW changes often carry more information than level alone (Spikes <8pt = noise, >12pt = noteworthy, but not screened here). 
- MOVE (ICE BofA): Implied yield volatility of U.S. bonds/rates. Rising = rising interest-rate/yield uncertainty. <80 calm, 90–105 average, >120 stress, >130 alert. Limited standalone predictive power; in stress/alert zones, can act as an early warning for VIX spikes and SPX weakness.
- Pay special attention to: MOVE/VIX divergence (high MOVE + low VIX = stock crash risk).

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