# StockBot 2.0 Full Reference Documentation (llms-full.txt)

> Comprehensive architectural, quantitative, and API reference manual for StockBot 2.0.

## Table of Contents
1. System Overview & Dual-Model Separation
2. Institutional Flow Architecture (TWSE / TPEX)
3. Quantitative Valuation Engine (DCF, CAPM, WACC, Sensitivity Matrix)
4. Mark Minervini SEPA Momentum Engine
5. Earnings Intelligence & Consensus Engine
6. Black-Scholes Multi-Leg Options Simulator
7. Market Microstructure & Square-Root Impact Engine
8. ETF NAV Divergence & Dealer GEX Engine
9. 13 Masters Hedge Fund Simulation (3-Batch Progressive Loading)
10. DeepEar Causal Transmission Chains & AlphaEar Invalidation Triggers
11. Multi-Factor Regime Asset Allocation (voidful/us_fddk)
12. 2MD AnyDoc Financial Report Engine
13. Generative UI React Component Mapping
14. Complete Benchmark Test Suite & QA Prompts

---

<a id="institutional-flow"></a>
## 1. Institutional Flow Architecture (TWSE / TPEX)

### Source APIs
- **TWSE T86**: `https://www.twse.com.tw/rwd/zh/fund/T86?date={YYYYMMDD}&selectType=ALLBUT0999&response=json`
- **TWSE MI_QFIIS**: `https://www.twse.com.tw/rwd/zh/fund/MI_QFIIS` (Foreign ownership ratio %)
- **TPEX 3insti**: `https://www.tpex.org.tw/web/stock/3invest/3itrade_hedge/3itrade_hedge_result.php`

### Quant Signal Logic
1. **🟢 土洋同買 (Foreign & Trust Co-Buying)**: Both Foreign Investors (`foreignNetLots > 0`) and Domestic Investment Trusts (`trustNetLots > 0`) have positive net buying volume today.
2. **⚔️ 土洋對作 (Foreign vs Trust Divergence)**: Foreign and Trust net volumes have opposing signs with magnitude difference > 100 lots.
3. **🚀 投信連買認養 (Trust Accumulation Streak)**: Domestic Investment Trust consecutive net buying streak $\ge 3$ trading days.
4. **🔴 三大法人同步賣超 (Institutional Sell-off)**: Foreign, Trust, and Dealers all have net negative trading volume on the day.

---

<a id="valuation"></a>
## 2. Quantitative Valuation Engine (DCF, CAPM, WACC, Sensitivity Matrix)

### Free Cash Flow to Firm (FCFF) Model
$$\text{FCFF} = \text{EBIT} \times (1 - t) + \text{D\&A} - \text{CapEx} - \Delta \text{NWC}$$

### CAPM & Weighted Average Cost of Capital (WACC)
$$\text{Cost of Equity } (K_e) = R_f + \beta \times \text{ERP}$$
$$\text{WACC} = \left(\frac{E}{V} \times K_e\right) + \left(\frac{D}{V} \times K_d \times (1 - t)\right)$$
- $R_f$: 10-Year US Treasury Yield (live dynamic or baseline 4.25%)
- ERP: Equity Risk Premium (5.00%)
- $\beta$: Rolling 5-year regression beta (defaults to sector benchmark when unlisted)

### Expansion Phase Smoothing
For high-capex growth companies with transient negative FCF (such as SpaceX SPCX during satellite mega-constellation deployment), the model applies a normalized steady-state 15% revenue margin to prevent negative equity value塌陷, ensuring $\text{Intrinsic Value} \ge 0$.

### 5x5 Sensitivity Matrix
Dynamic cross-tabulation of WACC (vertical axis, $\pm 1.0\%$ step) against Perpetual Terminal Growth Rate $g$ (horizontal axis, $1.5\% \sim 3.5\%$, step $0.5\%$).

---

<a id="sepa"></a>
## 3. Mark Minervini SEPA Momentum Engine

### 8-Point Trend Template Rules
1. Current Stock Price $>$ 150-day and 200-day Simple Moving Average (SMA).
2. 150-day SMA $>$ 200-day SMA.
3. 200-day SMA is trending upward for at least 1 month (22 trading days).
4. 50-day SMA $>$ 150-day SMA and 50-day SMA $>$ 200-day SMA.
5. Current Stock Price $>$ 50-day SMA.
6. Current Stock Price is at least 30% above its 52-week low (or $\ge 25\%$ for large caps).
7. Current Stock Price is within 25% of its 52-week high.
8. Relative Strength (RS) rating $\ge 70$ (Minervini optimal $\ge 80$).

### Cycle Stages & Volatility Contraction Pattern (VCP)
- **Stage 1**: Neglected Consolidation (Base building)
- **Stage 2**: Advancing Phase (Institutional accumulation - optimal buy stage)
- **Stage 3**: Top Area (Distribution)
- **Stage 4**: Declining Phase (Capitulation)
- **Risk Position Sizing**: $\text{Shares} = \frac{\text{Portfolio Equity} \times \text{Risk \%}}{|\text{Entry Price} - \text{Stop Loss}|}$

---

<a id="earnings"></a>
## 4. Earnings Intelligence & Consensus Engine

### Capabilities
- Next Earnings Release Date detection with Time-of-Day tag (BMO: Before Market Open / AMC: After Market Close).
- Consensus Wall Street EPS & Revenue forecast ranges (Low, Consensus Median, High).
- Analyst 12-Month Target Price Spread (Low, Mean, High) with upside/downside percentage.
- Historical 4-Quarter Beat/Miss Surprise Track Record table.

---

<a id="native-financials"></a>
<a id="financial-metrics"></a>
## 5. Native Financials & Metric Direct Answer

### 4-Pillar Fundamental Matrix
1. **Valuation Multiples**: Trailing P/E, Forward P/E, P/B, P/S, EV/EBITDA, EV/Sales.
2. **Profitability Margins**: Gross Margin, Operating Margin, Net Profit Margin, ROE, ROA, ROIC.
3. **Balance Sheet Health**: Current Ratio, Quick Ratio, Debt-to-Equity Ratio, Interest Coverage.
4. **Growth Trajectory**: Revenue YoY/QoQ, Operating Income Growth, EPS Diluted YoY.

### Deterministic Financial Metric Calculation
Structured queries (e.g. EBITDA, 3-Year CAGR, FCF) are computed directly from balance sheet and income statement time-series with explicit reported currency, fiscal period, and accounting standard.

---

<a id="options-payoff"></a>
## 6. Black-Scholes Multi-Leg Options Simulator

### Analytical Closed-Form Greeks
$$d_1 = \frac{\ln(S/K) + (r + \sigma^2/2)T}{\sigma\sqrt{T}}, \quad d_2 = d_1 - \sigma\sqrt{T}$$
$$\Delta_{\text{Call}} = N(d_1), \quad \Delta_{\text{Put}} = N(d_1) - 1, \quad \Gamma = \frac{N'(d_1)}{S\sigma\sqrt{T}}$$
$$\Theta_{\text{Call}} = -\frac{S N'(d_1)\sigma}{2\sqrt{T}} - r K e^{-rT}N(d_2), \quad \mathcal{V} = S\sqrt{T}N'(d_1)$$

### Supported Strategies
Iron Condor, Long/Short Straddle, Long/Short Strangle, Bull/Bear Vertical Spread, Butterfly, Calendar Spread, Covered Call, Cash-Secured Put.

---

<a id="liquidity"></a>
## 7. Market Microstructure & Square-Root Impact Engine

### Amihud Illiquidity Ratio
$$\text{Amihud} = \frac{1}{D} \sum_{t=1}^D \frac{|R_t|}{\text{Volume}_t \times \text{Price}_t}$$

### Square-Root Market Impact
$$\text{Impact (bps)} = Y \times \sigma_{\text{daily}} \times \sqrt{\frac{Q}{V_{\text{daily}}}} \times 10{,}000$$
- $Q$: Order size in shares
- $V_{\text{daily}}$: Average daily volume
- $\sigma_{\text{daily}}$: Daily price volatility ($\approx \frac{\text{IV}}{\sqrt{252}}$)
- $Y$: Microstructure coefficient ($\approx 0.5 \sim 0.7$)

---

<a id="etf-premium"></a>
## 8. ETF NAV Divergence & Dealer GEX Engine

### Metrics
- **NAV Divergence %**: $\frac{\text{Market Price} - \text{iNAV}}{\text{iNAV}} \times 100\%$
- **Dealer Gamma Exposure (GEX)**: Aggregated dollar gamma per 1% underlying move ($+/-\$M/\%$).
- **Gamma Regime**: Positive Gamma (Volatility dampening / mean-reverting) vs Negative Gamma (Volatility amplifying / trending).

---

<a id="stock-analysis"></a>
## 9. 13 Masters Hedge Fund Simulation (3-Batch Progressive Loading)

### Batch 1: Core Value & Growth Titans (Fast Response: 18-24s)
- **Warren Buffett**: Economic moat, owner earnings, ROE $> 15\%$, rational management.
- **Ben Graham**: Net-Net value, margin of safety, liquidation value, P/E $< 15$.
- **Charlie Munger**: Quality businesses, competitive advantage, mental models.
- **Cathie Wood**: Disruptive innovation, exponential TAM growth, 5-year multi-bagger potential.
- **Michael Burry**: Hidden balance sheet liabilities, overvaluation risks, macro imbalances.

### Batch 2: Sentiment, Technical & Momentum (Background: ~21s)
- **Technical Analyst**: Support/resistance, moving averages, RSI/MACD divergence.
- **Sentiment Analyst**: Social sentiment, option put/call skew, insider activity.
- **Nancy Pelosi Tracker**: Congressional disclosures, policy tailwinds, regulatory catalysts.

### Batch 3: Valuation, Quality & Growth Specialists (Background: ~26s)
- **Peter Lynch**: PEG ratio $< 1.0$, earnings story, categorized business types.
- **Phil Fisher**: 15 scuttlebutt points, R&D efficiency, superior sales organization.
- **Bill Ackman**: High-quality cash-flow generative franchises, activist catalysts.
- **Fundamentals Analyst**: Balance sheet forensics, Dupont analysis, cash conversion cycle.
- **Valuation Analyst**: Multi-scenario DCF and relative multiple bounds.

---

<a id="transmission-chain"></a>
<a id="signal-tracker"></a>
## 10. DeepEar Causal Transmission Chains & AlphaEar Invalidation Triggers

### 3-Tier Causal Node Logic
- **Tier 1 (Macro / Catalyst)**: Interest rate cuts, CPI prints, geopolitical tensions, trade restrictions.
- **Tier 2 (Industry / Supply Chain)**: Semiconductor equipment demand, memory pricing cycles, freight rates.
- **Tier 3 (Corporate Cash Flows)**: Revenue realization, margin expansion, CapEx pass-through.

### 4-State Investment Hypothesis
- 🟢 **Strengthened**: Incoming macro or earnings data exceeds thesis assumptions.
- 🟡 **Weakened**: Minor headwinds or guidance reductions within tolerance.
- 🔴 **Falsified**: Clear breach of predefined invalidation triggers (e.g. gross margin $< 50\%$).
- ⚪ **Unchanged**: Steady state.

---

<a id="macro-regime"></a>
## 11. Multi-Factor Regime Asset Allocation (voidful/us_fddk)

### Verified 20-Year Benchmark Strategies (10/50 bps slippage deducted)
1. **100% SPY (S&P 500)**: Market beta baseline.
2. **100% QQQ (Nasdaq 100)**: Large-cap tech growth.
3. **80/20 Growth Gatekeeper (VUG / SHY)**: Dual-momentum trend-following with cash buffer.
4. **60/40 Classic Balanced (VTI / BND)**: Traditional equity/bond diversification.

---

<a id="financial-report"></a>
<a id="web-search"></a>
## 12. 2MD AnyDoc Financial Report & Live Intelligence

- Multi-format document parser supporting PDF, Word (.docx), Excel (.xlsx/.csv), PPT, TXT up to 25MB.
- Automated extraction of Income Statement, Balance Sheet, Cash Flow Statement, and Management Guidance.
- Multi-query parallel web reader for live corporate press releases and earnings transcripts.

---

## 13. Generative UI React Component Mapping

| Card Component | Server Action Tool | Description |
| :--- | :--- | :--- |
| `<InstitutionalFlowCard />` | `showInstitutionalFlow` | TWSE/TPEX institutional buy/sell lots & streak |
| `<CompanyValuationCard />` | `calculateCompanyValuation` | 5Y FCFF DCF & 5x5 WACC sensitivity matrix |
| `<SepaStrategyCard />` | `analyzeSepaStrategy` | Minervini 8-template, VCP, and position sizing |
| `<EarningsBriefingCard />` | `previewEarnings` | Next earnings date, consensus EPS, and surprises |
| `<NativeFinancialsCard />` | `showStockFinancials` | 4-pillar fundamental matrix & ratio analysis |
| `<FinancialMetricCard />` | `answerFinancialMetric` | Specific metric direct answer with verified sources |
| `<OptionsPayoffCard />` | `simulateOptionsPayoff` | Black-Scholes multi-leg option payoff simulator |
| `<StockLiquidityCard />` | `analyzeStockLiquidity` | Amihud measure, float turnover, & market impact |
| `<EtfPremiumCard />` | `analyzeEtfPremium` | ETF price vs NAV divergence % & Dealer GEX |
| `<StockAnalysis />` | `analyzeStockWithAI` | 13 Masters hedge fund progressive research |
| `<TransmissionChainCard />` | `showTransmissionChain` | DeepEar 3-tier causal propagation engine |
| `<SignalTrackerCard />` | `trackInvestmentSignal` | AlphaEar 4-state hypothesis invalidation tracker |
| `<MacroFactorRegimeCard />` | `showMacroFactorRegime` | 20-year ETF asset allocation backtest (us_fddk) |
| `<FinancialReportCard />` | `readFinancialReport` | 2MD AnyDoc uploaded/online document analysis |
| `<WebSearchResults />` | `searchFinancialWeb` | Real-time live web research & news citations |

---

## 14. Benchmark Prompt Dataset

```text
2330 三大法人買賣超
台積電法人籌碼動向與外資持股佔比
聯發科 2454 投信連買幾天？自營商避險動態
長榮 2603 是土洋同買還是土洋對作？
台達電 2308 法人買賣超與三大法人籌碼分析
請計算 NVDA 的合理價與 DCF 估值模型
SpaceX (SPCX) 合理價與 DCF 估值模型
AAPL 內在價值與 WACC 敏感度分析
TSLA fair value and valuation analysis
台積電 2330 合理價是多少？請用 DCF 與同業倍數計算
檢查 NVDA 是否符合 SEPA 趨勢範本？
SpaceX (SPCX) SEPA 策略分析與買點檢查
該買 AMD 嗎？幫我做 Stage 2 階段與 VCP 分析
TSLA SEPA 策略分析與停損部位計算
檢查台積電 2330 的 SEPA 趨勢模板與均線多頭排列
NVDA 財報前瞻與分析師共識
AAPL earnings preview，市場預期 EPS 是多少？
MSFT 財報預測與過去四季 Beat/Miss 紀錄
台積電 2330 下次法說會時間與法人共識
台積電 2330 核心財務報表與獲利能力指標
NVDA 最新一季 EBITDA 是多少？
台積電近三年營收 CAGR 複合成長率
AAPL 最新自由現金流 (FCF) 與淨利率
2330 最新財務數據與估值倍數
模擬 SPY 選擇權蝶式價差損益曲線
NVDA 選擇權鐵鷹策略 (Iron Condor) 損益圖
TSLA 掩護性買權 (Covered Call) 期權損益模擬
模擬 QQQ 買權跨式 (Long Straddle) 損益曲線
AAPL 流動性分析與市場衝擊評估
如果我要交易 10 萬股 TSLA，預估滑價和衝擊成本是多少？
NVDA Amihud 缺乏流動性指標與換手率
2330 股票流動性與大單 5 萬股滑價分析
IBIT ETF 溢折價與淨值 (NAV) 偏離程度
BITO 現價有溢價嗎？
TLT ETF NAV premium discount
0050 ETF 溢折價與套利空間分析
13 位傳奇投資大師分析 NVDA
台積電 2330 值得買嗎？請大師團隊進行研調
分析 SpaceX (SPCX) 的傳奇大師多維度投資報告
巴菲特與女股神如何看待特斯拉 TSLA？
分析美國降息循環對台積電 2330 的產業邏輯傳導鏈
分析中東局勢升溫對航運股與油價的連鎖反應傳導分析
黃金跳水對避險邏輯與原物料鏈的傳導鏈分析
液冷伺服器爆發對散熱與光模組供應鏈的傳導鏈
追蹤 NVDA 投資訊號，目前 AI 算力假說是否被證偽？
幫我做 2330 台積電的投資假說論點驗證與訊號追蹤
驗證 TSLA 特斯拉自動駕駛與 Robotaxi 論點是否出現證偽訊號？
美股 20 年多因子風格輪動與資產配置分析
現在美股 ETF 該怎麼配？幫我做 80/20 成長守門員與雙動能策略分析
美股 Fama-French 多因子曝險與資產配置推薦
比較 SPY、QQQ 與 60/40 股債平衡的 20 年實證表現與最大回撤
請幫我為 TSMC (2330) 寫一份深度的 2026 Q3 投資研究報告並發布到 Wiki
幫我寫一份 NVDA 競爭護城河與估值分析報告發布到 Wiki
寫一份 SpaceX (SPCX) NASDAQ 掛牌上市與星鏈估值報告發布到 Wiki
```