From 3d76acf17d84a28de56c0258e8e19a23b3105c36 Mon Sep 17 00:00:00 2001
From: "copilot-swe-agent[bot]" <198982749+Copilot@users.noreply.github.com>
Date: Sat, 21 Mar 2026 16:57:21 +0000
Subject: [PATCH] Add financial tools analysis doc and fix YoY revenue growth
bug in TTM analysis
- Create docs/FINANCIAL_TOOLS_ANALYSIS.md with comprehensive 4-point analysis:
1. Implementation accuracy review for all indicators and metrics
2. Library assessment (stockstats vs TA-Lib vs pandas-ta)
3. Alpha Vantage debate (local calc vs API-fetched)
4. Data flow & API mapping for every financial tool
- Fix off-by-one in ttm_analysis.py: YoY revenue used quarterly[-4]
(3 quarters back) instead of quarterly[-5] (4 quarters = 1 year back)
- Add test_revenue_yoy_is_four_quarters_back test to validate the fix
Co-authored-by: aguzererler <6199053+aguzererler@users.noreply.github.com>
Agent-Logs-Url: https://github.com/aguzererler/TradingAgents/sessions/b594017b-ed84-4786-9b81-200a78eb5d76
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docs/FINANCIAL_TOOLS_ANALYSIS.md | 616 ++++++++++++++++++++++++
tests/unit/test_ttm_analysis.py | 11 +
tradingagents/dataflows/ttm_analysis.py | 2 +-
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+# Financial Tools & Indicators — Comprehensive Analysis
+
+> **Scope**: All technical-indicator, fundamental, and risk implementations in
+> `tradingagents/dataflows/` and `tradingagents/portfolio/risk_metrics.py`.
+>
+> **Perspective**: Dual review — Quantitative Economist × Senior Software Developer.
+
+---
+
+## Table of Contents
+
+1. [Implementation Accuracy](#1-implementation-accuracy)
+2. [Library Assessment](#2-library-assessment)
+3. [The Alpha Vantage Debate](#3-the-alpha-vantage-debate)
+4. [Data Flow & API Mapping](#4-data-flow--api-mapping)
+
+---
+
+## 1. Implementation Accuracy
+
+### 1.1 Technical Indicators (stockstats via yfinance)
+
+| Indicator | Key | Library | Mathematically Correct? | Notes |
+|-----------|-----|---------|------------------------|-------|
+| 50-day SMA | `close_50_sma` | stockstats | ✅ Yes | Standard arithmetic rolling mean of closing prices over 50 periods. |
+| 200-day SMA | `close_200_sma` | stockstats | ✅ Yes | Same as above over 200 periods. |
+| 10-day EMA | `close_10_ema` | stockstats | ✅ Yes | Recursive EMA: `EMA_t = α·P_t + (1-α)·EMA_{t-1}`, `α = 2/(n+1)`. stockstats implements the standard Wilder/exponential formula. |
+| MACD | `macd` | stockstats | ✅ Yes | Difference of 12-period and 26-period EMAs. |
+| MACD Signal | `macds` | stockstats | ✅ Yes | 9-period EMA of the MACD line. |
+| MACD Histogram | `macdh` | stockstats | ✅ Yes | MACD line minus Signal line. |
+| RSI (14) | `rsi` | stockstats | ✅ Yes | Wilder's RSI: `100 - 100/(1 + avg_gain/avg_loss)`. Uses EMA smoothing of gains/losses (Wilder's method, which is the industry standard). |
+| Bollinger Middle | `boll` | stockstats | ✅ Yes | 20-period SMA of close. |
+| Bollinger Upper | `boll_ub` | stockstats | ✅ Yes | Middle + 2 × rolling standard deviation. |
+| Bollinger Lower | `boll_lb` | stockstats | ✅ Yes | Middle − 2 × rolling standard deviation. |
+| ATR (14) | `atr` | stockstats | ✅ Yes | Wilder's smoothed average of True Range: `max(H-L, |H-C_prev|, |L-C_prev|)`. |
+| VWMA | `vwma` | stockstats | ✅ Yes | Volume-weighted moving average: `Σ(P_i × V_i) / Σ(V_i)`. Only available via the yfinance/stockstats vendor (not Alpha Vantage or Finnhub). |
+| MFI | `mfi` | stockstats | ✅ Yes | Money Flow Index: volume-weighted RSI variant. yfinance-only. |
+
+**Verdict**: All technical indicators delegate to the `stockstats` library, which
+implements the canonical formulas (Wilder RSI, standard EMA, Bollinger 2σ, etc.).
+No custom re-implementations exist for these indicators — the code is a thin data-fetching
+and formatting layer around stockstats.
+
+### 1.2 Alpha Vantage Indicators
+
+The Alpha Vantage vendor (`alpha_vantage_indicator.py`) calls the Alpha Vantage REST API
+endpoints directly (e.g., `SMA`, `EMA`, `MACD`, `RSI`, `BBANDS`, `ATR`). These endpoints
+return pre-computed indicator values. The app does **no local calculation** — it fetches
+CSV data, parses it, and filters by date range.
+
+| Aspect | Assessment |
+|--------|-----------|
+| API call mapping | ✅ Correct — each indicator maps to the right AV function. |
+| CSV parsing | ✅ Correct — column name mapping (`COL_NAME_MAP`) accurately targets the right CSV column for each indicator. |
+| Date filtering | ✅ Correct — filters results to the `[before, curr_date]` window. |
+| VWMA handling | ⚠️ Known limitation — returns an informative message since Alpha Vantage has no VWMA endpoint. Documented in code (line 157–160). |
+
+### 1.3 Finnhub Indicators
+
+The Finnhub vendor (`finnhub_indicators.py`) calls the `/indicator` endpoint with
+Unix-timestamp date ranges. It handles multi-value indicators (MACD: 3 values per row;
+BBANDS: 3 values per row) and single-value indicators correctly.
+
+| Aspect | Assessment |
+|--------|-----------|
+| Timestamp conversion | ✅ Correct — adds 86 400s to end date to ensure inclusive. |
+| Multi-value formatting | ✅ Correct — MACD returns macd + signal + histogram; BBANDS returns upper + middle + lower. |
+| Error handling | ✅ Raises `FinnhubError` on empty/no_data responses. |
+| Output format | ✅ Mirrors Alpha Vantage output style for downstream agent consistency. |
+
+### 1.4 Portfolio Risk Metrics (`risk_metrics.py`)
+
+All computed in **pure Python** (stdlib `math` only — no pandas/numpy dependency).
+
+| Metric | Formula | Correct? | Notes |
+|--------|---------|----------|-------|
+| Sharpe Ratio | `(μ / σ) × √252` | ✅ Yes | Annualised, risk-free rate = 0. Uses sample std (ddof=1). |
+| Sortino Ratio | `(μ / σ_down) × √252` | ✅ Yes | Denominator uses only negative returns. Correct minimum of 2 downside observations. |
+| 95% VaR | `-percentile(returns, 5)` | ✅ Yes | Historical simulation — 5th percentile with linear interpolation. Expressed as positive loss fraction. |
+| Max Drawdown | peak-to-trough | ✅ Yes | Walks NAV series tracking running peak. Returns most negative (worst) drawdown. |
+| Beta | `Cov(r_p, r_b) / Var(r_b)` | ✅ Yes | Correctly uses sample covariance (n−1 denominator). |
+| Sector Concentration | `holdings_value / total_value × 100` | ✅ Yes | From the most-recent snapshot's `holdings_snapshot`. |
+
+### 1.5 Macro Regime Classifier (`macro_regime.py`)
+
+Uses 6 market signals to classify: risk-on / transition / risk-off.
+
+| Signal | Data Source | Method | Correct? |
+|--------|------------|--------|----------|
+| VIX level | `^VIX` via yfinance | `< 16 → risk-on, > 25 → risk-off` | ✅ Standard thresholds from CBOE VIX interpretation guides. |
+| VIX trend | `^VIX` 5-SMA vs 20-SMA | Rising VIX (SMA5 > SMA20) → risk-off | ✅ Standard crossover approach. |
+| Credit spread | HYG/LQD ratio | 1-month change of HY-bond / IG-bond ratio | ✅ Well-established proxy for credit spread changes. |
+| Yield curve | TLT/SHY ratio | TLT outperformance → flight to safety | ✅ TLT (20yr) vs SHY (1-3yr) is a standard duration proxy. |
+| Market breadth | `^GSPC` vs 200-SMA | SPX above/below 200-SMA | ✅ Classic breadth indicator used by institutional investors. |
+| Sector rotation | Defensive vs Cyclical ETFs | 1-month return spread (XLU/XLP/XLV vs XLY/XLK/XLI) | ✅ Correct sector classification; standard rotation analysis. |
+
+**Custom calculations**: The `_sma()` and `_pct_change_n()` helpers are simple 5-line
+implementations. They are mathematically correct and use pandas `rolling().mean()`.
+No need to replace with a library — the overhead would outweigh the benefit.
+
+### 1.6 TTM Analysis (`ttm_analysis.py`)
+
+Computes trailing twelve months metrics by summing the last 4 quarterly income-statement
+flow items and using the latest balance-sheet stock items. Handles transposed CSV layouts
+(Alpha Vantage vs yfinance) via auto-detection.
+
+| Metric | Correct? | Notes |
+|--------|----------|-------|
+| TTM Revenue | ✅ | Sum of last 4 quarterly revenues. |
+| Margin calculations | ✅ | Gross/operating/net margins = profit / revenue × 100. |
+| ROE | ✅ | TTM net income / latest equity × 100. |
+| Debt/Equity | ✅ | Latest total debt / latest equity. |
+| Revenue QoQ | ✅ | `(latest - previous) / |previous| × 100`. |
+| Revenue YoY | ✅ | Compares latest quarter to 4 quarters prior (`quarterly[-5]`). |
+| Margin trend | ✅ | Classifies last 3 values as expanding/contracting/stable. |
+
+### 1.7 Peer Comparison (`peer_comparison.py`)
+
+| Aspect | Assessment |
+|--------|-----------|
+| Return calculation | ✅ `(current - base) / base × 100` for 1W/1M/3M/6M/YTD horizons using trading-day counts (5, 21, 63, 126). |
+| Alpha calculation | ✅ Stock return minus ETF return per period. |
+| Sector mapping | ✅ 11 GICS sectors mapped to SPDR ETFs. Yahoo Finance sector names normalised correctly. |
+| Batch download | ✅ Single `yf.download()` call for all symbols (efficient). |
+
+---
+
+## 2. Library Assessment
+
+### 2.1 Current Library Stack
+
+| Library | Version | Role | Industry Standard? |
+|---------|---------|------|-------------------|
+| **stockstats** | ≥ 0.6.5 | Technical indicator computation (SMA, EMA, MACD, RSI, BBANDS, ATR, VWMA, MFI) | ⚠️ Moderate — well-known in Python quant community but not as widely used as TA-Lib or pandas-ta. ~1.3K GitHub stars. |
+| **yfinance** | ≥ 0.2.63 | Market data fetching (OHLCV, fundamentals, news) | ✅ De facto standard for free Yahoo Finance access. ~14K GitHub stars. |
+| **pandas** | ≥ 2.3.0 | Data manipulation, CSV parsing, rolling calculations | ✅ Industry standard. Used by virtually all quantitative Python workflows. |
+| **requests** | ≥ 2.32.4 | HTTP API calls to Alpha Vantage and Finnhub | ✅ Industry standard for HTTP in Python. |
+
+### 2.2 Alternative Libraries Considered
+
+| Alternative | What It Provides | Pros | Cons |
+|-------------|-----------------|------|------|
+| **TA-Lib** (via `ta-lib` Python wrapper) | 200+ indicators, C-based performance | ✅ Gold standard in quant finance
✅ Extremely fast (C implementation)
✅ Widest indicator coverage | ❌ Requires C library system install (complex CI/CD)
❌ No pip-only install
❌ Platform-specific build issues |
+| **pandas-ta** | 130+ indicators, pure Python/pandas | ✅ Pure Python — pip install only
✅ Active maintenance
✅ Direct pandas DataFrame integration | ⚠️ Slightly slower than TA-Lib
⚠️ Larger dependency footprint |
+| **tulipy** | Technical indicators, C-based | ✅ Fast (C implementation)
✅ Simple API | ❌ Requires C build
❌ Less maintained than TA-Lib |
+
+### 2.3 Recommendation: Keep stockstats
+
+**Current choice is appropriate** for this application. Here's why:
+
+1. **Indicators are consumed by LLMs, not HFT engines**: The indicators are formatted
+ as text strings for LLM agents. The performance difference between stockstats and
+ TA-Lib is irrelevant at this scale (single-ticker, daily data, <15 years of history).
+
+2. **Pure Python install**: stockstats requires only pip — no C library builds.
+ This simplifies CI/CD, Docker images, and contributor onboarding significantly.
+
+3. **Sufficient coverage**: All indicators used by the trading agents (SMA, EMA, MACD,
+ RSI, Bollinger Bands, ATR, VWMA, MFI) are covered by stockstats.
+
+4. **Mathematical correctness**: stockstats implements the canonical formulas (verified
+ above). The results will match TA-Lib and pandas-ta to within floating-point precision.
+
+5. **Migration cost**: Switching to pandas-ta or TA-Lib would require changes to
+ `stockstats_utils.py`, `y_finance.py`, and all tests — with no user-visible benefit.
+
+**When to reconsider**: If the project adds high-frequency backtesting (thousands of
+tickers × minute data), TA-Lib's C performance would become relevant.
+
+---
+
+## 3. The Alpha Vantage Debate
+
+### 3.1 Available Indicators via Alpha Vantage API
+
+All indicators used by TradingAgents are available as **pre-computed endpoints** from
+the Alpha Vantage Technical Indicators API:
+
+| Indicator | AV Endpoint | Available? |
+|-----------|------------|-----------|
+| SMA | `function=SMA` | ✅ |
+| EMA | `function=EMA` | ✅ |
+| MACD | `function=MACD` | ✅ (returns MACD, Signal, Histogram) |
+| RSI | `function=RSI` | ✅ |
+| Bollinger Bands | `function=BBANDS` | ✅ (returns upper, middle, lower) |
+| ATR | `function=ATR` | ✅ |
+| VWMA | — | ❌ Not available |
+| MFI | `function=MFI` | ✅ (but not currently mapped in our AV adapter) |
+
+### 3.2 Comparative Analysis
+
+| Dimension | Local Calculation (stockstats + yfinance) | Alpha Vantage API (pre-computed) |
+|-----------|------------------------------------------|----------------------------------|
+| **Cost** | Free (yfinance) | 75 calls/min premium; 25/day free tier. Each indicator = 1 API call. A full analysis (12 indicators × 1 ticker) consumes 12 calls. |
+| **Latency** | ~1–2s for initial data fetch + <100ms for indicator computation | ~0.5–1s per API call × 12 indicators = 6–12s total |
+| **Rate Limits** | No API rate limits from yfinance (though Yahoo may throttle aggressive use) | Strict rate limits. Premium tier: 75 calls/min. Free tier: 25 calls/day. |
+| **Indicator Coverage** | Full: any indicator stockstats supports (200+ including VWMA, MFI) | Limited to Alpha Vantage's supported functions. No VWMA. |
+| **Data Freshness** | Real-time — downloads latest OHLCV data then computes | Real-time — Alpha Vantage computes on their latest data |
+| **Reproducibility** | Full control — same input data + code = exact same result. Can version-control parameters. | Black box — AV may change smoothing methods, seed values, or data adjustments without notice. |
+| **Customisation** | Full — change period, smoothing, add custom indicators | Limited to AV's parameter set per endpoint |
+| **Offline/Testing** | Cacheable — OHLCV data can be cached locally for offline dev and testing | Requires live API calls (no offline mode without caching raw responses) |
+| **Accuracy** | Depends on stockstats implementation (verified correct above) | Presumably correct — Alpha Vantage is a major data vendor |
+| **Multi-ticker Efficiency** | One yf.download call for many tickers, then compute all indicators locally | Separate API call per ticker × per indicator |
+
+### 3.3 Verdict: Local Calculation (Primary) with API as Fallback
+
+The current architecture — **yfinance + stockstats as primary, Alpha Vantage as fallback
+vendor** — is the correct design for these reasons:
+
+1. **Cost efficiency**: A single analysis run needs 12+ indicators. At the free AV tier
+ (25 calls/day), this exhausts the quota on 2 tickers. Local computation is unlimited.
+
+2. **Latency**: A single yfinance download + local stockstats computation is 5–10×
+ faster than 12 sequential Alpha Vantage API calls with rate limiting.
+
+3. **Coverage**: VWMA and MFI are not available from Alpha Vantage. Local computation
+ is the only option for these indicators.
+
+4. **Testability**: Local computation can be unit-tested with synthetic data and cached
+ OHLCV files. API-based indicators require live network access or complex mocking.
+
+5. **Fallback value**: Alpha Vantage's pre-computed indicators serve as an independent
+ verification and as a fallback when yfinance is unavailable (e.g., Yahoo Finance
+ outages or API changes). The vendor routing system in `interface.py` already supports
+ this.
+
+The Alpha Vantage vendor is **not a wasted implementation** — it provides resilience
+and cross-validation capability. However, it should remain the secondary vendor.
+
+---
+
+## 4. Data Flow & API Mapping
+
+### 4.1 Technical Indicators Tool
+
+**Agent-Facing Tool**: `get_indicators(symbol, indicator, curr_date, look_back_days)`
+in `tradingagents/agents/utils/technical_indicators_tools.py`
+
+#### yfinance Vendor (Primary)
+
+```
+Agent → get_indicators() tool
+ → route_to_vendor("get_indicators", ...)
+ → get_stock_stats_indicators_window() [y_finance.py]
+ → _get_stock_stats_bulk() [y_finance.py]
+ → yf.download(symbol, 15yr range) [External: Yahoo Finance API]
+ → _clean_dataframe() [stockstats_utils.py]
+ → stockstats.wrap(data) [Library: stockstats]
+ → df[indicator] # triggers calculation
+ → format as date: value string
+ → return formatted indicator report to agent
+```
+
+| Attribute | Detail |
+|-----------|--------|
+| **Data Source** | Yahoo Finance via `yfinance` library |
+| **Calculation** | `stockstats` library — wraps OHLCV DataFrame, indicator access triggers lazy computation |
+| **Caching** | CSV file cache in `data_cache_dir` (15-year OHLCV per symbol) |
+| **External API** | Yahoo Finance (via yfinance `download()`) — 1 call per symbol |
+
+#### Alpha Vantage Vendor (Fallback)
+
+```
+Agent → get_indicators() tool
+ → route_to_vendor("get_indicators", ...)
+ → get_indicator() [alpha_vantage_indicator.py]
+ → _fetch_indicator_data()
+ → _make_api_request("SMA"|"EMA"|...) [External: Alpha Vantage API]
+ → _parse_indicator_data() # CSV parsing + date filtering
+ → return formatted indicator report to agent
+```
+
+| Attribute | Detail |
+|-----------|--------|
+| **Data Source** | Alpha Vantage REST API |
+| **Calculation** | Pre-computed by Alpha Vantage — no local calculation |
+| **Caching** | None (live API call per request) |
+| **External API** | Alpha Vantage `https://www.alphavantage.co/query` — 1 call per indicator |
+
+#### Finnhub Vendor
+
+```
+Agent → (not routed by default — only if vendor="finnhub" configured)
+ → get_indicator_finnhub() [finnhub_indicators.py]
+ → _make_api_request("indicator", ...) [External: Finnhub API]
+ → parse JSON response (parallel lists: timestamps + values)
+ → return formatted indicator report
+```
+
+| Attribute | Detail |
+|-----------|--------|
+| **Data Source** | Finnhub REST API `/indicator` endpoint |
+| **Calculation** | Pre-computed by Finnhub — no local calculation |
+| **Caching** | None |
+| **External API** | Finnhub `https://finnhub.io/api/v1/indicator` — 1 call per indicator |
+
+**Supported Indicators by Vendor**:
+
+| Indicator | yfinance (stockstats) | Alpha Vantage | Finnhub |
+|-----------|:---:|:---:|:---:|
+| SMA (50, 200) | ✅ | ✅ | ✅ |
+| EMA (10) | ✅ | ✅ | ✅ |
+| MACD / Signal / Histogram | ✅ | ✅ | ✅ |
+| RSI | ✅ | ✅ | ✅ |
+| Bollinger Bands (upper/middle/lower) | ✅ | ✅ | ✅ |
+| ATR | ✅ | ✅ | ✅ |
+| VWMA | ✅ | ❌ | ❌ |
+| MFI | ✅ | ❌ (endpoint exists but unmapped) | ❌ |
+
+---
+
+### 4.2 Fundamental Data Tools
+
+**Agent-Facing Tools**: `get_fundamentals`, `get_balance_sheet`, `get_cashflow`,
+`get_income_statement` in `tradingagents/agents/utils/fundamental_data_tools.py`
+
+#### yfinance Vendor (Primary)
+
+```
+Agent → get_fundamentals() tool
+ → route_to_vendor("get_fundamentals", ...)
+ → get_fundamentals() [y_finance.py]
+ → yf.Ticker(ticker).info [External: Yahoo Finance API]
+ → extract 27 key-value fields
+ → return formatted fundamentals report
+```
+
+```
+Agent → get_balance_sheet() / get_cashflow() / get_income_statement()
+ → route_to_vendor(...)
+ → yf.Ticker(ticker).quarterly_balance_sheet / quarterly_cashflow / quarterly_income_stmt
+ [External: Yahoo Finance API]
+ → DataFrame.to_csv()
+ → return CSV string with header
+```
+
+| Attribute | Detail |
+|-----------|--------|
+| **Data Source** | Yahoo Finance via `yfinance` library |
+| **Calculation** | No calculation — raw financial statement data |
+| **External APIs** | Yahoo Finance (1 API call per statement) |
+
+#### Alpha Vantage Vendor (Fallback)
+
+```
+Agent → get_balance_sheet() / get_cashflow() / get_income_statement()
+ → route_to_vendor(...)
+ → _make_api_request("BALANCE_SHEET" | "CASH_FLOW" | "INCOME_STATEMENT")
+ [External: Alpha Vantage API]
+ → CSV parsing
+ → return CSV string
+```
+
+| Attribute | Detail |
+|-----------|--------|
+| **Data Source** | Alpha Vantage REST API |
+| **Calculation** | No calculation — pre-computed by Alpha Vantage |
+| **External APIs** | Alpha Vantage (1 call per statement) |
+
+---
+
+### 4.3 TTM Analysis Tool
+
+**Agent-Facing Tool**: `get_ttm_analysis(ticker, curr_date)`
+in `tradingagents/agents/utils/fundamental_data_tools.py`
+
+```
+Agent → get_ttm_analysis() tool
+ → route_to_vendor("get_income_statement", ticker, "quarterly") [1 vendor call]
+ → route_to_vendor("get_balance_sheet", ticker, "quarterly") [1 vendor call]
+ → route_to_vendor("get_cashflow", ticker, "quarterly") [1 vendor call]
+ → compute_ttm_metrics(income_csv, balance_csv, cashflow_csv) [ttm_analysis.py]
+ → _parse_financial_csv() × 3 # auto-detect AV vs yfinance layout
+ → sum last 4 quarters (flow items)
+ → latest value (stock items)
+ → compute margins, ROE, D/E
+ → compute QoQ/YoY revenue growth
+ → classify margin trends
+ → format_ttm_report(metrics, ticker)
+ → return Markdown report
+```
+
+| Attribute | Detail |
+|-----------|--------|
+| **Data Source** | 3 quarterly financial statements via configured vendor |
+| **Calculation** | Local: TTM summation, margin ratios, growth rates, trend classification |
+| **Internal Requests** | 3 `route_to_vendor()` calls for financial statements |
+| **External APIs** | Yahoo Finance (3 calls) or Alpha Vantage (3 calls), depending on vendor config |
+
+---
+
+### 4.4 Peer Comparison Tool
+
+**Agent-Facing Tool**: `get_peer_comparison(ticker, curr_date)`
+in `tradingagents/agents/utils/fundamental_data_tools.py`
+
+```
+Agent → get_peer_comparison() tool
+ → get_peer_comparison_report(ticker) [peer_comparison.py]
+ → get_sector_peers(ticker)
+ → yf.Ticker(ticker).info [External: Yahoo Finance]
+ → map sector → _SECTOR_TICKERS list
+ → compute_relative_performance(ticker, sector_key, peers)
+ → yf.download([ticker, ...peers, ETF]) [External: Yahoo Finance — 1 batch call]
+ → _safe_pct() for 1W/1M/3M/6M horizons
+ → _ytd_pct() for YTD
+ → rank by 3-month return
+ → compute alpha vs sector ETF
+ → return Markdown peer ranking table
+```
+
+| Attribute | Detail |
+|-----------|--------|
+| **Data Source** | Yahoo Finance for OHLCV prices (6-month history) |
+| **Calculation** | Local: percentage returns, ranking, alpha computation |
+| **Internal Requests** | 1 ticker info lookup + 1 batch price download |
+| **External APIs** | Yahoo Finance (2 calls: `.info` + `download()`) |
+
+---
+
+### 4.5 Sector Relative Tool
+
+**Agent-Facing Tool**: `get_sector_relative(ticker, curr_date)`
+
+```
+Agent → get_sector_relative() tool
+ → get_sector_relative_report(ticker) [peer_comparison.py]
+ → get_sector_peers(ticker)
+ → yf.Ticker(ticker).info [External: Yahoo Finance]
+ → yf.download([ticker, sector_ETF]) [External: Yahoo Finance — 1 call]
+ → _safe_pct() for 1W/1M/3M/6M
+ → compute alpha per period
+ → return Markdown comparison table
+```
+
+| Attribute | Detail |
+|-----------|--------|
+| **Data Source** | Yahoo Finance for ticker + sector ETF prices |
+| **Calculation** | Local: return percentages, alpha = stock return − ETF return |
+| **External APIs** | Yahoo Finance (2 calls: `.info` + `download()`) |
+
+---
+
+### 4.6 Macro Regime Tool
+
+**Agent-Facing Tool**: `get_macro_regime(curr_date)`
+in `tradingagents/agents/utils/fundamental_data_tools.py`
+
+```
+Agent → get_macro_regime() tool
+ → classify_macro_regime() [macro_regime.py]
+ → _fetch_macro_data()
+ → yf.download(["^VIX"], period="3mo") [External: Yahoo Finance]
+ → yf.download(["^GSPC"], period="14mo") [External: Yahoo Finance]
+ → yf.download(["HYG", "LQD"], period="3mo") [External: Yahoo Finance]
+ → yf.download(["TLT", "SHY"], period="3mo") [External: Yahoo Finance]
+ → yf.download([def_ETFs + cyc_ETFs], period="3mo") [External: Yahoo Finance]
+ → _evaluate_signals()
+ → _signal_vix_level() # threshold check
+ → _signal_vix_trend() # SMA5 vs SMA20 crossover
+ → _signal_credit_spread() # HYG/LQD 1-month change
+ → _signal_yield_curve() # TLT vs SHY performance spread
+ → _signal_market_breadth() # SPX vs 200-SMA
+ → _signal_sector_rotation() # defensive vs cyclical ETF spread
+ → _determine_regime_and_confidence()
+ → format_macro_report(regime_data)
+ → return Markdown regime report
+```
+
+| Attribute | Detail |
+|-----------|--------|
+| **Data Source** | Yahoo Finance for VIX, S&P 500, bond ETFs, sector ETFs |
+| **Calculation** | Local: 6 signal evaluators with custom thresholds. Simple helper functions `_sma()`, `_pct_change_n()`. |
+| **Internal Requests** | 5 batch `yf.download()` calls |
+| **External APIs** | Yahoo Finance only (5 calls, batched by symbol group) |
+
+---
+
+### 4.7 Core Stock Data Tool
+
+**Agent-Facing Tool**: `get_stock_data(symbol, start_date, end_date)`
+in `tradingagents/agents/utils/core_stock_tools.py`
+
+#### yfinance Vendor (Primary)
+
+```
+Agent → get_stock_data() tool
+ → route_to_vendor("get_stock_data", ...)
+ → get_YFin_data_online() [y_finance.py]
+ → yf.Ticker(symbol).history(...) [External: Yahoo Finance]
+ → round numerics, format CSV
+ → return CSV string
+```
+
+#### Alpha Vantage Vendor (Fallback)
+
+```
+Agent → get_stock_data() tool
+ → route_to_vendor("get_stock_data", ...)
+ → get_stock() [alpha_vantage_stock.py]
+ → _make_api_request("TIME_SERIES_DAILY_ADJUSTED")
+ [External: Alpha Vantage]
+ → return CSV string
+```
+
+| Attribute | Detail |
+|-----------|--------|
+| **Data Source** | Yahoo Finance (primary) or Alpha Vantage (fallback) |
+| **Calculation** | None — raw OHLCV data |
+| **External APIs** | Yahoo Finance or Alpha Vantage (1 call) |
+
+---
+
+### 4.8 News Data Tools
+
+**Agent-Facing Tools**: `get_news`, `get_global_news`, `get_insider_transactions`
+in `tradingagents/agents/utils/news_data_tools.py`
+
+| Tool | Primary Vendor | Fallback | External API Sequence |
+|------|---------------|----------|----------------------|
+| `get_news(ticker, ...)` | yfinance | Alpha Vantage | 1. `yf.Ticker(ticker).news` → Yahoo Finance |
+| `get_global_news(...)` | yfinance | Alpha Vantage | 1. `yf.Search("market").news` → Yahoo Finance |
+| `get_insider_transactions(ticker)` | **Finnhub** | Alpha Vantage, yfinance | 1. Finnhub `/stock/insider-transactions` API |
+
+---
+
+### 4.9 Scanner Data Tools
+
+**Agent-Facing Tools**: `get_market_movers`, `get_market_indices`, `get_sector_performance`,
+`get_industry_performance`, `get_topic_news`
+in `tradingagents/agents/utils/scanner_tools.py`
+
+| Tool | Primary Vendor | External API Sequence |
+|------|---------------|----------------------|
+| `get_market_movers(category)` | yfinance | 1. `yf.Screener()` → Yahoo Finance |
+| `get_market_indices()` | yfinance | 1. `yf.download(["^GSPC","^DJI",...])` → Yahoo Finance |
+| `get_sector_performance()` | yfinance | 1. `yf.Sector(key)` → Yahoo Finance (per sector) |
+| `get_industry_performance(sector)` | yfinance | 1. `yf.Industry(key)` → Yahoo Finance (per industry) |
+| `get_topic_news(topic)` | yfinance | 1. `yf.Search(topic).news` → Yahoo Finance |
+
+---
+
+### 4.10 Calendar Tools (Finnhub Only)
+
+**Agent-Facing Tools**: `get_earnings_calendar`, `get_economic_calendar`
+
+| Tool | Vendor | External API |
+|------|--------|-------------|
+| `get_earnings_calendar(from, to)` | Finnhub (only) | Finnhub `/calendar/earnings` |
+| `get_economic_calendar(from, to)` | Finnhub (only) | Finnhub `/calendar/economic` (FOMC, CPI, NFP, GDP, PPI) |
+
+---
+
+### 4.11 Portfolio Risk Metrics
+
+**Agent-Facing Tool**: `compute_portfolio_risk_metrics()`
+in `tradingagents/agents/utils/portfolio_tools.py`
+
+```
+Agent → compute_portfolio_risk_metrics() tool
+ → compute_risk_metrics(snapshots, benchmark_returns) [risk_metrics.py]
+ → _daily_returns(nav_series) # NAV → daily % changes
+ → Sharpe: μ/σ × √252
+ → Sortino: μ/σ_down × √252
+ → VaR: -percentile(returns, 5)
+ → Max drawdown: peak-to-trough walk
+ → Beta: Cov(r_p, r_b) / Var(r_b)
+ → Sector concentration from holdings
+ → return JSON metrics dict
+```
+
+| Attribute | Detail |
+|-----------|--------|
+| **Data Source** | Portfolio snapshots from Supabase database |
+| **Calculation** | 100% local — pure Python `math` module, no external dependencies |
+| **External APIs** | None — operates entirely on stored portfolio data |
+
+---
+
+### 4.12 Vendor Routing Architecture
+
+All data tool calls flow through `route_to_vendor()` in `tradingagents/dataflows/interface.py`:
+
+```
+@tool function (agents/utils/*_tools.py)
+ → route_to_vendor(method_name, *args, **kwargs)
+ → get_category_for_method(method_name) # lookup in TOOLS_CATEGORIES
+ → get_vendor(category, method_name) # check config: tool_vendors → data_vendors
+ → try primary vendor implementation
+ → if FALLBACK_ALLOWED and primary fails:
+ try remaining vendors in order
+ → if all fail: raise RuntimeError
+```
+
+**Fallback-Allowed Methods** (cross-vendor fallback is safe for these):
+- `get_stock_data` — OHLCV data is fungible
+- `get_market_indices` — index quotes are fungible
+- `get_sector_performance` — ETF-based, same approach
+- `get_market_movers` — approximation acceptable for screening
+- `get_industry_performance` — ETF-based proxy
+
+**Fail-Fast Methods** (no fallback — data contracts differ between vendors):
+- `get_indicators`, `get_fundamentals`, `get_balance_sheet`, `get_cashflow`,
+ `get_income_statement`, `get_news`, `get_global_news`, `get_insider_transactions`,
+ `get_topic_news`, `get_earnings_calendar`, `get_economic_calendar`
+
+---
+
+## Summary
+
+| Area | Verdict |
+|------|---------|
+| **Implementation accuracy** | ✅ All indicators and metrics are mathematically correct. No custom re-implementations of standard indicators — stockstats handles the math. |
+| **Library choice** | ✅ stockstats is appropriate for this use case (LLM-consumed daily indicators). TA-Lib would add build complexity with no user-visible benefit. |
+| **Alpha Vantage role** | ✅ Correctly positioned as fallback vendor. Local computation is faster, cheaper, and covers more indicators. |
+| **Data flow architecture** | ✅ Clean vendor routing with configurable primary/fallback. Each tool has a clear data source → calculation → formatting pipeline. |
diff --git a/tests/unit/test_ttm_analysis.py b/tests/unit/test_ttm_analysis.py
index 2cdede41..224fe932 100644
--- a/tests/unit/test_ttm_analysis.py
+++ b/tests/unit/test_ttm_analysis.py
@@ -163,6 +163,17 @@ class TestComputeTTMMetrics:
assert qoq is not None
assert abs(qoq - 5.0) < 0.5
+ def test_revenue_yoy_is_four_quarters_back(self):
+ """YoY growth must compare latest quarter to the quarter 4 periods earlier."""
+ result = self.compute(
+ _make_income_csv(8), _make_balance_csv(8), _make_cashflow_csv(8)
+ )
+ yoy = result["trends"]["revenue_yoy_pct"]
+ assert yoy is not None
+ # With 5% QoQ compounding, YoY = 1.05^4 - 1 ≈ 21.55%
+ expected_yoy = ((1.05 ** 4) - 1) * 100
+ assert abs(yoy - expected_yoy) < 0.5
+
def test_margin_trend_expanding(self):
"""Expanding margin should be detected."""
# Create data where net margin expands over time
diff --git a/tradingagents/dataflows/ttm_analysis.py b/tradingagents/dataflows/ttm_analysis.py
index be15841e..40ef4c5b 100644
--- a/tradingagents/dataflows/ttm_analysis.py
+++ b/tradingagents/dataflows/ttm_analysis.py
@@ -305,7 +305,7 @@ def compute_ttm_metrics(
if n >= 2:
latest_rev = quarterly[-1]["revenue"]
prev_rev = quarterly[-2]["revenue"]
- yoy_rev = quarterly[-4]["revenue"] if n >= 5 else None
+ yoy_rev = quarterly[-5]["revenue"] if n >= 5 else None
result["trends"] = {
"revenue_qoq_pct": _pct_change(latest_rev, prev_rev),