geometrybase
915dabaaa1
Request: - Analyze the current HK IPO batch from break probability, capital efficiency, and risk/reward. - Test whether names such as 01688 deserve a higher defensive ranking than their heat score implies. Changes: - Added rules/ipo_break_risk_reward_v0.yaml as an experimental defensive overlay. - Split the new framework into break protection, capital efficiency, and upside optionality. - Added historical break-rate calibration anchors from analysis_model_v0_dataset.csv. - Updated the 2026-06-22 IPO report with a defensive risk/reward ranking and dual execution guidance. - Logged the rule change and its caveats. Verification: - Ran git diff --check and git diff --cached --check. - Parsed the new YAML file with PyYAML. - Recomputed key historical break-rate anchors from the current model dataset.
192 lines
6.9 KiB
YAML
192 lines
6.9 KiB
YAML
version: ipo_break_risk_reward_v0
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effective_date: 2026-06-22
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status: experimental_overlay
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owner_skill: analyst
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base_models:
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- ipo_score_v0
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- ipo_score_v0_95_final_heat_trial
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purpose: >
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Add a defensive risk/reward overlay for Hong Kong IPO subscription decisions.
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This overlay is designed for investors who care about D1 break avoidance,
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cash-lockup efficiency, and expected allocation efficiency, not only headline
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first-day upside. It does not replace the heat-adjusted subscription score.
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targets:
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primary: D1 non-break probability, defined as D1 sell return versus IPO offer price > 0
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secondary:
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- cash-lockup and expected allocation efficiency
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- D1 upside optionality
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- trade-off between defensive quality and pop-seeking heat
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data_policy:
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allowed_live_inputs:
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- T0 prospectus structure score
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- archived T0.95 market-heat multiple observed before the executable order cutoff
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- offer size
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- minimum subscription amount
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- subscription deadline and expected allotment date
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- prospectus-stage fundamentals
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calibration_inputs:
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- archived historical D1 return labels
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- final public oversubscription buckets
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- historical offer size and minimum subscription buckets
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forbidden_live_inputs:
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- official allotment results released after the user's order cutoff
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- grey-market return
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- D1 price performance
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caveat: >
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Current T0.95 market heat has no completed D1 labels in the archive yet.
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Historical final public oversubscription can guide bucket design but must
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not be treated as an input that was visible before a live order.
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empirical_calibration_snapshot:
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dataset: data/snapshots/analysis_model_v0_dataset.csv
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analysis_as_of: 2026-06-22T08:55:00Z
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labeled_d1_rows: 274
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all_sample_break_rate: 29.9%
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reference_break_rates:
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T0_score_gte_8: 23.3%
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T0_score_5_to_7: 26.7%
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T0_score_lte_4: 38.5%
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offer_size_gte_5000m_hkd: 23.1%
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offer_size_1000m_to_5000m_hkd: 28.0%
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offer_size_lt_1000m_hkd: 31.9%
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final_public_oversubscription_gte_1000x: 9.0%
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final_public_oversubscription_100x_to_1000x: 35.7%
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final_public_oversubscription_10x_to_100x: 46.0%
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final_public_oversubscription_lt_10x: 35.8%
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score_components:
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break_protection_score:
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range: 0_to_10
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interpretation: Higher score means lower estimated break risk.
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components:
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T0_structure_support:
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range: 0_to_2
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points:
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T0_score_gte_8: 2.0
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T0_score_5_to_7: 1.2
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T0_score_1_to_4: 0.5
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T0_score_lt_1: 0.0
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T0_95_demand_support:
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range: 0_to_3
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points:
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margin_heat_lt_1x: 0.0
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margin_heat_1x_to_3x: 0.5
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margin_heat_3x_to_10x: 1.0
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margin_heat_10x_to_100x: 1.5
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margin_heat_100x_to_1000x: 2.5
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margin_heat_gte_1000x: 3.0
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fundamental_support:
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range: 0_to_3
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points:
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mature_profitable_cash_generative: 3.0
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profitable_quality_growth: 2.5
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stable_profitable_low_growth: 2.0
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high_growth_lossmaking: 1.0
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early_stage_or_project_asset: 0.0_to_0.5
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note: >
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This remains analyst-scored until issuer fundamentals are structured
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in the dataset. Use prospectus-stage facts only.
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supply_absorption_support:
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range: 0_to_2
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points:
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offer_size_gte_5000m_hkd: 2.0
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offer_size_2000m_to_5000m_hkd: 1.6
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offer_size_800m_to_2000m_hkd: 1.2
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offer_size_300m_to_800m_hkd: 0.8
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offer_size_lt_300m_hkd: 0.5
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note: >
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Larger deals can cap upside, but the current archive shows lower
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break rates for larger offer-size buckets.
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capital_efficiency_score:
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range: 0_to_5
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interpretation: >
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Higher score means a better chance of getting useful allocation with less
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cash locked, lower one-lot cost, or shorter lockup.
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components:
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minimum_subscription_amount:
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range: 0_to_2
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points:
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lt_3000_hkd: 2.0
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gte_3000_lt_7000_hkd: 1.5
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gte_7000_lt_10000_hkd: 1.0
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gte_10000_hkd: 0.5
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allocation_efficiency_from_heat:
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range: 0_to_2
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points:
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margin_heat_lt_1x: 2.0
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margin_heat_1x_to_3x: 1.8
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margin_heat_3x_to_10x: 1.5
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margin_heat_10x_to_100x: 1.0
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margin_heat_100x_to_1000x: 0.5
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margin_heat_gte_1000x: 0.2
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note: >
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Low heat is positive for allocation efficiency but not for demand
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support. Do not confuse easier allocation with lower break risk.
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lockup_timing:
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range: 0_to_1
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points:
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standard_two_day_cash_lock: 1.0
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longer_weekend_or_holiday_lock: 0.8
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unusually_long_or_unclear_lock: 0.5
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upside_optionality_score:
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range: 0_to_5
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interpretation: Higher score means better D1 pop potential, not lower risk.
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components:
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demand_momentum:
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range: 0_to_2.5
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points:
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margin_heat_lt_1x: 0.0
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margin_heat_1x_to_3x: 0.3
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margin_heat_3x_to_10x: 0.6
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margin_heat_10x_to_100x: 1.2
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margin_heat_100x_to_1000x: 2.0
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margin_heat_gte_1000x: 2.5
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scarcity_from_offer_size:
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range: 0_to_1
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points:
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offer_size_lt_800m_hkd: 1.0
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offer_size_800m_to_2000m_hkd: 0.8
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offer_size_2000m_to_5000m_hkd: 0.5
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offer_size_gte_5000m_hkd: 0.2
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theme_and_sponsor_optionality:
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range: 0_to_1.5
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note: >
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Analyst-scored from prospectus-stage sector narrative, sponsor
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quality, and current market appetite. Use this as an option value,
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not a substitute for demand support.
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combined_score:
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defensive_risk_reward_score:
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range: 0_to_100
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formula: >
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5 * break_protection_score
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+ 6 * capital_efficiency_score
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+ 4 * upside_optionality_score
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weights:
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break_protection: 50%
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capital_efficiency: 30%
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upside_optionality: 20%
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bands:
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gte_65: defensive_priority_candidate
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gte_60_lt_65: balanced_candidate
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gte_55_lt_60: watch_only_or_small
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lt_55: avoid_unless_new_evidence
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usage:
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- Use alongside the heat-adjusted IPO score, not instead of it.
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- A low subscription multiple improves allocation efficiency but weakens demand support.
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- A mature profitable issuer can have low break risk but low D1 upside.
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- A high-heat thematic issuer can have high D1 upside but poor cash efficiency and weaker fundamental downside support.
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- Re-score after T1 allotment results; official public oversubscription should replace T0.95 heat once it becomes stage-safe.
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known_limitations:
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- Fundamentals are still analyst-scored rather than extracted into structured factors.
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- T0.95 market-heat snapshots do not yet have completed D1 labels in the archive.
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- The score is ordinal and comparative within a batch; it is not a standalone probability forecast.
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- Historical bucket rates are not yet industry-neutral or market-regime-neutral.
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