Method
How Thalweg gets its numbers
Every figure in Thalweg can be traced to a filing or a price. Nothing is an analyst’s opinion.
Where the data comes from
| Data | Source | How fresh |
|---|---|---|
| Financial statements, share counts, dividends | The company’s own 10-K and 10-Q filings with the SEC, in their machine-readable (XBRL) form; about 17 fiscal years for most companies | Within about a day of each filing |
| Business description, risk factors, notes, MD&A | The text of the latest 10-K, section by section | Each annual report |
| Stock and fund prices | Exchange price feed: live during market hours, the official close after it; split and dividend adjusted for history | Every 2 minutes in market hours |
| Fund holdings | Each fund’s latest SEC N-PORT filing | Quarterly |
| Superinvestor holdings | SEC 13F filings | Quarterly |
| Options, implied volatility, VIX | Cboe, 15-minute delayed | Every few minutes in market hours |
How a stock is scored
Business, moat, growth, management and capital, risk and valuation are each scored 1 to 5 from fixed rules on the filing data. The verdict (Buy, Wait for price, Hold, No new money, Avoid) comes from quality and valuation together. Fair value uses the stock’s own ten-year normal multiple; the forecast runs 25,000 simulations from the company’s history of growth and margins to give the odds of each return. Every rule and formula is written out inside the app under Library → Formulas & method.
How risk is measured
- Business risk is scored from the filings: revenue mix, disruption, things outside management’s control, debt and three bankruptcy models (Altman, Zmijewski, Grover).
- Market risk is measured from daily prices: the share of a stock’s swings that is the market’s, its sector’s or its own; beta on down days, up days and crisis days; tail days against a bell curve; drawdowns; liquidity; report-day moves; and how it came through 12 market shocks since 1998.
How pairs and hedges are measured
- Z-score = (today’s price ratio − its 20, 50 or 90-day average) ÷ that window’s standard deviation.
- Tie strength comes from a co-integration test on three years of log prices; the score sets a five-step meter from Not tied to Strongly tied, and the half-life says how fast gaps have closed.
- What happened next counts every earlier time the pair got as stretched as today and how often the ratio moved back within 20 trading days.
- Hedge ratios: dollar (1 : 1), beta-weighted (minimum risk) and vol-weighted (equal risk), each with the share of risk it would have removed over the last year.
What Thalweg does not do
- It does not use analyst ratings or price targets; outlooks come from the company’s own numbers.
- It does not give personal investment advice. It shows the evidence; decisions are yours.
- History is not a forecast. Every probability and back-test describes the past.