Project Caligula
Structuring what the models leave out. A quantamental E&P engine that turns SEC footnotes into auditable quality signals and an 8-pillar, point-in-time ledger.
ProblemPublic E&P screens miss the footnotes that actually drive quality — reserve replacement, hedge floors, depletion risk, unit margins, and capital discipline. Those disclosures are unstructured, buried, and rarely comparable across filings.
SolutionCaligula extracts those footnotes, maps them into auditable ledgers, and scores each company on an 8-pillar, sector-normalised quality framework: unit economics, capital discipline, balance sheet, hedge book, reserves, operational quality, sentiment, and macro sensitivity. Every score must trace back to a filing, an extraction row, or a declared methodology input, and point-in-time dates are enforced through filing-cutoff logic.
Implementation / progressPhase II is complete: extraction, reserve, and universe ledgers; a point-in-time universe; a reproducible performance ledger; SHA-256 audit ledgers; and static public JSON the dashboard reads — it computes no rankings, valuation, or returns in the UI. The proof package passes make, black, flake8, 10 tests, stub scan, schema check, claim-language scan, static-JSON generation, and archival. The repository is public.
| # | Ticker | Tier | Composite | Cap. Disc. | Bal. Sheet | Reserves | Hedge |
|---|---|---|---|---|---|---|---|
| 1 | EOG | B | 0.640 | 0.862 | 0.893 | 0.474 | 0.533 |
| 2 | CTRA | B | 0.592 | — | — | — | — |
| 3 | FANG | B | 0.565 | — | — | — | — |
| 4 | OVV | C | 0.533 | — | — | — | — |
| 5 | APA | C | 0.532 | — | — | — | — |
| 6 | CPE | C | 0.520 | — | — | — | — |
| 7 | VTLE | C | 0.512 | — | — | — | — |
| 8 | CXO | C | 0.508 | — | — | — | — |
| 9 | MTDR | C | 0.501 | — | — | — | — |
| 10 | CRGY | D | 0.362 | — | — | — | — |
Performance ledger · Permian Basin E&P study
- Long basket return
- −24.4%
- Short basket return
- +115.6%
- Long–short return
- −119.0%
- Benchmark return
- −14.6%
- Excess return
- −104.3%
- Annualised volatility
- 62.9%
- Sharpe
- −0.17
- Sortino
- −0.19
- Max drawdown
- −121.0%
Audit ledgers
Extraction Ledger
Every footnote value mapped back to its source filing and extraction row.
Reserve Ledger
Reserve bookings and replacement mapped for the depletion and quality pillars.
Universe Ledger
Point-in-time universe membership — the survivorship and look-ahead defense.
Performance Ledger
Reproducible backtest record rather than a standalone chart.
PIT Audit Example
Filing-cutoff logic enforced so public rankings never show non-canonical metrics.
Static Website Export
The dashboard reads generated JSON; it computes nothing in the UI.
Validation gates · proof-package log
Folio Plate II.5 · EOG DCF overlay — audit-traceable, reserve-bucket terminal value
- Draft valuation date
- Q2 2026 (draft)
- Market data pulled as of
- 05 Jun 2026
- Base WACC
- 8.77%
- Reserve-life value
- $149.60 / sh
- Exit EBITDA sanity check
- $143.10 / sh · 5.5×
- Implied long-run WTI
- $68.50 / bbl
- Rating
- Watchlist / Mildly Undervalued
| WACC \ WTI | $55 | $60 | $65 | $70 | $75 | $80 | $85 |
|---|---|---|---|---|---|---|---|
| 7.5% | 152.40 | 158.20 | 164.50 | 171.20 | 178.50 | 186.20 | 194.50 |
| 8.0% | 145.20 | 150.80 | 156.80 | 163.20 | 170.10 | 177.50 | 185.30 |
| 8.5% | 138.60 | 143.90 | 149.60 | 155.80 | 162.40 | 169.40 | 176.90 |
| 9.0% | 132.50 | 137.60 | 143.10 | 148.90 | 155.20 | 161.90 | 169.00 |
| 9.5% | 126.90 | 131.80 | 137.00 | 142.60 | 148.60 | 155.00 | 161.80 |
| 10.0% | 121.70 | 126.40 | 131.40 | 136.80 | 142.50 | 148.60 | 155.20 |