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Deploy adaptive cost-stressed shock strategy

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Theodore Song
2026-08-21 16:53:57 -04:00
parent 6f77c2c3bd
commit a10c9a304c
11 changed files with 2856 additions and 90 deletions
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scripts/evaluate-shock-regimes.mjs
+19 -8
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@@ -3,6 +3,7 @@ import fs from "node:fs";
const GAMMA = "https://gamma-api.polymarket.com";
const CLOB = "https://clob.polymarket.com";
const MARKET_LIMIT = Math.max(100, Math.min(2000, Number(process.env.SHOCK_MARKETS || 500)));
const ACTIVE_SKIP = Math.max(0, Math.min(10000, Number(process.env.SHOCK_ACTIVE_SKIP || 0)));
const EXTERNAL_MARKET_LIMIT = Math.max(100, Math.min(2000, Number(process.env.SHOCK_EXTERNAL_MARKETS || 1000)));
const HISTORY_DAYS = Math.max(14, Math.min(30, Number(process.env.SHOCK_HISTORY_DAYS || 30)));
const CONCURRENCY = Math.max(1, Math.min(8, Number(process.env.SHOCK_CONCURRENCY || 6)));
@@ -89,7 +90,7 @@ async function fetchMarkets(limit, universe = "active") {
}
return markets;
}
let cursor = "";
let cursor = "", skipped = 0;
while (markets.length < limit) {
const params = new URLSearchParams({ active: "true", closed: "false", archived: "false", include_tag: "true",
limit: "100", order: "volume24hr", ascending: "false" });
@@ -100,6 +101,7 @@ async function fetchMarkets(limit, universe = "active") {
const labels = parseJson(raw.outcomes).map((value) => String(value).trim().toLowerCase());
const tokens = parseJson(raw.clobTokenIds).map(String), id = String(raw.id || "");
if (!id || seen.has(id) || labels[0] !== "yes" || labels[1] !== "no" || tokens.length !== 2) continue;
if (skipped < ACTIVE_SKIP) { skipped++; continue; }
seen.add(id);
markets.push({ id, token: tokens[0], category: categoryOf(raw), question: raw.question || "",
eventKey: String(raw.events?.[0]?.id || raw.events?.[0]?.slug || raw.eventId || id) });
@@ -229,7 +231,8 @@ function simulate(row, rule) {
if (entry < MIN_ENTRY_PRICE || entry > MAX_ENTRY_PRICE) return null;
const band = priceBand(entry);
if (rule.band !== "All" && band !== rule.band) return null;
const netReturn = exit / entry - 1 - COST / entry;
const rawNetReturn = exit / entry - 1 - COST / entry;
const netReturn = Math.max(-1, Math.min(2, rawNetReturn));
return { marketId: row.marketId, eventKey: row.eventKey, observedAt: row.observedAt, evaluatedAt: row.evaluatedAt,
category: row.category, band, side, entry, exit, netReturn };
}
@@ -257,10 +260,11 @@ for (const horizon of HORIZONS) for (const window of WINDOWS) for (const minMove
let markets, fetched;
if (CACHE_FILE && fs.existsSync(CACHE_FILE)) {
const cached = JSON.parse(fs.readFileSync(CACHE_FILE, "utf8"));
if (Number(cached.activeSkip || 0) !== ACTIVE_SKIP) throw new Error(`Shock cache active-skip mismatch: expected ${ACTIVE_SKIP}`);
markets = cached.markets || []; fetched = { history: cached.history || {}, failures: Number(cached.failures || 0) };
} else {
markets = await fetchMarkets(MARKET_LIMIT); fetched = await fetchHistories(markets);
if (CACHE_FILE) fs.writeFileSync(CACHE_FILE, JSON.stringify({ markets, history: fetched.history, failures: fetched.failures }));
if (CACHE_FILE) fs.writeFileSync(CACHE_FILE, JSON.stringify({ activeSkip: ACTIVE_SKIP, markets, history: fetched.history, failures: fetched.failures }));
}
const rows = markets.flatMap((market) => observations(market, fetched.history[market.token] || []));
const eventHoldoutRows = rows.filter((row) => stableHash(row.eventKey) % 4 === 0);
@@ -323,13 +327,19 @@ if (finalists.length) {
}
const compact = (stats) => Object.fromEntries(Object.entries(stats).map(([key, value]) => [key, Number.isFinite(value) ? +value.toFixed(5) : value]));
const exactStrategy3Rule = { id: "fade_h12_w3_m0.08_accelerating_v1_All_All", baseId: "fade_h12_w3_m0.08_accelerating_v1",
horizon: 12, window: 3, minMove: 0.08, direction: "fade", confirmation: "accelerating", maxVol: 1, category: "All", band: "All" };
const exactStrategy3 = { rule: exactStrategy3Rule,
train: compact(evaluate(exactStrategy3Rule, "train")), validation: compact(evaluate(exactStrategy3Rule, "validation")),
holdout: compact(evaluate(exactStrategy3Rule, "holdout")),
eventHoldout: compact(summary(eventHoldoutRows.map((row) => simulate(row, exactStrategy3Rule)).filter(Boolean))) };
const coverageDays = Object.values(fetched.history).map((points) => points.length > 1 ? (points.at(-1).t - points[0].t) / 86400 : 0).sort((a, b) => a - b);
const medianCoverageDays = coverageDays.length ? coverageDays[Math.floor(coverageDays.length / 2)] : 0;
const candidateRow = (candidate) => ({ rule: candidate.rule, passesHoldout: candidate.passesHoldout,
passesEventHoldout: Boolean(candidate.passesEventHoldout), passesArchive: Boolean(candidate.passesArchive),
train: compact(candidate.train), validation: compact(candidate.validation), holdout: compact(candidate.holdout),
eventHoldout: candidate.eventHoldout ? compact(candidate.eventHoldout) : null, archive: candidate.archive ? compact(candidate.archive) : null });
const report = { generatedAt: new Date().toISOString(), requestedMarkets: MARKET_LIMIT, markets: markets.length,
const report = { generatedAt: new Date().toISOString(), requestedMarkets: MARKET_LIMIT, activeMarketsSkipped: ACTIVE_SKIP, markets: markets.length,
marketsWithHistory: markets.filter((market) => fetched.history[market.token]?.length).length, fetchFailures: fetched.failures,
medianHistoryCoverageDays: +medianCoverageDays.toFixed(2), maximumHistoryCoverageDays: +(coverageDays.at(-1) || 0).toFixed(2),
observations: rows.length, testedBaseRules: baseRules.length, trainWinners: trainWinners.length, testedRefinements: uniqueRefined.length,
@@ -342,14 +352,15 @@ const report = { generatedAt: new Date().toISOString(), requestedMarkets: MARKET
archivePassed: finalists.filter((candidate) => candidate.passesArchive).length,
methodology: { requestedHistoryDays: HISTORY_DAYS, medianHistoryCoverageDays: +medianCoverageDays.toFixed(2),
maximumHistoryCoverageDays: +(coverageDays.at(-1) || 0).toFixed(2), observationSpacingHours: 3, horizons: HORIZONS, windows: WINDOWS,
costCents: COST * 100, entryPriceRange: [MIN_ENTRY_PRICE, MAX_ENTRY_PRICE], eventSplit: "25% deterministic event-disjoint holdout reserved before search",
costCents: COST * 100, entryPriceRange: [MIN_ENTRY_PRICE, MAX_ENTRY_PRICE], returnWinsorization: [-1, 2],
eventSplit: "25% deterministic event-disjoint holdout reserved before search",
split: "Remaining events use 60% train / 20% validation / 20% untouched chronological holdout with future-mark purge",
clusterUnit: "Polymarket event", refinementSource: "Only base rules with a positive train lower bound are refined by category and entry band",
limitation: "Current active-market selection is survivorship biased; any holdout winner still requires resolved-market external validation" },
partitions: Object.fromEntries(Object.entries(partitions).map(([key, value]) => [key, value.length])),
partitions: Object.fromEntries(Object.entries(partitions).map(([key, value]) => [key, value.length])), exactStrategy3,
candidates: holdout.slice(0, 30).map(candidateRow) };
const output = SUMMARY_ONLY ? { generatedAt: report.generatedAt, markets: report.markets,
const output = SUMMARY_ONLY ? { generatedAt: report.generatedAt, activeMarketsSkipped: report.activeMarketsSkipped, markets: report.markets,
marketsWithHistory: report.marketsWithHistory, fetchFailures: report.fetchFailures, observations: report.observations,
medianHistoryCoverageDays: report.medianHistoryCoverageDays, maximumHistoryCoverageDays: report.maximumHistoryCoverageDays,
testedBaseRules: report.testedBaseRules, trainWinners: report.trainWinners, testedRefinements: report.testedRefinements,
@@ -358,7 +369,7 @@ const output = SUMMARY_ONLY ? { generatedAt: report.generatedAt, markets: report
eventHoldoutPassed: report.eventHoldoutPassed, externalRequestedMarkets: report.externalRequestedMarkets,
externalMarkets: report.externalMarkets, externalMarketsWithHistory: report.externalMarketsWithHistory,
externalFetchFailures: report.externalFetchFailures, externalObservations: report.externalObservations,
archivePassed: report.archivePassed, partitions: report.partitions,
archivePassed: report.archivePassed, partitions: report.partitions, exactStrategy3: report.exactStrategy3,
candidates: report.candidates.slice(0, SUMMARY_CANDIDATES) } : report;
const serialized = JSON.stringify(output, null, 2);
if (OUTPUT_FILE) fs.writeFileSync(OUTPUT_FILE, serialized + "\n");