48 lines
1.9 KiB
SQL
48 lines
1.9 KiB
SQL
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-- Per-wallet edge over RESOLVED markets, computed entirely in DuckDB.
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--
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-- The join chain: market_positions (a wallet's buy in one outcome token)
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-- -> market_data (token -> condition + outcome_index)
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-- -> conditions (resolution + payoutNumerators -> which outcome won).
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--
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-- Why this beats the data-api: market_positions records a buy whether or not
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-- the wallet redeemed, so losers are NOT hidden. The survivorship bias that
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-- makes /closed-positions read 90% (truly 48%) does not exist here.
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--
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-- entry price p = valueBought / quantityBought (USDC 6dp / shares 6dp -> 0..1)
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-- won = payoutNumerators[outcome_index] != 0
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-- z = (wins - Σp) / sqrt(Σ p(1-p)) -- wins above what odds implied
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--
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-- :cutoff_ts binds an out-of-sample boundary. Pass 0 to score everything.
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WITH bet AS (
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SELECT
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mp.user_id,
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c.resolution_ts,
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LEAST(0.999, GREATEST(0.001,
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mp.val_bought::DOUBLE / mp.qty_bought)) AS p,
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CASE WHEN md.winner THEN 1 ELSE 0 END AS won
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FROM market_positions mp
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JOIN market_data md ON md.token_id = mp.token_id
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JOIN conditions c ON c.id = md.condition_id
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WHERE mp.qty_bought > 0
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AND c.resolution_ts > 0
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)
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SELECT
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b.user_id,
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count(*) AS n,
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sum(b.won) AS wins,
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round(sum(b.p), 1) AS exp_wins,
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round(100.0 * sum(b.won) / count(*), 1) AS win_rate,
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round((sum(b.won) - sum(b.p))
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/ sqrt(nullif(sum(b.p * (1 - b.p)), 0)), 2) AS z,
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round(avg(b.p), 3) AS avg_entry,
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a.scaled_profit AS profit,
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a.scaled_volume AS volume,
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a.creation_ts
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FROM bet b
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LEFT JOIN accounts a ON a.id = b.user_id
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WHERE b.resolution_ts <= :cutoff_ts OR :cutoff_ts = 0
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GROUP BY b.user_id, a.scaled_profit, a.scaled_volume, a.creation_ts
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HAVING count(*) >= :min_n
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ORDER BY z DESC;
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