240 lines
8.8 KiB
Python
240 lines
8.8 KiB
Python
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#!/usr/bin/env python3
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"""Scan many wallets for a RELIABLE, COPYABLE weekly edge.
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Two passes:
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1. metrics — for every candidate, bucket resolved-bet PnL by week over the
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window and compute consistency (% green weeks, profit factor, Sharpe, ROI).
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Results stream to a JSONL file so a long run is crash-safe.
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2. copyability — for the wallets that look profitable, pull /activity and
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measure how much they hold to resolution (mirrorable) vs trade around
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(not mirrorable by copying entries).
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python3 edge_research.py --pool 1500 --days 120
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Outputs: edge_metrics.jsonl (raw, all wallets)
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edge_profitable.json (filtered + copyability, ranked)
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"""
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import argparse
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import json
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import os
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import statistics
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import sys
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import time
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from collections import defaultdict
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from concurrent.futures import ThreadPoolExecutor, as_completed
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import smart_money as sm
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WEEK = 7 * 86400
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MAX_PAGES = 40 # per endpoint, bounds runtime on hyperactive wallets
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def _parse_end(end):
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if not end:
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return 0
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end = end.replace("Z", "")
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for fmt in ("%Y-%m-%dT%H:%M:%S", "%Y-%m-%d"):
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try:
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return time.mktime(time.strptime(end, fmt))
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except ValueError:
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continue
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return 0
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def candidates(pool):
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seen = {}
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for window in ("7d", "30d", "all"):
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offset = 0
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while offset < pool and offset < 2000:
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page = sm.get_json("/v1/leaderboard",
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{"window": window, "limit": 50, "offset": offset})
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if not page:
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break
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for u in page:
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w = u.get("proxyWallet")
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if w and w not in seen:
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seen[w] = {"wallet": w,
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"username": u.get("userName") or w[:10] + "...",
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"lb_pnl": u.get("pnl", 0)}
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offset += 50
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if len(page) < 50:
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break
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if len(seen) >= pool:
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break
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return list(seen.values())[:pool]
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def resolved_with_stake(wallet, cutoff):
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now = time.time()
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out = []
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off = 0
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while off < MAX_PAGES * 50:
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page = sm.get_json("/closed-positions",
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{"user": wallet, "limit": 50, "offset": off,
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"sortBy": "TIMESTAMP", "sortDirection": "DESC"})
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if not page:
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break
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for p in page:
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if p.get("timestamp", 0) >= cutoff:
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out.append({"ts": p["timestamp"], "pnl": p.get("realizedPnl", 0),
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"stake": p.get("avgPrice", 0) * p.get("totalBought", 0)})
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off += 50
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if len(page) < 50 or page[-1].get("timestamp", 0) < cutoff:
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break
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off = 0
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while off < MAX_PAGES * 50:
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page = sm.get_json("/positions",
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{"user": wallet, "limit": 50, "offset": off,
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"sizeThreshold": 0.0})
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if not page:
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break
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for p in page:
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end = _parse_end(p.get("endDate"))
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if cutoff <= end < now:
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out.append({"ts": end, "pnl": p.get("cashPnl", 0),
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"stake": p.get("initialValue", 0)})
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off += 50
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if len(page) < 50:
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break
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return out
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def metrics(cand, cutoff):
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bets = resolved_with_stake(cand["wallet"], cutoff)
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if len(bets) < 20:
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return None
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by_week = defaultdict(lambda: [0.0, 0.0])
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for b in bets:
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wk = int(b["ts"] // WEEK)
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by_week[wk][0] += b["pnl"]
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by_week[wk][1] += b["stake"]
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weeks = sorted(by_week)
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wpnl = [by_week[w][0] for w in weeks]
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wroi = [by_week[w][0] / by_week[w][1] if by_week[w][1] else 0 for w in weeks]
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total_pnl = sum(wpnl)
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total_stake = sum(by_week[w][1] for w in weeks)
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gw = sum(p for p in wpnl if p > 0)
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gl = abs(sum(p for p in wpnl if p < 0))
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mean_roi = statistics.mean(wroi)
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std_roi = statistics.pstdev(wroi) if len(wroi) > 1 else 0
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return {
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"wallet": cand["wallet"], "username": cand["username"],
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"lb_pnl": round(cand["lb_pnl"]),
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"n_weeks": len(weeks), "n_bets": len(bets),
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"pct_weeks_pos": round(sum(1 for p in wpnl if p > 0) / len(weeks) * 100),
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"mean_weekly_roi": round(mean_roi * 100, 1),
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"weekly_sharpe": round(mean_roi / std_roi, 2) if std_roi else 0,
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"profit_factor": round(gw / gl, 2) if gl else 999,
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"total_pnl": round(total_pnl),
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"total_roi": round(total_pnl / total_stake * 100, 1) if total_stake else 0,
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}
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def copyability(wallet):
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trades, off = [], 0
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while off < 2000: # cap fills for speed
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p = sm.get_json("/activity",
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{"user": wallet, "type": "TRADE", "limit": 500, "offset": off})
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if not p:
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break
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trades += p
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off += 500
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if len(p) < 500:
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break
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by_mkt = defaultdict(lambda: {"buy_usd": 0.0, "sell_usd": 0.0, "sold": False})
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for t in trades:
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m = by_mkt[t.get("conditionId")]
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if t.get("side") == "BUY":
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m["buy_usd"] += t.get("usdcSize", 0)
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else:
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m["sell_usd"] += t.get("usdcSize", 0)
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m["sold"] = True
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n = len(by_mkt) or 1
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hold = sum(1 for m in by_mkt.values() if not m["sold"])
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return {"markets": len(by_mkt), "hold_pct": round(hold / n * 100),
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"fills": len(trades)}
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def run(pool, days, workers):
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cutoff = time.time() - days * 86400
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out_path, prof_path = "edge_metrics.jsonl", "edge_profitable.json"
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print(f"[{time.strftime('%H:%M:%S')}] pulling up to {pool} candidates...", flush=True)
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cands = candidates(pool)
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print(f"[{time.strftime('%H:%M:%S')}] {len(cands)} candidates · "
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f"window {days}d · analyzing (workers={workers})", flush=True)
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done = kept = 0
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with open(out_path, "w") as fout, ThreadPoolExecutor(max_workers=workers) as ex:
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futs = {ex.submit(metrics, c, cutoff): c for c in cands}
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for f in as_completed(futs):
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done += 1
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try:
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r = f.result()
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except Exception:
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r = None
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if r:
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kept += 1
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fout.write(json.dumps(r) + "\n")
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fout.flush()
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if done % 50 == 0 or done == len(cands):
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print(f"[{time.strftime('%H:%M:%S')}] {done}/{len(cands)} analyzed "
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f"· {kept} with enough history", flush=True)
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rows = [json.loads(l) for l in open(out_path)]
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# "looks profitable" screen
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prof = [r for r in rows if r["n_weeks"] >= max(4, days // 7 * 0.4)
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and r["n_bets"] >= 30 and r["total_pnl"] > 0 and r["total_roi"] > 0
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and r["pct_weeks_pos"] >= 60 and r["profit_factor"] >= 1.3]
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print(f"\n[{time.strftime('%H:%M:%S')}] {len(prof)} wallets pass the profitable "
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f"screen · checking copyability...", flush=True)
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with ThreadPoolExecutor(max_workers=workers) as ex:
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futs = {ex.submit(copyability, r["wallet"]): r for r in prof}
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for f in as_completed(futs):
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r = futs[f]
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try:
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r["copy"] = f.result()
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except Exception:
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r["copy"] = {"markets": 0, "hold_pct": 0, "fills": 0}
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for r in prof:
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r["copyable"] = r["copy"]["hold_pct"] >= 70
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# composite: reward consistency, profit factor, and ROI
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r["score"] = round(r["pct_weeks_pos"] / 100 * r["profit_factor"]
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* (1 + r["total_roi"] / 100), 2)
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prof.sort(key=lambda r: (r["copyable"], r["score"]), reverse=True)
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json.dump(prof, open(prof_path, "w"), indent=2)
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print(f"\n{'='*94}")
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print(f" PROFITABLE & COPYABLE wallets (window {days}d, pool {len(cands)})")
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print(f"{'='*94}")
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h = (f"{'Trader':<20}{'wks':>4}{'bets':>6}{'%wk+':>6}{'PF':>6}"
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f"{'Sharpe':>7}{'totROI':>8}{'hold%':>7}{'copy':>6}{'90d PnL':>13}")
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print(h)
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print("-" * len(h))
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for r in prof:
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print(f"{r['username'][:20]:<20}{r['n_weeks']:>4}{r['n_bets']:>6}"
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f"{r['pct_weeks_pos']:>5}%{r['profit_factor']:>6.2f}"
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f"{r['weekly_sharpe']:>7.2f}{r['total_roi']:>7}%"
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f"{r['copy']['hold_pct']:>6}%{'yes' if r['copyable'] else 'no':>6}"
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f"{'$'+format(r['total_pnl'], ','):>13}")
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print("-" * len(h))
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cop = sum(1 for r in prof if r["copyable"])
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print(f"{len(prof)} profitable · {cop} of them copyable (hold-to-resolution ≥70%)")
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print(f"Full detail: {prof_path}\n")
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def main():
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ap = argparse.ArgumentParser(description=__doc__,
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formatter_class=argparse.RawDescriptionHelpFormatter)
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ap.add_argument("--pool", type=int, default=1500)
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ap.add_argument("--days", type=int, default=120)
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ap.add_argument("--workers", type=int, default=12)
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args = ap.parse_args()
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run(args.pool, args.days, args.workers)
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if __name__ == "__main__":
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main()
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