edge.py: the bankroll-decision number — parity-era edge vs measured fee hurdle, daily row + digest footer

Co-Authored-By: Claude Fable 5 <noreply@anthropic.com>

.gitignore

@@ -42,3 +42,4 @@ live/watch_prejune*.json
 live/history/
 live/slug_cache.json
 archive/local/
+live/edge_verdict.txt

HANDOFF.md

@@ -28,6 +28,17 @@ since 07-11 and since the 07-13 21:30Z swap. Verdict:
   and −$438 all-time paper — NOT re-added; re-check next Friday.
 - Guard/floor counterfactuals: re-validated 07-14 by the missed-bets audit
   (guard skips net-negative would-be on both books) — unchanged.
+- **BANKROLL decision instrumented (live/edge.py, in daily.sh + digest
+  footer)**: parity-era per-signal paper edge vs the MEASURED live fee
+  hurdle (1.9% of stake — real, not the 3-4% guess; extreme-price copies
+  keep p(1−p) small) + matched live-paper drag (6.4pp @ $1 stakes).
+  Decision rule: size up only when edge > hurdle+2pp on n≥30 parity-era
+  resolved signals (~end of July). history/edge.csv accrues one row/day;
+  `python3 live/edge.py` any time for the current verdict. RECOMMENDED to
+  the user (2026-07-16, no decision yet): ~$30-50 coverage top-up now at
+  most (the free-cash gate is skipping signals at $6 free), big sizing
+  waits for the measurement; caps bind at ~$60-125 equity anyway and stay
+  untouched. Deposits are the user's to make — never move funds.
 
 ## Shipped since rev 12 (2026-07-15)
 - **PAPER FAK PARITY**: PaperExecutor BUYs now model live FAK reality — if

live/daily.sh

@@ -95,6 +95,10 @@ with open(path, "a", newline="") as fh:
 print(f"[daily] calibration: live ${row['live_equity']:,} vs model "
       f"${row['model_equity']:,} -> {path}")
 CALIB
+echo "[daily] $(date '+%F %T') edge: parity-era per-signal edge vs fee hurdle -> history/edge.csv"
+# The bankroll-decision number (HANDOFF rev 13 / 2026-07-16): one row/day;
+# the verdict line rides the Discord digest footer below.
+python3 edge.py || echo "[daily] edge skipped"
 echo "[daily] $(date '+%F %T') 6/7 dashboard"
 python3 dashboard.py
 mkdir -p history && cp watch_skilled.json "history/watch_$(date '+%Y%m%d').json" 2>/dev/null
@@ -118,4 +122,5 @@ echo "[daily] $(date '+%F %T') done -> watch_sharps.json + dashboard.html"
 # Discord: the daily sharp-list digest (profile links + 30D conviction stats).
 # The only Discord output in the system — per-trade pings retired 2026-07-04.
 # Webhook lives in gitignored ../config.json -> daily_webhook.
-python3 discord_daily.py "feed: $PUBLISH" || echo "[daily] discord digest failed (non-fatal)"
+EDGE_LINE="$(head -1 edge_verdict.txt 2>/dev/null || true)"
+python3 discord_daily.py "feed: $PUBLISH${EDGE_LINE:+ · $EDGE_LINE}" || echo "[daily] discord digest failed (non-fatal)"

live/edge.py

@@ -0,0 +1,111 @@
+#!/usr/bin/env python3
+"""The bankroll-decision number: parity-era per-signal edge vs the fee hurdle.
+
+One row per run -> history/edge.csv, one verdict line -> edge_verdict.txt
+(daily.sh rides it into the Discord digest footer) and stdout. Run ad-hoc any
+time: python3 live/edge.py
+
+What it measures (FINDINGS "The calibration experiment", HANDOFF rev 13):
+- EDGE: net per-signal ROI of the PAPER book's resolved copies opened after
+  PARITY_T0 (2026-07-16 03:49Z, the paper FAK-parity boot — before that the
+  paper book pretended to fill thin books, so its ROI was flattered). This is
+  the honest estimate of what the strategy earns per signal after modeled
+  fees/slippage.
+- HURDLE: the LIVE book's realized round-trip fee drag (fees paid / dollars
+  staked, doubled for the exit side when a position hasn't closed yet is NOT
+  modeled — we use actual fees over actual stakes, both sides included as
+  they were really paid). The taker fee is proportional, so this hurdle does
+  NOT shrink with stake size.
+- DRAG: matched-token live-vs-paper ROI gap (execution reality check; the
+  $1-stake rounding component of this shrinks as stakes grow, the fee
+  component doesn't).
+
+Decision rule (agreed 2026-07-16): sizing up needs EDGE comfortably above
+HURDLE on n>=30 parity-era resolved signals. Feeds are read from GitHub raw
+(freshest truth — the bots commit their own state; a local checkout can lag),
+falling back to the local files offline.
+"""
+import csv
+import json
+import os
+import ssl
+import time
+import urllib.request
+
+HERE = os.path.dirname(os.path.abspath(__file__))
+RAW = "https://raw.githubusercontent.com/jaxperro/winning-wallet-finder/main/live"
+PARITY_T0 = 1784260140          # 2026-07-16 03:49Z — paper booted on 646139d
+MIN_N = 30                      # below this, the verdict is "insufficient data"
+
+
+def _feed(name):
+    try:
+        ctx = ssl._create_unverified_context()
+        with urllib.request.urlopen(f"{RAW}/{name}", timeout=30, context=ctx) as r:
+            return json.loads(r.read())
+    except Exception:
+        return json.load(open(os.path.join(HERE, name)))
+
+
+def main():
+    paper = _feed("copybot_live.json")
+    live = _feed("copybot_live_real.json")
+
+    # EDGE: parity-era resolved paper copies
+    era = [b for b in paper.get("bets", [])
+           if (b.get("opened") or 0) >= PARITY_T0
+           and b.get("pnl") is not None and b.get("cost")]
+    n = len(era)
+    staked = sum(b["cost"] for b in era)
+    pnl = sum(b["pnl"] for b in era)
+    edge = pnl / staked if staked else 0.0
+
+    # HURDLE: live's actual fee drag over everything it ever staked
+    lbets = [b for b in live.get("bets", []) if b.get("cost")]
+    lstaked = sum(b["cost"] for b in lbets)
+    hurdle = (live.get("fees_paid") or 0) / lstaked if lstaked else 0.0
+
+    # DRAG: matched resolved tokens on both books
+    def by_tok(feed):
+        return {b["token"]: b for b in feed.get("bets", [])
+                if b.get("token") and b.get("pnl") is not None and b.get("cost")}
+    lb, pb = by_tok(live), by_tok(paper)
+    common = set(lb) & set(pb)
+    m_ls = sum(lb[t]["cost"] for t in common)
+    m_ps = sum(pb[t]["cost"] for t in common)
+    drag = ((sum(pb[t]["pnl"] for t in common) / m_ps if m_ps else 0.0)
+            - (sum(lb[t]["pnl"] for t in common) / m_ls if m_ls else 0.0))
+
+    if n < MIN_N:
+        verdict = f"MEASURING ({n}/{MIN_N} parity-era signals)"
+    elif edge > hurdle + 0.02:
+        verdict = "CLEARS the fee hurdle — sizing up is defensible"
+    elif edge > 0:
+        verdict = "positive but BELOW the hurdle — live can't compound"
+    else:
+        verdict = "NEGATIVE edge — keep money out"
+
+    line = (f"edge {edge:+.1%}/signal (n={n}, ${staked:,.0f} staked) · "
+            f"fee hurdle {hurdle:.1%} · live-paper drag {drag*100:.1f}pp "
+            f"({len(common)} matched) · {verdict}")
+    print(f"[edge] {line}")
+    with open(os.path.join(HERE, "edge_verdict.txt"), "w") as fh:
+        fh.write(line + "\n")
+
+    row = {"date": time.strftime("%F"), "n": n, "staked": round(staked, 2),
+           "pnl": round(pnl, 2), "edge_pct": round(edge * 100, 2),
+           "hurdle_pct": round(hurdle * 100, 2),
+           "drag_pp": round(drag * 100, 2), "matched_n": len(common),
+           "verdict": verdict}
+    os.makedirs(os.path.join(HERE, "history"), exist_ok=True)
+    path = os.path.join(HERE, "history", "edge.csv")
+    new = not os.path.exists(path)
+    with open(path, "a", newline="") as fh:
+        w = csv.DictWriter(fh, fieldnames=list(row))
+        if new:
+            w.writeheader()
+        w.writerow(row)
+
+
+if __name__ == "__main__":
+    main()