jaxperro
34d02956d8
Moved the 8 tested-and-failed strategy tools into archive/ (copytrade, backtest, edge_research, lookback, table_77, lp_screener, lp_paper, xarb) with an archive/README explaining each. Root now holds the keepers: insider.py (made self-sufficient — dropped the copytrade load_json dependency) and smart_money.py (data foundation). New FINDINGS.md is the honest scorecard: six systematic public-data edges all efficient/illusory, the win-rate survivorship-bias finding, and the one real signal (z-score improbability + funding clustering). Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
120 lines
3.9 KiB
Python
120 lines
3.9 KiB
Python
#!/usr/bin/env python3
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"""240-day lookback on a short list of wallets, split into halves.
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We selected these wallets on their last 120 days. The *older* half (240->120
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days ago) is data that played no part in selection — so consistency there is
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backward out-of-sample evidence the edge is real, not a lucky recent stretch.
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"""
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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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import smart_money as sm
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WEEK = 7 * 86400
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PAGES = 160 # generous for this focused 5-wallet run
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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 resolved(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 < 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 < 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 stats(bets):
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if not bets:
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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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tot_pnl = sum(wpnl)
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tot_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 = statistics.mean(wroi)
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std = statistics.pstdev(wroi) if len(wroi) > 1 else 0
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return {
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"weeks": len(weeks), "bets": len(bets),
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"green": round(sum(1 for p in wpnl if p > 0) / len(weeks) * 100),
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"pf": round(gw / gl, 2) if gl else 999,
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"sharpe": round(mean / std, 2) if std else 0,
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"roi": round(tot_pnl / tot_stake * 100, 1) if tot_stake else 0,
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"pnl": round(tot_pnl),
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}
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def line(label, s):
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if not s:
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print(f" {label:<8} (no resolved bets in this period)")
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return
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print(f" {label:<8} {s['weeks']:>2}wk {s['bets']:>5}bets "
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f"{s['green']:>3}%grn PF {s['pf']:>6} Sharpe {s['sharpe']:>5} "
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f"ROI {s['roi']:>6}% ${s['pnl']:>12,}")
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def main(wallets):
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now = time.time()
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mid = now - 120 * 86400
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for name, w in wallets:
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bets = resolved(w, now - 240 * 86400)
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older = [b for b in bets if b["ts"] < mid] # 240->120d (not used to select)
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recent = [b for b in bets if b["ts"] >= mid] # 120->0d (selection window)
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print(f"\n{name} ({w[:16]}…)")
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line("240d all", stats(bets))
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line("older½", stats(older)) # out-of-sample
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line("recent½", stats(recent)) # in-sample
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if __name__ == "__main__":
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# name, wallet — passed as alternating argv or hardcoded by caller
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pairs = [(sys.argv[i], sys.argv[i + 1]) for i in range(1, len(sys.argv), 2)]
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main(pairs)
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