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backtest execution follows the paper bot's follow flags (#20/#21 parity): maker entries at the sharp's price, hold-through exits; sold-unresolved carry as open at exit print

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Co-Authored-By: Claude Fable 5 <noreply@anthropic.com>
This commit is contained in:
jaxperro
2026-07-23 18:09:11 -04:00
parent 243022deca
commit 004911bba3
1 changed files with 62 additions and 13 deletions
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live/portfolio.py
+62 -13
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@@ -132,9 +132,30 @@ except Exception:
_PINNED = {}
# ---- execution mode: mirrors the PAPER BOT's follow flags (2026-07-23) ------
# The backtest replays the same execution the paper test runs (#20/#21):
# entry_mode "maker": fill at the sharp's own price, no fee, no slip (the
# deployed bot rests at their price, 60s TTL; T3/T11 measured 90% touch
# with the never-filled tail being winners — so 100%-fill-at-their-price
# is the DECLARED optimistic bound; wallet-selection bench, not an EV
# certification — verdicts stay with the bots' own #20/#21 windows)
# exit_mode "hold": mirrored sells ignored; every position rides to chain
# truth (sold-but-unresolved positions carry as open, marked at the
# signal's exit print). Flip copybot.paper.json back -> backtest follows.
try:
_FOLLOW = json.load(open(os.path.join(HERE, "copybot.paper.json")))["follow"]
except Exception:
_FOLLOW = {}
ENTRY_MODE = os.environ.get("BT_ENTRY_MODE", _FOLLOW.get("entry_mode", "taker"))
EXIT_MODE = os.environ.get("BT_EXIT_MODE", _FOLLOW.get("exit_mode", "mirror"))
def entry_model(p, stake):
"""(effective entry price, entry fee, total cash cost) of a $stake copy:
price worsened by the lag-slippage haircut, taker fee on top of the stake."""
"""(effective entry price, entry fee, total cash cost) of a $stake copy.
taker: price worsened by the lag-slippage haircut, taker fee on top.
maker: the sharp's own price, feeless (see ENTRY_MODE note above)."""
if ENTRY_MODE == "maker":
return p, 0.0, stake
p_eff = min(0.999, p * (1 + SLIP))
fee = stake * FEE_RATE * (1 - p_eff)
return p_eff, fee, stake + fee
@@ -504,7 +525,7 @@ def main():
cash -= cost; fees_paid += fee; perW[b["wallet"]]["bets"] += 1
shares = stake / p_eff # lag-adjusted entry price
if b["kind"] == "res":
if b.get("exit_t"):
if b.get("exit_t") and EXIT_MODE != "hold":
# the signal SOLD pre-resolution -> mirror the exit, like the
# live bot: their exit price with the slippage haircut against
# us, minus the taker fee (sells pay it; redeems don't)
@@ -513,6 +534,15 @@ def main():
fees_paid += fee_out
b["sold"] = True
held.append((b["exit_t"], cost, shares * xp - fee_out, b))
elif b.get("wp") is None and b.get("won") is None:
# hold mode, signal sold, market NOT resolved: no truth to
# grade against yet -> carry as an open position marked at
# the signal's exit print (best known price; conservative:
# capital stays locked until real resolution)
b["kind"] = "open"
b["cur"] = b.get("exit_p") or b["p"]
held.append((None, cost, 0.0, b))
b["val"] = shares * b["cur"]
else:
# held to resolution: chain-truth payout (1/0/0.5) when
# known, else the cache mark; redeem is fee-free
@@ -551,15 +581,38 @@ def main():
stake = m.get("stake") or STAKE_MIN
p_eff, fee, cost = entry_model(m["p"], stake)
shares = stake / p_eff
if m.get("exit_t"): # would have mirrored their exit
if m.get("exit_t") and EXIT_MODE != "hold": # would have mirrored
xp = max(0.001, m["exit_p"] * (1 - SLIP))
return shares * xp - shares * FEE_RATE * xp * (1 - xp) - cost
if "won" in m:
if m.get("wp") is not None or m.get("won") is not None:
wp = m.get("wp")
if wp is None:
wp = 1.0 if m["won"] else 0.0
return shares * wp - cost
return stake * (m.get("cur", p_eff) / p_eff) - cost
# no truth yet (open, or hold-mode sold-unresolved): mark to price
mark = m.get("cur") or m.get("exit_p") or p_eff
return shares * mark - cost
def _truth_won(m):
"""Chain/cache-truth won for a missed rec, None when undecided."""
if m.get("wp") is not None:
return m["wp"] > 0.5
return m.get("won")
def _missed_won(m):
if m.get("exit_t") and EXIT_MODE != "hold":
return None # mirrored exit: truth is the price
return _truth_won(m)
def _missed_status(m):
if m.get("exit_t") and EXIT_MODE != "hold":
return "sold"
w = _truth_won(m)
if w is None:
return None
if m.get("wp") == 0.5:
return "refund"
return "won" if w else "lost"
missed.sort(key=lambda m: m.get("res_t") or 0, reverse=True)
for m in missed[:60]:
@@ -623,17 +676,13 @@ def main():
"date": r.get("exit_t") or r.get("res_t")}
for r in resolved[:250]],
"missed": [{"title": m.get("title", ""), "name": m["name"],
"won": (None if "won" not in m or m.get("exit_t")
else (m["won"] if m.get("wp") is None else m["wp"] > 0.5)),
"status": ("sold" if m.get("exit_t")
else None if "won" not in m
else "refund" if m.get("wp") == 0.5
else "won" if (m["won"] if m.get("wp") is None else m["wp"] > 0.5)
else "lost"),
"won": _missed_won(m),
"status": _missed_status(m),
"stake": m.get("stake"), "capped": bool(m.get("capped")),
"pnl": round(m["pnl"], 2), "date": m.get("exit_t") or m.get("res_t")}
for m in missed[:60]],
"missed_pnl": round(sum(hypo_pnl(m) for m in missed), 2),
"entry_mode": ENTRY_MODE, "exit_mode": EXIT_MODE,
}
json.dump(out, open(os.path.join(HERE, OUT) if not os.path.isabs(OUT) else OUT, "w"),
separators=(",", ":"))