research: Study C FREEZE — maker inventory-lean pre-registration (follow arm verdict; fade failed its concentration gate)

score_lean wired into the nightly (walk-forward as-of screening, frozen
trigger, chain truth); params/study_lean.json frozen; forward window =
ledger rows dated after this commit. Fade $2k+ arm excluded by the
pre-declared gate (top event 32%, tail net-negative) — tracked
report-only. Follow $150-500: robust across 869 events (top 14%).

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

.gitignore

@@ -54,3 +54,4 @@ research/meta/
 research/.surge*.pull.*
 research/.oracle*.pull.*
 research/replay_out/
+research/.maker_lean_triggers.json

research/forward.py

@@ -180,6 +180,56 @@ def score_oracle(db, P, d, hold_s):
     return row
 
 
+def score_lean(db, d):
+    """Study C (maker inventory-lean, pre-registered): walk-forward day row.
+    Screen as-of day start (maker_lean.screen_asof — tape strictly before
+    the day), frozen trigger (maker_lean.day_leans), chain truth via
+    payouts_for. Arms: follow_small ($150-500) · fade_whale ($2k+) · mid
+    bucket report-only. Scored at last-print entry (stated optimism — a
+    PASS graduates to a real-execution paper arm, never to money)."""
+    import maker_lean as ml
+    lo, hi = day_bounds(d)
+    t_max = db.execute(
+        "SELECT max(ts) FROM aux WHERE type='orders_matched'").fetchone()[0]
+    hi = min(hi, t_max or 0)
+    if hi <= lo:
+        return {"skipped": "no maker-stream coverage"}
+    tape.build_resolved(db)
+    sharps = ml.screen_asof(db, lo)
+    if not sharps:
+        return {"skipped": "no screened wallets as-of day"}
+    leans = ml.day_leans(db, lo, hi, sharps)
+    pays = payouts_for(db, [t["a"] for t in leans])
+    row = {"screened": len(sharps), "leans": len(leans)}
+    arms = {"follow_small": ("follow", lambda u: u < 500),
+            "mid_report": ("follow", lambda u: 500 <= u < 2000),
+            "fade_whale": ("fade", lambda u: u >= 2000)}
+    for name, (direction, sel) in arms.items():
+        n = pend = wins = 0
+        pnl = 0.0
+        for t in leans:
+            if not sel(t["lean_usd"]):
+                continue
+            p = pays.get(t["a"])
+            if p is None:
+                pend += 1
+                continue
+            if p == 0.5:
+                continue
+            lean_pay = p if t["side"] > 0 else 1 - p
+            px, pay = ((t["lean_px"], lean_pay) if direction == "follow"
+                       else (1 - t["lean_px"], 1 - lean_pay))
+            if not (0.05 <= px <= 0.95):
+                continue
+            n += 1
+            pnl += 100.0 / px * (pay - px)
+            wins += pay == 1.0
+        row[name] = {"n": n, "pending": pend, "pnl": round(pnl, 2),
+                     "ev_per_lean": round(pnl / n, 2) if n else None,
+                     "hit": round(wins / n, 3) if n else None}
+    return row
+
+
 def main():
     db = tape.connect()
     cal = json.load(open(os.path.join(HERE, "params", "sim_calibration.json")))
@@ -248,6 +298,16 @@ def main():
             print(f"sub5c  {d}: trig {r3['triggers']} "
                   f"worst {r3['worst'].get('ev_per_fill')} "
                   f"({r3['worst']['fills']} fills, {r3['worst']['pending']} pend)")
+            r5 = score_lean(db, d)
+            fh.write(json.dumps({"study": "lean", "day": d,
+                                 "computed_at": now, **r5},
+                                default=float) + "\n")
+            print(f"lean   {d}: " + (r5.get("skipped") or
+                  f"{r5['leans']} leans · follow_small "
+                  f"{r5['follow_small'].get('ev_per_lean')} "
+                  f"({r5['follow_small']['n']}n) · fade_whale "
+                  f"{r5['fade_whale'].get('ev_per_lean')} "
+                  f"({r5['fade_whale']['n']}n)"))
 
 
 if __name__ == "__main__":

research/maker_lean.py

@@ -17,6 +17,7 @@ FROZEN v0 params (declared before the run, not tuned after):
   price    lean-side last print in [0.05, 0.95] at trigger
   score    $100 at trigger print -> chain payout; follow-EV and fade-EV
 Kill bar: BOTH directions EV <= 0 at n>=100 leans."""
+import os
 import sys
 import time
 
@@ -63,6 +64,43 @@ def screen_asof(db, t_cut):
     return out
 
 
+def day_leans(db, lo, hi, sharps):
+    """First lean crossings for screened wallets in [lo,hi) — the frozen
+    trigger (used by the exploration AND forward.py's nightly scoring)."""
+    rows = db.execute("""
+      SELECT lower(json_extract_string(payload,'$.proxyWallet')) w,
+             json_extract_string(payload,'$.asset') a,
+             json_extract_string(payload,'$.side') s,
+             cast(json_extract(payload,'$.price') AS DOUBLE) p,
+             cast(json_extract(payload,'$.size') AS DOUBLE) z, ts
+      FROM aux WHERE type='orders_matched' AND ts >= ? AND ts < ?
+      ORDER BY ts""", [lo, hi]).fetchall()
+    book, fired, out = {}, set(), []
+    for w, a, s_, p, z, ts in rows:
+        if w not in sharps or (w, a) in fired:
+            continue
+        st = book.setdefault((w, a), [0.0, 0.0])
+        st[0] += z if s_ == "BUY" else -z
+        st[1] += z
+        net, gross = st
+        if gross < 1e-9:
+            continue
+        px = db.execute("""SELECT price FROM trades WHERE asset=?
+            AND ts<=? ORDER BY ts DESC LIMIT 1""", [a, ts]).fetchone()
+        if px is None:
+            continue
+        px = float(px[0])
+        lean_px = px if net > 0 else 1 - px
+        if (abs(net) * px >= LEAN_USD and abs(net) / gross >= NET_GROSS
+                and BAND[0] <= lean_px <= BAND[1]):
+            fired.add((w, a))
+            out.append({"w": w, "a": a, "ts": ts,
+                        "side": 1 if net > 0 else -1,
+                        "lean_usd": abs(net) * px,
+                        "px": px, "lean_px": lean_px})
+    return out
+
+
 def main():
     db = tape.connect()
     t_lo, t_hi = db.execute(
@@ -79,43 +117,17 @@ def main():
         if not sharps:
             print(f"{d_str}: 0 screened wallets", flush=True)
             continue
-        rows = db.execute("""
+        found = day_leans(db, lo, hi, sharps)
-          SELECT lower(json_extract_string(payload,'$.proxyWallet')) w,
+        for t in found:
-                 json_extract_string(payload,'$.asset') a,
+            t["day"] = d_str
-                 json_extract_string(payload,'$.side') s,
+        triggers.extend(found)
-                 cast(json_extract(payload,'$.price') AS DOUBLE) p,
+        n_day = len(found)
-                 cast(json_extract(payload,'$.size') AS DOUBLE) z, ts
-          FROM aux WHERE type='orders_matched' AND ts >= ? AND ts < ?
-          ORDER BY ts""", [lo, hi]).fetchall()
-        book = {}                          # (w,a) -> [net, gross, vwap$]
-        fired = set()
-        n_day = 0
-        for w, a, s, p, z, ts in rows:
-            if w not in sharps or (w, a) in fired:
-                continue
-            st = book.setdefault((w, a), [0.0, 0.0])
-            st[0] += z if s == "BUY" else -z
-            st[1] += z
-            net, gross = st
-            if gross < 1e-9:
-                continue
-            px = db.execute("""SELECT price FROM trades WHERE asset=?
-                AND ts<=? ORDER BY ts DESC LIMIT 1""", [a, ts]).fetchone()
-            if px is None:
-                continue
-            px = float(px[0])
-            lean_px = px if net > 0 else 1 - px   # lean-side price
-            if (abs(net) * px >= LEAN_USD
-                    and abs(net) / gross >= NET_GROSS
-                    and BAND[0] <= lean_px <= BAND[1]):
-                fired.add((w, a))
-                n_day += 1
-                triggers.append({"w": w, "a": a, "ts": ts, "day": d_str,
-                                 "side": 1 if net > 0 else -1,
-                                 "lean_usd": abs(net) * px,
-                                 "px": px, "lean_px": lean_px})
         print(f"{d_str}: {len(sharps)} screened · {n_day} leans", flush=True)
     print(f"total leans: {len(triggers)}", flush=True)
+    import json as _json
+    _json.dump(triggers, open(os.path.join(
+        os.path.dirname(os.path.abspath(__file__)),
+        ".maker_lean_triggers.json"), "w"))
     pays = fwd.payouts_for(db, [t["a"] for t in triggers])
     graded = [(t, pays.get(t["a"])) for t in triggers]
     graded = [(t, p) for t, p in graded if p is not None and p != 0.5]

research/params/study_lean.json

@@ -0,0 +1,21 @@
+{
+ "frozen_at": "2026-07-23 21:55 UTC",
+ "study": "C — maker inventory-lean (follow absorbed flow)",
+ "screen": {"source": "orders_matched maker fills, as-of day start (strictly prior tape)",
+            "min_z": 2.5, "min_bets": 6, "pnl_positive": true},
+ "trigger": {"lean_usd_min": 150.0, "net_gross_min": 0.6,
+             "first_crossing_per_wallet_asset_day": true,
+             "lean_px_band": [0.05, 0.95]},
+ "arms": {
+  "follow_small": {"role": "VERDICT", "range_usd": [150, 500], "direction": "follow",
+   "pass": "pooled forward EV >= +$2/lean AND hit >= 0.56 at n >= 1500 across >= 5 forward days",
+   "kill": "pooled forward EV <= 0 at n >= 1000"},
+  "mid_report": {"role": "report-only", "range_usd": [500, 2000], "direction": "follow"},
+  "fade_whale": {"role": "report-only — FAILED pre-declared concentration gate 2026-07-23",
+   "range_usd": [2000, null], "direction": "fade",
+   "gate_result": "top-event share 32% (>30% line); top-5 events +$7,799 vs +$5,911 total (tail net-negative); 87/224 events positive"}
+ },
+ "scoring": "last-print entry (STATED OPTIMISM) -> chain truth via payouts_for; nightly rows study='lean' in forward_ledger.jsonl (forward.score_lean)",
+ "graduation": "PASS graduates to a real-execution paper arm (honest instrument), never directly to money",
+ "exploration": "research/maker_lean.py walk-forward 07-21..23: follow_small +$2.90-4.39/lean, 59% hit, positive all 3 days; concentration follow 14% top-event / 869 events"
+}