From 3adf157f9d2eaa940f152394d6cbb3bd04b9b42a Mon Sep 17 00:00:00 2001 From: jaxperro Date: Tue, 7 Jul 2026 22:13:43 -0400 Subject: [PATCH] docs: P&L survivorship correction + Set D follow set (FINDINGS + README) FINDINGS: new sections on the realizedPnl backbone (killed 4 P&L bugs) and the anti-survivorship abandoned-loser fold-in (PM /profit is itself biased; our All-Time is the honest number where it reads below PM), plus the Set D follow-set selection by simulation. README: follow set is now Set D (6 moderate-bet volume wallets); whale follow-all class retired. Co-Authored-By: Claude Fable 5 --- FINDINGS.md | 65 +++++++++++++++++++++++++++++++++++++++++++++++++++++ README.md | 33 ++++++++++++++------------- 2 files changed, 83 insertions(+), 15 deletions(-) diff --git a/FINDINGS.md b/FINDINGS.md index f4cb5528..c3bf06b0 100644 --- a/FINDINGS.md +++ b/FINDINGS.md @@ -288,6 +288,71 @@ weekly; never size as if the 100% win rates are permanent. trusted rows, judge held edges on windows longer than the wallet's lead time, and add `z_all` — skill must show in the whole book, not just the big bets.* +## Making P&L equal reality — the survivorship correction, finished (2026-07-08) + +The sharps table's All-Time P&L had been a `won × entry × size` reconstruction, +and decomposing it against each wallet's Polymarket profile (lb-api `/profit`, +the **PM P&L** column) exposed it diverging by **up to 10× — and flipping +signs.** Four distinct bugs, each earned by decomposing an outlier: + +1. **A 2,000-row pull cap** (`max_pages=40`) truncated high-volume wallets — + ewww1's 4,088 positions ($409k) showed as 740 ($40k). +2. **Both-sides positions double-dropped** — one-per-market dedup kept the + winning leg and silently dropped the paired losing leg (suraxy: +$35k of + phantom profit). +3. **`initialValue = 0`** on big longshot winners mis-sized the reconstruction. +4. **Corrupt near-epoch `res_t`** rows polluted the sums. + +**The fix that killed all four at once:** stop reconstructing, and sum +Polymarket's own `realizedPnl` per closed position over the wallet's *full* +history (`cache.closed_exits`, incremental). This is the wallet's realized +track record — what a copier mirroring their buy/sell/hold actually banks — and +it needs no size/entry/timestamp, so both-sides, `iv=0`, and bad `res_t` all +become moot, and it sums to PM by construction. + +**Then the deeper one — the founding survivorship bias, live inside PM itself.** +A residual gap remained: PM `/profit` is *itself* survivorship-biased. Bets that +lost, went to $0, and were never redeemed sit in `/positions` at `curPrice 0` — +real losses, but PM under-counts them **unevenly** (it subtracts Coteykens' +$52k of abandoned losers to land at $14k = our number, but does *not* subtract +oliman2's $161k, leaving PM at $112k against a true $20k). So `_open_split` now +folds those decided-but-unredeemed positions into the realized total, leaving +only genuinely in-flight positions in a new **Open P&L** column. The result: +**where our All-Time reads below PM, PM is the biased number and ours is the +truth.** oliman2 $181k → **$20k**, JuiceFarm $380k → **$32k** — wallets that +looked elite on redeemed-only P&L are mediocre once you count the bets they +walked away from. Full-list check: 27 of 31 sharps match PM within a few +percent, 4 are honestly-lower, and — the correctness signal — **zero +over-count.** + +*Lesson: a wallet's redeemed P&L flatters "sell your winners, abandon your +losers." The honest record counts the abandoned losers; the profile number +doesn't. Rank on realized-including-abandoned, and read the open book as a +separate risk.* + +## Choosing the month's follow set from corrected data (Set D, 2026-07-08) + +With P&L finally honest, the follow set was rebuilt by simulation. Ranking on +the signals that actually predict forward copy profit — 2-month **Copy P&L** +(validated outside the backtest window), 30-day conviction form, copyable lead +(no sub-hour snipers), a clean open book, and moderate bet size (a $1k book +can't follow a $3k-clip wallet) — then backtesting candidate portfolios: + +| set | equity (30d, $1k) | W–L | missed | +|-----|-------------------|-----|--------| +| old live set | $15,359 | 250–79 | 0 | +| 5 high-lead big-bettors | $3,661 | 44–18 | **144** (capital-capped) | +| **Set D (6 moderate-bet)** | **$27,799** | **279–75** | **0** | + +**Set D = LSB1, imwalkinghere, Kruto2027, 42021, 0xbadaf319, BikesAreTheBikes** +— the sweet spot where return, a 79% decided win rate, full capture (0 missed), +and diversification all peak. Two rules fell out: **moderate-bet wallets beat +big-bettors** on a small book (the whales get capital-capped, 144 missed), and +**imwalkinghere + LSB1 are irreplaceable** (dropping them halves the return). +The backtest is in-sample (a ceiling), but every Set D wallet also clears the +out-of-window Copy P&L signal — that's what separates it from curve-fitting. +The live July book remains the only out-of-sample truth. + ## Repo layout - `insider.py` — the detector: z-score/p-value, timing/freshness/sizing signals, diff --git a/README.md b/README.md index 73bf3e1c..5f15cc7c 100644 --- a/README.md +++ b/README.md @@ -30,16 +30,18 @@ Three deployed pieces + one static dashboard: **The July 2026 live test:** a fresh $1,000 paper book (started 2026-07-02 on Railway; moved to Fly.io Stockholm 2026-07-06 with the book intact) following -the wallet set in **`live/copybot.paper.json`** — the single -source of truth (currently 5 volume + 3 whale wallets; the dashboard hero lists -them live). Two stake classes: **volume** wallets (4% of equity/bet) are copied -on their **conviction bets only** (auto p80 floor derived at boot); **whale** -wallets (12%/bet) are copied on **every trade** — they're the big-clip informed -holders the trusted-row re-validation surfaced (see FINDINGS "The holder blind -spot"). Every stake is **capped at the signal's own bet size**. Every fill -records detection lag, price slippage, and the taker fee; missed bets are -recorded and settled hypothetically. If this month's *measured* numbers hold -up, real money follows (see [`LIVE_TEST.md`](LIVE_TEST.md)). +the wallet set in **`live/copybot.paper.json`** — the single source of truth. +The follow set is **Set D** (2026-07-08): six moderate-bet, copyable, copy-P&L- +positive wallets — **LSB1, imwalkinghere, Kruto2027, 42021, 0xbadaf319, +BikesAreTheBikes** — chosen by simulation over the corrected data (see FINDINGS +"Choosing the month's follow set"). All are **volume** class: copied on their +**conviction bets only** (top-20%-by-stake, floor pinned daily from the trusted +cache p80 via `sync_floors.py`), 4% of equity/bet, **capped at the signal's own +bet size**. The whale class (12%/bet, follow-all) is retired — those wallets +fell off the sharp list once refunds and abandoned losers were scored honestly. +Every fill records detection lag, price slippage, and the taker fee; missed +bets are recorded and settled hypothetically. If this month's *measured* +numbers hold up, real money follows (see [`LIVE_ROLLOUT.md`](LIVE_ROLLOUT.md)). ``` data layer selection execution display @@ -186,11 +188,12 @@ backtest and bot share: and `slippage_pct` are logged, and the backtest applies a +0.5%/~90s haircut. Poll-era measurements: ~39s avg lag, **−4.0% avg slip** (the asymmetric price guard means better-than-their-price fills are common). -- **Dynamic sizing, two wallet classes, their-bet ceiling**: each bet stakes a - fraction of current working equity set by the followed wallet's class — - **`volume`** (default, 4%, conviction bets only) or **`whale`** (12%, every - trade), fractions in `follow.class_pct` — **and is never larger than the - signal's own position size**: when the percentage works out to more than the +- **Dynamic sizing, their-bet ceiling**: each bet stakes a fraction of current + working equity — **4% for `volume`** wallets (conviction bets only), the + class the whole Set-D follow list now uses; `follow.class_pct` still carries + a `whale` fraction (12%, every trade) for the retired follow-all mode — **and + is never larger than the signal's own position size**: when the percentage + works out to more than the wallet actually bet, the copy mirrors their exact amount (you can't out-conviction the signal, and fills stay within size the market demonstrably absorbed). Stakes compound both ways and halve while equity is below 80% of