mirror of
https://github.com/jaxperro/winning-wallet-finder.git
synced 2026-07-27 15:57:47 +00:00
research: set-replay harness — sweep wallet-set compositions over the tape
Replays candidate sets through the engine's mirrored mechanics (stake rule + DD halving + their-shares ceiling + one-market-one-stake adds + all-or- nothing cash gate + proportional sell mirror, copytrade.py cited) with the calibrated sim fill model and tape proxy-resolution. Per-wallet conviction floors from the paper config's pinned p80s (candidates without pins get tape-p80, same rule). Outputs per-set×bankroll: realized/open, deployment stats, miss families (capital/crater/band), capital-miss hypothetical P&L, per-wallet realized, and --loo leave-one-out marginals at $1k. Validated against the real paper book on the same window: 33 replay opens vs 26 real (backfill bias documented — pre-tape positions' adds replay as opens), capital misses 0 vs 0, peak deploy 62% vs the era's 74%, mean deployed $297 vs ~$360. SEARCH TOOL ONLY per the silo README — verdicts stay with forward_ledger.jsonl. Co-Authored-By: Claude Fable 5 <noreply@anthropic.com>
This commit is contained in:
jaxperro
@@ -0,0 +1,128 @@
|
||||
{
|
||||
"current_plus_bench5": [
|
||||
{
|
||||
"wallet": "0xe8ca3f758c93f44f3ec210542ab78afb7c0bcccb",
|
||||
"name": "Kruto2027",
|
||||
"class": "volume"
|
||||
},
|
||||
{
|
||||
"wallet": "0xbadaf319415c17f28824a43ae0cd912b9d84d874",
|
||||
"name": "0xbadaf319",
|
||||
"class": "volume"
|
||||
},
|
||||
{
|
||||
"wallet": "0xd7d36345c4aab150e59577e360696b01d01d698b",
|
||||
"name": "gkmgkldfmg",
|
||||
"class": "volume"
|
||||
},
|
||||
{
|
||||
"wallet": "0xa1d57d329227c75b12b09f927fb3d6d6ef8f1343",
|
||||
"name": "1kto1m",
|
||||
"class": "volume"
|
||||
},
|
||||
{
|
||||
"wallet": "0x215adbb63b47d0ca92f849fe2c2dc1adb0f6254c",
|
||||
"name": "BikesAreTheBikes",
|
||||
"class": "volume"
|
||||
},
|
||||
{
|
||||
"wallet": "0x921433c93558b9a4ba807ec824d02aad7ea2ddbf",
|
||||
"name": "AIcAIc",
|
||||
"class": "volume"
|
||||
},
|
||||
{
|
||||
"wallet": "0x82d2e4dbb0a849ff8e2f5380719769145648beea",
|
||||
"name": "lma0o0o0o",
|
||||
"class": "volume"
|
||||
},
|
||||
{
|
||||
"wallet": "0xe542afd3881c4c330ba0ebbb603bb470b2ba0a37",
|
||||
"name": "leegunner",
|
||||
"class": "volume"
|
||||
},
|
||||
{
|
||||
"wallet": "0xc684828f6b03487759ced2ebdd975f91f3532228",
|
||||
"name": "oliman2",
|
||||
"class": "volume"
|
||||
},
|
||||
{
|
||||
"wallet": "0x40ce68f1564f3c751b12d88a393d8cc0651dbf90",
|
||||
"name": "JuiceFarm",
|
||||
"class": "volume"
|
||||
},
|
||||
{
|
||||
"wallet": "0x73afc8160c17830c0c7281a7bf570c871455b880",
|
||||
"name": "0xb0E43B",
|
||||
"class": "volume"
|
||||
}
|
||||
],
|
||||
"bench5_only": [
|
||||
{
|
||||
"wallet": "0x82d2e4dbb0a849ff8e2f5380719769145648beea",
|
||||
"name": "lma0o0o0o",
|
||||
"class": "volume"
|
||||
},
|
||||
{
|
||||
"wallet": "0xe542afd3881c4c330ba0ebbb603bb470b2ba0a37",
|
||||
"name": "leegunner",
|
||||
"class": "volume"
|
||||
},
|
||||
{
|
||||
"wallet": "0xc684828f6b03487759ced2ebdd975f91f3532228",
|
||||
"name": "oliman2",
|
||||
"class": "volume"
|
||||
},
|
||||
{
|
||||
"wallet": "0x40ce68f1564f3c751b12d88a393d8cc0651dbf90",
|
||||
"name": "JuiceFarm",
|
||||
"class": "volume"
|
||||
},
|
||||
{
|
||||
"wallet": "0x73afc8160c17830c0c7281a7bf570c871455b880",
|
||||
"name": "0xb0E43B",
|
||||
"class": "volume"
|
||||
}
|
||||
],
|
||||
"tape_top8": [
|
||||
{
|
||||
"wallet": "0x37c1ff27d21b08d1cae9f38453b895eae2a78de1",
|
||||
"name": "0x37c1ff27",
|
||||
"class": "volume"
|
||||
},
|
||||
{
|
||||
"wallet": "0x9ab303a355bf22a29e485d98fb88d140abb43044",
|
||||
"name": "0x9ab303a3",
|
||||
"class": "volume"
|
||||
},
|
||||
{
|
||||
"wallet": "0x717990979ff84a32d47205a7eede94317aab7d79",
|
||||
"name": "0x71799097",
|
||||
"class": "volume"
|
||||
},
|
||||
{
|
||||
"wallet": "0x3d3bbf5d4855ea12fbc610b4c2b49438ace728bd",
|
||||
"name": "0x3d3bbf5d",
|
||||
"class": "volume"
|
||||
},
|
||||
{
|
||||
"wallet": "0x80d8dddcfdc075eb70f6d2d774a27bfb255ab703",
|
||||
"name": "0x80d8dddc",
|
||||
"class": "volume"
|
||||
},
|
||||
{
|
||||
"wallet": "0x00093a689df7fb09a137f9db7102d9e967c85497",
|
||||
"name": "0x00093a68",
|
||||
"class": "volume"
|
||||
},
|
||||
{
|
||||
"wallet": "0x81a994924efdbed20c3d360bbea3913b0b6bdf08",
|
||||
"name": "0x81a99492",
|
||||
"class": "volume"
|
||||
},
|
||||
{
|
||||
"wallet": "0x7547479d43f4b52d892a6f2254050eea50edd158",
|
||||
"name": "0x7547479d",
|
||||
"class": "volume"
|
||||
}
|
||||
]
|
||||
}
|
||||
@@ -0,0 +1,323 @@
|
||||
#!/usr/bin/env python3
|
||||
"""Set-replay harness: sweep candidate wallet SETS over the recorder tape
|
||||
(2026-07-21, per the set-design discussion — "how many wallets can a
|
||||
bankroll carry, and which composition?").
|
||||
|
||||
SEARCH TOOL ONLY. Verdicts still come exclusively from
|
||||
research/forward_ledger.jsonl (README silo rules). What this buys over the
|
||||
per-wallet bench: SET-level interactions — shared-equity compounding (a hot
|
||||
wallet inflates everyone's 4% stakes), capital contention (all-or-nothing
|
||||
cash gate), and paired comparison on the SAME tape (two live paper books
|
||||
watch different weeks; replays of two sets watch identical ones).
|
||||
|
||||
Mechanics mirrored from the engine (copytrade.py, cited, NOT imported —
|
||||
silo rule; parameters are read from live/copybot.paper.json read-only so
|
||||
parity survives config edits):
|
||||
stake_usd L322: class_pct × (cash + open cost), halved under 80% HWM,
|
||||
capped at THEIR cumulative stake, floored at min_order_usd.
|
||||
gate_buy L384: all-or-nothing — cash < stake is a MISS, never partial.
|
||||
buy mirror L403/_handle_their_buy: opens AND adds; per-tx clip merge;
|
||||
conviction floor on their trade USD; entry band.
|
||||
sell mirror _handle_their_sell: proportional (their_size/their_prev of
|
||||
OUR shares).
|
||||
Execution = sim.Sim (calibrated FAK-print model: lag, +5c protected band =
|
||||
price_guard_abs, crater no-match). Resolution = tape.build_resolved (the
|
||||
742/742 chain-validated proxy); unresolved positions mark at last print.
|
||||
|
||||
Known v1 biases (identical across sets — rankings robust, absolutes soft):
|
||||
- no-backfill unknowable pre-tape: every first tape BUY counts as an OPEN
|
||||
(the real bot skips positions a wallet held before watching began);
|
||||
- exits fill at their sell print VWAP (no crater model on the way out);
|
||||
- sim optimism ≈ -2c/fill documented in FINDINGS (thresholds sit 2x out);
|
||||
- FAK re-quote retry (2026-07-20) not modelled — craters count as misses.
|
||||
"""
|
||||
import argparse
|
||||
import json
|
||||
import os
|
||||
import sys
|
||||
import time
|
||||
from collections import defaultdict
|
||||
|
||||
HERE = os.path.dirname(os.path.abspath(__file__))
|
||||
ROOT = os.path.dirname(HERE)
|
||||
sys.path.insert(0, HERE)
|
||||
import tape # noqa: E402
|
||||
import sim as simmod # noqa: E402
|
||||
|
||||
DD_THRESHOLD, DD_FACTOR = 0.80, 0.5 # copytrade.py L306
|
||||
OUT_DIR = os.path.join(HERE, "replay_out")
|
||||
|
||||
|
||||
def paper_params():
|
||||
"""Parity params read (read-only) from the paper bot's config."""
|
||||
c = json.load(open(os.path.join(ROOT, "live", "copybot.paper.json")))
|
||||
f = c["follow"]
|
||||
return {
|
||||
"class_pct": f.get("class_pct", {"volume": 0.04}),
|
||||
"min_their_usd": f.get("min_their_usd", 25.0),
|
||||
"min_entry": f.get("min_entry", 0.0),
|
||||
"max_entry": f.get("max_entry", 0.95),
|
||||
"buy_only": f.get("buy_only", True),
|
||||
"min_order_usd": c.get("risk", {}).get("min_order_usd", 5.0),
|
||||
"slip_cap": c.get("price_guard_abs", 0.05),
|
||||
"current_set": [{"wallet": w["wallet"].lower(),
|
||||
"name": w.get("name", w["wallet"][:10]),
|
||||
"class": w.get("class", "volume"),
|
||||
"floor": w.get("floor")}
|
||||
for w in c["wallets"]],
|
||||
}
|
||||
|
||||
|
||||
def tape_p80_floor(db, wallet):
|
||||
"""Conviction floor for a wallet with no pinned floor: p80 of its own
|
||||
tape BUY stakes — the same top-20% rule sync_floors pins from the
|
||||
trusted cache, derived from the only history the tape has."""
|
||||
r = db.execute("""
|
||||
SELECT quantile_cont(usd, 0.8) FROM (
|
||||
SELECT sum(price*size) usd FROM trades
|
||||
WHERE lower(wallet) = ? AND side = 'BUY'
|
||||
GROUP BY tx, asset)""", [wallet.lower()]).fetchone()
|
||||
return float(r[0]) if r and r[0] is not None else None
|
||||
|
||||
|
||||
def signals(db, wallets, t_lo=None, t_hi=None):
|
||||
"""Per-tx clip-merged trades of the watched wallets, time-ordered.
|
||||
-> [{ts, wallet, asset, cond, side, vwap, size, usd, title}]"""
|
||||
ws = sorted({w.lower() for w in wallets})
|
||||
q = """SELECT min(ts) ts, lower(wallet) wallet, asset, any_value(cond) cond,
|
||||
side, sum(price*size)/nullif(sum(size),0) vwap,
|
||||
sum(size) size, sum(price*size) usd, any_value(title) title
|
||||
FROM trades WHERE lower(wallet) IN ({}) {} {}
|
||||
GROUP BY tx, lower(wallet), asset, side
|
||||
ORDER BY ts""".format(
|
||||
",".join("?" * len(ws)),
|
||||
"AND ts >= ?" if t_lo else "", "AND ts <= ?" if t_hi else "")
|
||||
args = ws + ([t_lo] if t_lo else []) + ([t_hi] if t_hi else [])
|
||||
cols = ("ts", "wallet", "asset", "cond", "side", "vwap", "size", "usd", "title")
|
||||
return [dict(zip(cols, r)) for r in db.execute(q, args).fetchall()]
|
||||
|
||||
|
||||
class Book:
|
||||
"""The engine's book mechanics, replayed. One instance per (set, bankroll)."""
|
||||
|
||||
def __init__(self, bankroll, prm, sim):
|
||||
self.cash = bankroll
|
||||
self.bankroll = bankroll
|
||||
self.prm = prm
|
||||
self.sim = sim
|
||||
self.hwm = bankroll
|
||||
self.pos = {} # asset -> {shares, cost, wallet}
|
||||
self.their = defaultdict(float) # (wallet, asset) -> shares
|
||||
self.bets = [] # closed + open records
|
||||
self.miss = defaultdict(list) # family -> [records]
|
||||
self.dep_curve = [] # (ts, deployed, equity)
|
||||
|
||||
def open_cost(self):
|
||||
return sum(p["cost"] for p in self.pos.values())
|
||||
|
||||
def stake_usd(self, klass, their_total):
|
||||
eq = self.cash + self.open_cost()
|
||||
self.hwm = max(self.hwm, eq)
|
||||
frac = self.prm["class_pct"].get(klass, 0.04)
|
||||
if eq < DD_THRESHOLD * self.hwm:
|
||||
frac *= DD_FACTOR
|
||||
stake = frac * eq
|
||||
if their_total and stake > their_total:
|
||||
stake = their_total
|
||||
return max(stake, self.prm["min_order_usd"])
|
||||
|
||||
def on_buy(self, s, klass, floor=None):
|
||||
their_prev = self.their[(s["wallet"], s["asset"])]
|
||||
self.their[(s["wallet"], s["asset"])] = their_prev + s["size"]
|
||||
if s["usd"] < (floor if floor else self.prm["min_their_usd"]):
|
||||
return # below the wallet's conviction floor
|
||||
if not (self.prm["min_entry"] <= s["vwap"] <= self.prm["max_entry"]):
|
||||
self.miss["entry_band"].append(s)
|
||||
return
|
||||
mine = self.pos.get(s["asset"])
|
||||
# ceiling arg is SHARES (their_prev + their_size), mirroring the
|
||||
# engine call site verbatim (copytrade L512/L524)
|
||||
stake_rule = self.stake_usd(klass, their_prev + s["size"])
|
||||
if mine:
|
||||
# ADD: one-market-one-stake — grow proportionally but never past
|
||||
# the stake rule for the whole position (copytrade L507-521)
|
||||
frac = s["size"] / their_prev if their_prev > 0 else 0
|
||||
room = stake_rule - mine["cost"]
|
||||
if room < self.prm["min_order_usd"]:
|
||||
return # silent skip, like the bot
|
||||
want = min(mine["shares"] * frac * s["vwap"], room)
|
||||
if want < self.prm["min_order_usd"]:
|
||||
return
|
||||
else:
|
||||
want = stake_rule
|
||||
if self.cash < want:
|
||||
self.miss["capital"].append({**s, "stake": want})
|
||||
return
|
||||
r = self.sim.try_buy(s["asset"], s["ts"], s["vwap"], stake_usd=want)
|
||||
if not r["filled"]:
|
||||
self.miss["crater"].append({**s, "stake": want})
|
||||
return
|
||||
self.cash -= r["cost"] + r["fee"]
|
||||
p = self.pos.setdefault(s["asset"], {"shares": 0.0, "cost": 0.0,
|
||||
"wallet": s["wallet"],
|
||||
"cond": s["cond"],
|
||||
"title": s["title"] or ""})
|
||||
p["shares"] += r["shares"]
|
||||
p["cost"] += r["cost"] + r["fee"]
|
||||
self.bets.append({"asset": s["asset"], "wallet": s["wallet"],
|
||||
"ts": s["ts"], "price": r["price"],
|
||||
"shares": r["shares"], "cost": r["cost"] + r["fee"],
|
||||
"pnl": None})
|
||||
self.dep_curve.append((s["ts"], self.open_cost(),
|
||||
self.cash + self.open_cost()))
|
||||
|
||||
def on_sell(self, s):
|
||||
their_prev = self.their[(s["wallet"], s["asset"])]
|
||||
self.their[(s["wallet"], s["asset"])] = max(0.0, their_prev - s["size"])
|
||||
p = self.pos.get(s["asset"])
|
||||
if not p:
|
||||
return
|
||||
frac = 1.0 if their_prev <= 0 else min(1.0, s["size"] / their_prev)
|
||||
sh = p["shares"] * frac
|
||||
proceeds = sh * s["vwap"]
|
||||
f = simmod.fee(sh, s["vwap"])
|
||||
avg_cost = p["cost"] / p["shares"]
|
||||
self.cash += proceeds - f
|
||||
self._book_pnl(s["asset"], sh, proceeds - f - avg_cost * sh,
|
||||
p["wallet"])
|
||||
p["shares"] -= sh
|
||||
p["cost"] -= avg_cost * sh
|
||||
if p["shares"] < 1e-9:
|
||||
del self.pos[s["asset"]]
|
||||
|
||||
def _book_pnl(self, asset, shares, pnl, wallet):
|
||||
for b in self.bets:
|
||||
if b["asset"] == asset and b["pnl"] is None:
|
||||
b["pnl"] = pnl # first open lot takes it
|
||||
return
|
||||
self.bets.append({"asset": asset, "wallet": wallet, "ts": 0,
|
||||
"price": 0, "shares": shares, "cost": 0, "pnl": pnl})
|
||||
|
||||
def settle(self, payouts, marks):
|
||||
"""Tape-end: proxy-resolved positions pay 1/0; the rest mark."""
|
||||
realized = sum(b["pnl"] for b in self.bets if b["pnl"] is not None)
|
||||
unresolved_mark = 0.0
|
||||
for a, p in list(self.pos.items()):
|
||||
pay = payouts.get(a)
|
||||
if pay is not None:
|
||||
self.cash += p["shares"] * pay # redeem free
|
||||
self._book_pnl(a, p["shares"], p["shares"] * pay - p["cost"],
|
||||
p["wallet"])
|
||||
realized += p["shares"] * pay - p["cost"]
|
||||
del self.pos[a]
|
||||
else:
|
||||
unresolved_mark += p["shares"] * marks.get(a, 0.0) - p["cost"]
|
||||
return realized, unresolved_mark
|
||||
|
||||
|
||||
def replay(db, wallets_cfg, bankroll, prm, sim, t_lo=None, t_hi=None):
|
||||
klass = {w["wallet"]: w.get("class", "volume") for w in wallets_cfg}
|
||||
floors = {w["wallet"]: (w.get("floor") or tape_p80_floor(db, w["wallet"]))
|
||||
for w in wallets_cfg}
|
||||
book = Book(bankroll, prm, sim)
|
||||
for s in signals(db, list(klass), t_lo, t_hi):
|
||||
if s["side"] == "BUY":
|
||||
book.on_buy(s, klass[s["wallet"]], floors.get(s["wallet"]))
|
||||
else:
|
||||
book.on_sell(s) # buy_only: their SELLs only ever CLOSE ours
|
||||
# resolution + marks
|
||||
tape.build_resolved(db)
|
||||
payouts = {a: float(p) for a, p in db.execute(
|
||||
"SELECT asset, payout FROM res_tok WHERE payout IS NOT NULL").fetchall()}
|
||||
marks = {}
|
||||
if book.pos:
|
||||
marks = {a: float(m) for a, m in db.execute(
|
||||
"SELECT asset, arg_max(price, ts) FROM trades WHERE asset IN ({}) "
|
||||
"GROUP BY asset".format(",".join("?" * len(book.pos))),
|
||||
list(book.pos)).fetchall()}
|
||||
realized, mark = book.settle(payouts, marks)
|
||||
dep = [d for _, d, _ in book.dep_curve]
|
||||
eqs = [e for _, _, e in book.dep_curve]
|
||||
per_wallet = defaultdict(float)
|
||||
for b in book.bets:
|
||||
if b["pnl"] is not None:
|
||||
per_wallet[b["wallet"]] += b["pnl"]
|
||||
return {
|
||||
"bankroll": bankroll, "copies": len(book.bets),
|
||||
"realized": round(realized, 2), "open_mark": round(mark, 2),
|
||||
"end_equity": round(book.cash + book.open_cost() + mark, 2),
|
||||
"misses": {k: len(v) for k, v in book.miss.items()},
|
||||
"capital_miss_hypo": round(_hypo(book.miss.get("capital", []),
|
||||
payouts), 2),
|
||||
"peak_deploy_pct": round(100 * max((d / e for d, e in zip(dep, eqs)),
|
||||
default=0.0), 1),
|
||||
"mean_deploy": round(sum(dep) / len(dep), 2) if dep else 0.0,
|
||||
"per_wallet": {w: round(p, 2) for w, p in sorted(per_wallet.items())},
|
||||
}
|
||||
|
||||
|
||||
def _hypo(capital_misses, payouts):
|
||||
"""What the capital misses would have paid at resolution (stake-sized)."""
|
||||
tot = 0.0
|
||||
for m in capital_misses:
|
||||
pay = payouts.get(m["asset"])
|
||||
if pay is not None and m["vwap"] > 0:
|
||||
tot += m["stake"] / m["vwap"] * pay - m["stake"]
|
||||
return tot
|
||||
|
||||
|
||||
def main():
|
||||
ap = argparse.ArgumentParser(description="replay wallet sets over the tape")
|
||||
ap.add_argument("--sets", default=os.path.join(HERE, "params",
|
||||
"replay_sets.json"))
|
||||
ap.add_argument("--bankrolls", default="500,1000,2000,5000")
|
||||
ap.add_argument("--loo", action="store_true",
|
||||
help="leave-one-out marginals at each bankroll")
|
||||
ap.add_argument("--lag", type=float, default=simmod.LAG_P50)
|
||||
args = ap.parse_args()
|
||||
|
||||
prm = paper_params()
|
||||
sets = {"current": prm["current_set"]}
|
||||
if os.path.exists(args.sets):
|
||||
for name, ws in json.load(open(args.sets)).items():
|
||||
sets[name] = [{"wallet": w["wallet"].lower(),
|
||||
"name": w.get("name", w["wallet"][:10]),
|
||||
"class": w.get("class", "volume")} for w in ws]
|
||||
|
||||
db = tape.connect()
|
||||
lo, hi = db.execute("SELECT min(ts), max(ts) FROM trades").fetchone()
|
||||
print(f"tape window: {time.strftime('%m-%d %H:%M', time.gmtime(lo))} -> "
|
||||
f"{time.strftime('%m-%d %H:%M', time.gmtime(hi))} UTC "
|
||||
f"({(hi - lo) / 86400:.2f} days)")
|
||||
sim = simmod.Sim(db, lag_s=args.lag, slip_cap=prm["slip_cap"],
|
||||
exclude_wallet=simmod.BOT_WALLET)
|
||||
|
||||
out = {"ran_at": int(time.time()), "tape": [lo, hi], "lag_s": args.lag,
|
||||
"results": {}}
|
||||
for name, ws in sets.items():
|
||||
for bank in [float(b) for b in args.bankrolls.split(",")]:
|
||||
r = replay(db, ws, bank, prm, sim)
|
||||
out["results"][f"{name}@{bank:.0f}"] = r
|
||||
m = r["misses"]
|
||||
print(f"{name:24s} ${bank:>6.0f} copies {r['copies']:3d} "
|
||||
f"realized {r['realized']:+9.2f} open {r['open_mark']:+8.2f} "
|
||||
f" deploy μ${r['mean_deploy']:.0f}/pk{r['peak_deploy_pct']}%"
|
||||
f" miss cap:{m.get('capital', 0)} crater:{m.get('crater', 0)}"
|
||||
f" band:{m.get('entry_band', 0)}"
|
||||
f" capmiss_hypo {r['capital_miss_hypo']:+.2f}")
|
||||
if args.loo and len(ws) > 1 and bank == 1000.0:
|
||||
base = r["realized"]
|
||||
for drop in ws:
|
||||
sub = [w for w in ws if w is not drop]
|
||||
rr = replay(db, sub, bank, prm, sim)
|
||||
print(f" -{drop['name']:20s} marginal "
|
||||
f"{base - rr['realized']:+9.2f} "
|
||||
f"(set realized {rr['realized']:+9.2f})")
|
||||
os.makedirs(OUT_DIR, exist_ok=True)
|
||||
path = os.path.join(OUT_DIR, f"replay_{int(time.time())}.json")
|
||||
json.dump(out, open(path, "w"), indent=1)
|
||||
print(f"\nwrote {path}")
|
||||
|
||||
|
||||
if __name__ == "__main__":
|
||||
main()
|
||||
Reference in New Issue
Block a user