research: sell_mirror_study — reproducible basis for the hold-through pre-registration

Co-Authored-By: Claude Fable 5 <noreply@anthropic.com>
2026-08-06 20:57:47 +00:00 · 2026-07-23 13:15:26 -04:00
parent 50f1f0ae12
commit efb33e0e8b
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+#!/usr/bin/env python3
+"""Sell-mirror counterfactual (2026-07-23, basis for the hold-through
+pre-registration): for every mirrored SELL in both books, chain-true
+compare the exit against holding to resolution. Their entries are the
+copied signal; are their exits information or just their bankroll ops?
+
+Per sell: delta = (chain_payout − sell_price) × shares. delta>0 = the exit
+gave up value (token resolved above our sell); delta<0 = the exit saved us.
+Reported pooled and per-wallet (sells attributed to the token's buy-side
+wallet). Refunds excluded. Rerunnable any time; grading coverage grows
+with the tape/payout cache."""
+import json
+import os
+import sys
+
+sys.path.insert(0, os.path.dirname(os.path.abspath(__file__)))
+import tape                                    # noqa: E402
+import forward as fwd                          # noqa: E402
+
+ROOT = os.path.dirname(os.path.dirname(os.path.abspath(__file__)))
+
+
+def main():
+    tok2name = {}
+    sells = []
+    for path, book in ((os.path.join(ROOT, "copybot_fills.live.jsonl"), "live"),
+                       (os.path.join(ROOT, "copybot_fills.jsonl"), "paper")):
+        for ln in open(path):
+            r = json.loads(ln)
+            if r.get("untracked"):
+                continue
+            if r.get("side") == "SELL":
+                r["_book"] = book
+                sells.append(r)
+            elif r.get("name"):
+                tok2name[str(r["token"])] = r["name"]
+    db = tape.connect()
+    tape.build_resolved(db)
+    pays = fwd.payouts_for(db, [str(s["token"]) for s in sells])
+    for book in ("live", "paper"):
+        ss = [s for s in sells if s["_book"] == book]
+        n = unk = refund = right = wrong = 0
+        saved = given = 0.0
+        for s in ss:
+            p = pays.get(str(s["token"]))
+            if p is None:
+                unk += 1
+                continue
+            if p == 0.5:
+                refund += 1
+                continue
+            n += 1
+            delta = (p - s["price"]) * s.get("shares", 0)
+            if delta > 0:
+                given += delta
+                wrong += 1
+            else:
+                saved -= delta
+                right += 1
+        if n:
+            print(f"[{book}] {len(ss)} sells · {n} graded ({unk} unresolved, "
+                  f"{refund} refunds)")
+            print(f"  exit RIGHT: {right} (saved ${saved:.2f}) · exit WRONG: "
+                  f"{wrong} (gave up ${given:.2f}) · net of mirroring "
+                  f"${saved-given:+.2f}")
+    agg = {}
+    for s in sells:
+        p = pays.get(str(s["token"]))
+        if p is None or p == 0.5:
+            continue
+        nm = tok2name.get(str(s["token"]), "?")
+        a = agg.setdefault(nm, dict(n=0, net=0.0, wrong=0))
+        a["n"] += 1
+        delta = (p - s["price"]) * s.get("shares", 0)
+        a["net"] -= delta
+        a["wrong"] += delta > 0
+    print("\nper-wallet (both books):")
+    for nm, a in sorted(agg.items(), key=lambda x: -x[1]["n"]):
+        print(f"  {nm:<18} n={a['n']:>3} · exit-wrong {a['wrong']:>3} "
+              f"({100*a['wrong']/a['n']:.0f}%) · net of mirroring "
+              f"${a['net']:+8.2f}")
+
+
+if __name__ == "__main__":
+    main()