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jaxperro
5ec7455bdb
Forward days, 559 resolved fills: exit +60s = -$3.43/fill (burst-top entry is briefly underwater), +30m = +$13.63, +2h = +$35.51 vs hold-to-resolution +$43.56. Monotone accrual to resolution in every slice — the under-reaction converges over hours, not seconds. v1's >3h 'bleed bucket' is POSITIVE on the full signal (+$44.66/fill): another confirmation the v1 book's losses were cash-gate selection, not hold-time. All entry bands positive forward. No A2-scalp pre-registration warranted; markout re-reads stay on to verify with real bids. Co-Authored-By: Claude Fable 5 <noreply@anthropic.com>
113 lines
4.6 KiB
Python
113 lines
4.6 KiB
Python
#!/usr/bin/env python3
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"""EXPLORATORY (2026-07-22, user ask) — markout-exit curve for the surge
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signal: does the in-play under-reaction edge peak early and decay, i.e.
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should Study A2-scalp EXIT at a fixed horizon instead of holding to
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resolution? Motivated by the v1 book post-mortem: >3h holds bled −21.9%
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while <3h holds were +4.1%.
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NOT pre-registered — output shapes a possible A2-scalp pre-registration,
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nothing more. Prints-based v0: exits are marked at the LAST PRINT <= t+H
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(sim.markout), which is optimistic vs hitting the real bid — the live
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harnesses now record best bid/ask at +60/300/1800s per fill precisely to
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haircut this in v1 of the study. Exit fee charged same as entry.
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Method: per tape day — informed set as-of 00:00 UTC (frozen method),
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signals() with frozen params (flow>=$300/60s, band 10-90c, cooldown 900s),
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worst-print $100 entries at p50 lag / calibrated hold. For each RESOLVED
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fill: hold-to-resolution PnL (res_tok) vs exit PnL at each horizon.
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Coverage (no print in window => no exit) reported per horizon."""
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import json
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import os
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import time
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import tape
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import sim as simmod
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import study_flow as sf
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HERE = os.path.dirname(os.path.abspath(__file__))
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HORIZONS = (60, 300, 1800, 7200)
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FEE = simmod.FEE_RATE
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def day_bounds(d):
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lo = time.mktime(time.strptime(d, "%Y-%m-%d")) - time.timezone
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return lo, lo + 86400
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def main():
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db = tape.connect()
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cal = json.load(open(os.path.join(HERE, "params", "sim_calibration.json")))
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fz = json.load(open(os.path.join(HERE, "params", "study_flow.json")))["frozen"]
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t_min, t_max = db.execute("SELECT min(ts), max(ts) FROM trades").fetchone()
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days = []
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t = t_min
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while t < t_max:
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days.append(time.strftime("%Y-%m-%d", time.gmtime(t)))
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t += 86400
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tape.build_resolved(db)
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payout = {a: (p, lts) for a, p, lts in db.execute(
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"SELECT asset, payout::DOUBLE, last_ts FROM res_tok").fetchall()}
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sim = simmod.Sim(db, lag_s=simmod.LAG_P50, hold_s=cal["hold_s"],
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fill="worst")
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rows = []
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for d in days:
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lo, hi = day_bounds(d)
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hi = min(hi, t_max)
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S = sf.informed_set(db, lo, fz["top_n"])
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trig = sf.signals(db, S, lo, hi, fz["window_s"], fz["flow_usd"])
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forward = d >= "2026-07-21" # after the 07-20 freeze
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for t_ in trig:
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r = sim.try_buy(t_["asset"], t_["ts"], t_["p_ref"],
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stake_usd=sf.STAKE)
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if not r["filled"]:
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continue
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pay = payout.get(t_["asset"])
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if pay is None:
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continue # resolution leg required
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row = {"day": d, "fwd": forward, "px": r["price"],
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"shares": r["shares"], "efee": r["fee"],
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"hold_s": pay[1] - r["fill_ts"],
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"hold_pnl": r["shares"] * (pay[0] - r["price"]) - r["fee"],
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"win": pay[0] == 1.0, "mo": {}}
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for H in HORIZONS:
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m = sim.markout(t_["asset"], r["fill_ts"], H)
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if m is None:
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continue
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xfee = FEE * r["shares"] * min(m, 1 - m)
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row["mo"][H] = r["shares"] * (m - r["price"]) - r["fee"] - xfee
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rows.append(row)
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print(f"{d}: {len(trig)} triggers scored")
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def report(tag, rs):
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if not rs:
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return
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n = len(rs)
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hold = sum(r["hold_pnl"] for r in rs)
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print(f"\n== {tag} — {n} resolved fills · hold-to-resolution "
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f"EV/fill {hold/n:+.2f} · hit {sum(r['win'] for r in rs)/n:.2f}")
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for H in HORIZONS:
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sub = [r for r in rs if H in r["mo"]]
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if not sub:
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continue
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mo = sum(r["mo"][H] for r in sub)
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hold_sub = sum(r["hold_pnl"] for r in sub)
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print(f" exit +{H:>5}s: EV/fill {mo/len(sub):+7.2f} vs hold "
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f"{hold_sub/len(sub):+7.2f} on same {len(sub)} "
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f"({100*len(sub)/n:.0f}% coverage)")
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fwd = [r for r in rows if r["fwd"]]
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ins = [r for r in rows if not r["fwd"]]
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report("IN-SAMPLE days (<= 07-20)", ins)
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report("FORWARD days (>= 07-21)", fwd)
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report("FORWARD · hold > 3h (the v1 bleed bucket)",
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[r for r in fwd if r["hold_s"] > 10800])
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report("FORWARD · hold < 3h", [r for r in fwd if r["hold_s"] <= 10800])
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for lo_, hi_, tag in [(0, .3, "entry 0-30c"), (.3, .5, "entry 30-50c"),
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(.5, .7, "entry 50-70c"), (.7, .95, "entry 70-95c")]:
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report(f"FORWARD · {tag}",
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[r for r in fwd if lo_ <= r["px"] < hi_])
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if __name__ == "__main__":
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main()
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