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jaxperro
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README/FINDINGS/live/README updated for today's discovery: the sharps win% is a position snapshot that over-counts scalpers; copy_pnl (flat-$50 replay, authoritative clob resolution) is the real copyability signal. Most "sharps" lose copied; only Kruto2027 + fortuneking are copy-positive (now the tracked pair). Refreshed stale counts (50 -> ~31 after the 30d-active filter) and noted position-level conviction. Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
122 lines
6.5 KiB
Markdown
122 lines
6.5 KiB
Markdown
# live/ — find & track the genuinely-skilled ~3%
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Finds the small fraction of Polymarket wallets with a *real, repeatable* edge —
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the ~3% the [LBS/Yale study](https://papers.ssrn.com/sol3/papers.cfm?abstract_id=5910522)
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identifies — from the **live data-api**, caches everything locally, and tracks
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them forward. This is the going-forward system; the frozen-subgraph bulk approach
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lives in `../wide/`.
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## Why this and not win rate
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Win rate is survivorship-biased and decoupled from edge (see `../FINDINGS.md`).
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A wallet is "skilled" only if it **beats the prices it paid** and that edge
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**persists out-of-sample**. We reproduced the research's own finding on live
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June data: favorite-rider wallets that looked +23.6% in-sample lost **−7.4%**
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once selected without look-ahead (see "The clean test" below).
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## The 5-gate funnel (`skill.py`)
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A wallet counts as skilled only if it clears all five:
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1. **n ≥ 15** resolved bets (assessability; the paper's skilled avg ~79).
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2. **z = (wins − Σp)/√Σp(1−p)** clearly > 0 — wins above what entry odds implied.
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This is the closed form of the paper's "randomize direction 10k×" benchmark.
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3. **Benjamini–Hochberg FDR @ 5%** — at scale, thousands clear z>3 by chance.
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4. **Split-half out-of-sample** — skill in the earlier half persists in the
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recent half (`z_oos > 0`). The gate that separates the real 3% from the lucky.
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5. **MM/bot cap** (`n ≤ 2500`) — a thousands-of-bets grinder isn't info-edge.
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Win rate is never a gate — only displayed. Wallets are tagged `value` (beats
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underdog/longshot prices — the copyable alpha), `balanced`, or `favorite`
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(high win% riding near-certain favorites — real but thin/uncopyable).
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## Pipeline
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| step | script | what |
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|------|--------|------|
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| enumerate | `enumerate.py [days]` | recent liquid markets (Gamma `end_date_min`) → top traders → candidate pool (`candidates.json`), accumulates across runs |
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| cache | `cache.py` / `collect.py` | pull each wallet's resolved bets **once** into `cache.duckdb` (24s → 0.003s on re-read). Stores `res_t` per bet, so any date cutoff reads the same cache |
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| score | `skill.py [N]` | the 5-gate funnel over cached candidates → `watch_skilled.json` (webhook-compatible) |
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| dashboard | `dashboard.py` | self-contained `dashboard.html` — sortable, archetype-tagged, live recent-trade lookup |
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| backtest | `backtest_june.py [arch]` | copy an archetype's June-1+ entries, $1000, no lag → P&L |
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| clean test | `clean_test.sh` | **the honest test**: re-select on pre-June-1 data only, then backtest June-1+ forward |
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## The cache is the point
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`cache.duckdb` holds ~26k wallets / 12.5M+ bets, pulled once. Every score —
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any archetype, any cutoff, the clean OOS test — now runs in **seconds** instead
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of hours of API pulls. `MAX_AGE_DAYS=14`: the broad pool refreshes biweekly; the
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watchlist is force-refreshed daily (`cache.invalidate`) for forward tracking.
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## The clean test (why the favorites are a mirage)
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`clean_test.sh` selects favorites using **only bets resolved before June 1**,
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then copies their June-1+ entries:
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- **In-sample (contaminated):** 21 favorites, 99% win rate, **+23.6%**.
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- **Clean (pre-June-1 selection):** 15 favorites, 68% win rate, **−7.4%**
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(−19% on the settled portion).
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The +23.6% was selection bias. This matches the paper: ~60% of "lucky winners"
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turn into losers out-of-sample. **Don't copy favorite-riders.** The `value`
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archetype (beats underdog prices) is where real alpha may live — test it with
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`backtest_june.py value`.
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## Strategy backtests
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- `strategy.py` — train (pre-May-30) / test (June1+) wallet selection on copy-ROI
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+ z + monthly consistency + diversification. → `selection.json`.
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- `followability.py` — pull entry timestamps (cached), drop wallets whose edge is
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in un-followable fast/live markets, re-rank on followable forward bets. →
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`watch_final.json` (the execution-realistic list).
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- `pnl_basket.py` / `pnl_focused.py` — $1,000 capital-constrained copy sims with
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**missed-trade accounting**. Key result: the broad basket loses on $1k (can't
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follow 1,200 trades), but **1–2 wallets + a conviction (bet-size) filter clears**
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out-of-sample. See `../FINDINGS.md`.
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## The repeatable find (`conviction_scan.py` + `validate_timing.py`)
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The best result. Score wallets on their **high-conviction bets only — the top 20%
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by stake size (per-wallet p80, not a flat $200)**: the edge is wallets that win
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70–80% on genuinely-uncertain (~0.4–0.6) markets — real skill, not favorite-riding.
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The per-wallet cutoff reproduces flat-$200's win-rate lift while adapting to each
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wallet's scale (a whale's $200 bet isn't conviction; a minnow's is).
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- `conviction_scan.py` — train pre-June / validate June on conviction bets →
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218 matches, **62/83 profitable forward (p≈0)**. → `conviction_wallets.json`.
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- `validate_timing.py` — the copyability gate: entry→resolution **lead time** on
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winning conviction bets separates copyable sharps (multi-day lead) from
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"last-minute" wallets (median lead <24h) we can't mirror in time — could be
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genuine insiders or just fast-resolving-market specialists, can't tell which.
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Also drops wallets inactive >30d. → **~31 validated copyable sharps** in
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`watch_sharps.json` (shown live on jaxperro.com/trading). It additionally
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precomputes every stat the dashboard renders — incl. **`copy_pnl`**, the
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authoritative flat-$50 copy P&L (replay entries, mirror exits, settle held bets
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at clob resolution by token_id). **Copy P&L is the real copyability signal** —
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position win% over-counts scalpers (see FINDINGS "the scalper trap"); the table
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defaults to sorting by it.
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Identifiers for a follow-worthy wallet: on its **≥$200 bets** — win ≥65%, avg
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entry 0.35–0.70 (edge, not favorites), +copy-ROI, FDR-significant, **median lead
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≥24h** (copyable), and it **holds out-of-sample**.
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## Daily (`daily.sh`)
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1. discover (enumerate last 14d) → 2. freshen cache (force-refresh watchlist +
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top up new wallets) → 3. re-score (instant from cache) → 4. regenerate dashboard
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+ snapshot to `history/`. Schedule via launchd/cron (Mac must be awake).
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## Usage
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```bash
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pip install duckdb
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python3 enumerate.py 180 # build candidate pool (last 6 months)
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python3 collect.py # cache all candidates (one-time, slow; resumable)
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python3 skill.py # -> watch_skilled.json (seconds, from cache)
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python3 dashboard.py # -> dashboard.html
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./clean_test.sh # the out-of-sample verdict
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```
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Local data (`*.duckdb`, `candidates.json`, `*_scored.json`, `history/`) is
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gitignored — regenerate via the steps above.
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