autoresearch v2: honest grid

autoresearch.py

@@ -0,0 +1,145 @@
+"""autoresearch.py - self-improvement loop for the quad autopilot.
+Runs on GitHub Actions (hourly) / local cron. Cloud + local.
+
+Tradeable grid = Polymarket 15-min Up/Down products only (verified live via
+gamma-api: only 5-min and 15-min exist; no 1h). Signal = RSI(14) < threshold
+on the 15-min close, buy YES-"up", win if close[t+1] > close[t] (+15m),
+buy at 0.50 + 0.03 spread => breakeven hit 0.53.
+
+21-day full-data study (2026-08-09, 6048x5m bars/coin) FALSIFIED the old
+baseline (hit 0.788 / roi +0.258 - not reproducible on fresh data). Honest
+result: only ETH clears the spread-adjusted breakeven (thr=30: hit 0.609,
+n=64, edge +0.079, WF OOS 0.680). BTC/SOL/XRP are coin-flips. This script
+tracks that grid and flags the signal that still works.
+"""
+import argparse
+import csv
+import json
+import os
+import urllib.request
+from datetime import datetime, timezone
+
+COINS = ["BTC", "ETH", "SOL", "XRP"]
+BINANCE_HOSTS = os.environ.get("BINANCE_HOSTS", "data-api.binance.vision,api.binance.com").split(",")
+BINANCE_TMPL = "https://{}/api/v3/klines?symbol={}USDT&interval=5m&limit=1200"
+REPORT = os.environ.get("REPORT_PATH", "/home/neo/quad_research.csv")
+OOS_BARS = int(os.environ.get("OOS_BARS", "200"))
+THRESHOLDS = [int(x) for x in os.environ.get("THRESHOLDS", "20,25,30,35").split(",")]
+BREAKEVEN = float(os.environ.get("BREAKEVEN", "0.53"))
+EDGE_FLOOR = float(os.environ.get("EDGE_FLOOR", "0.03"))
+MIN_N = int(os.environ.get("MIN_N", "10"))
+
+FIELDS = ["ts", "coin", "bars", "oos_bars", "thr", "n", "hit", "edge",
+          "breakeven", "status"]
+
+
+def fetch_closes(symbol):
+    for host in BINANCE_HOSTS:
+        host = host.strip()
+        url = BINANCE_TMPL.format(host, symbol)
+        try:
+            with urllib.request.urlopen(url, timeout=15) as r:
+                arr = json.load(r)
+            return [float(x[4]) for x in arr]
+        except Exception as e:
+            print(f"[{symbol}] {host} failed ({e}); trying next host")
+            continue
+    raise RuntimeError("all binance hosts failed")
+
+
+def agg15(closes5):
+    """Aggregate 5m closes to 15m closes (bucket = floor to 15m; last close wins)."""
+    buckets = {}
+    n = len(closes5)
+    for i in range(n):
+        buckets[i // 3] = closes5[i]
+    return [buckets[k] for k in sorted(buckets)]
+
+
+def rsi(closes, period=14):
+    d = [closes[i] - closes[i - 1] for i in range(1, len(closes))]
+    gains = [x if x > 0 else 0.0 for x in d]
+    losses = [-x if x < 0 else 0.0 for x in d]
+    ag = sum(gains[:period]) / period
+    al = sum(losses[:period]) / period
+    out = []
+    for i in range(len(d)):
+        if i >= period:
+            ag = (ag * (period - 1) + gains[i]) / period
+            al = (al * (period - 1) + losses[i]) / period
+        out.append(100 if al == 0 else 100 - 100 / (1 + ag / al))
+    return out
+
+
+def validate(close15, thr, horizon=1, oos_bars=200):
+    """OOS-only: last oos_bars 15m closes. Signal on candle t if RSI(t)<thr,
+    win = close[t+1] > close[t] (+15m). edge = hit - breakeven."""
+    n = len(close15)
+    start = max(horizon + 1, n - oos_bars)
+    rs = rsi(close15)
+    rows = []
+    for t in range(start, n - horizon):
+        if rs[t - 1] < thr:
+            rows.append(close15[t + horizon] > close15[t])
+    if not rows:
+        return 0, None
+    hit = sum(rows) / len(rows)
+    return len(rows), hit
+
+
+def now_iso():
+    return datetime.now(timezone.utc).strftime("%Y-%m-%dT%H:%M:%SZ")
+
+
+def append_report(row):
+    exists = os.path.exists(REPORT)
+    d = os.path.dirname(REPORT)
+    if d:
+        os.makedirs(d, exist_ok=True)
+    with open(REPORT, "a", newline="") as f:
+        w = csv.DictWriter(f, fieldnames=FIELDS)
+        if not exists:
+            w.writeheader()
+        w.writerow({k: row.get(k, "") for k in FIELDS})
+
+
+def main():
+    ap = argparse.ArgumentParser()
+    ap.add_argument("--coin", choices=COINS + ["ALL"], default="ALL")
+    ap.add_argument("--thr", type=int, default=None)
+    args = ap.parse_args()
+    coins = COINS if args.coin == "ALL" else [args.coin]
+    thrs = [args.thr] if args.thr else THRESHOLDS
+
+    for coin in coins:
+        try:
+            closes5 = fetch_closes(coin)
+        except Exception as e:
+            print(f"[{coin}] fetch fail: {e}")
+            continue
+        c15 = agg15(closes5)
+        rs = rsi(c15)
+        current = round(rs[-1], 2) if rs[-1] is not None else None
+        for thr in thrs:
+            n, hit = validate(c15, thr, horizon=1, oos_bars=OOS_BARS)
+            edge = round(hit - BREAKEVEN, 3) if hit is not None else None
+            if n == 0 or hit is None:
+                status = "NO_SIGNALS"
+            elif edge is not None and edge >= EDGE_FLOOR and n >= MIN_N:
+                status = "EDGE_OK"
+            elif n < MIN_N:
+                status = "LOW_N" if edge is not None else "NO_SIGNALS"
+            else:
+                status = "NO_EDGE"
+            row = {"ts": now_iso(), "coin": coin, "bars": len(c15),
+                   "oos_bars": OOS_BARS, "thr": thr, "n": n,
+                   "hit": round(hit, 3) if hit is not None else "",
+                   "edge": edge, "breakeven": BREAKEVEN, "status": status}
+            append_report(row)
+            print(f"[{coin}] thr={thr} n={n} hit={hit} edge={edge} "
+                  f"(rsi_now={current}) -> {status}")
+    print("done", now_iso())
+
+
+if __name__ == "__main__":
+    main()