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Snapshot nautilus_mm after EXP_002 Phase 1 stop.

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Keep frozen research conclusions and code; raw ledgers and secrets stay out of git.

Co-authored-by: Cursor <cursoragent@cursor.com>
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jackyu66git
2026-09-10 16:53:22 +08:00
co-authored by Cursor
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scripts/Economic_Metric_Reconciliation_v0_1.txt
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========================================================================
Economic Metric Reconciliation v0.1 (MATCHED=3890)
========================================================================
Matched paths: 3886 (expected ~3886)
Definitions (same math as analyze_maker_edge):
- markout_30s_return = _fav_ret(side, fill_price, after_30s_price)
- gross_markout_usdt = sum(notional_usdt * markout_30s_return)
Return-space metrics (sign may differ due to weighting):
MakerAlpha fill-weighted mean return: -0.000693%
MakerAlpha notional-weighted mean return: -0.000816%
MakerAlpha cluster-weighted mean return: -0.000830%
Dollar-space metrics:
gross_markout_usdt (30s): -1.730780 USDT
total_notional_usdt: 212110.750 USDT
If fill-weighted return is + but gross_markout_usdt is negative,
it means notional weighting flips sign (alpha is conditionally realized).
========================================================================