jackyu66gitandCursor
e2fbe1c2b3
Keep frozen research conclusions and code; raw ledgers and secrets stay out of git. Co-authored-by: Cursor <cursoragent@cursor.com>
96 lines
5.0 KiB
Plaintext
96 lines
5.0 KiB
Plaintext
========================================================================
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Economic Attribution v0.1
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========================================================================
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Experiment: MM_EDGE_EXP_001
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Population: MATCHED=3890
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Strategy: v0.1 FROZEN
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Execution: STOPPED
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Stage3: LOCKED
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Purpose: Economic Attribution only.
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No strategy modification. No live execution. No economic simulation.
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Layer 1 — Hard Economic Evidence
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----------------------------------------
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Matched fills: 3890
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Matched paths: 3886
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Matched clusters: 3334
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Fee total: 42.422146 USDT
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Fee / fill: 0.010917 USDT
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Fee / BTC: 12.748571 USDT
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Fee / cluster: 0.012724 USDT
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Realized component: -8.521730 USDT
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Gross markout @30s: -1.730780 USDT
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Net attributable @30s: -52.674655 USDT
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Markout by horizon (MATCHED only)
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----------------------------------------
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1s n=3886 fill-w=0.0020% cluster-w=0.0020% gross=4.140840 USDT
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5s n=3886 fill-w=0.0016% cluster-w=0.0016% gross=3.405805 USDT
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10s n=3886 fill-w=0.0011% cluster-w=0.0011% gross=2.359355 USDT
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30s n=3886 fill-w=-0.0008% cluster-w=-0.0008% gross=-1.730780 USDT
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300s n=3886 fill-w=-0.0036% cluster-w=-0.0035% gross=-7.597145 USDT
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Inventory carry / exposure
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----------------------------------------
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Max net BTC: 0.005900
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Min net BTC: -0.005800
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Max |net BTC|: 0.005900
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Average |net BTC|: 0.002928
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TW |net BTC|: 0.003514
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TW signed net BTC: 0.000985
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Long qty / Short qty: 1.664600 / 1.667000 BTC
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Inventory turnover: 3.331600 BTC
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Slices (weighted by notional, MATCHED only)
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----------------------------------------
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PathType
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A_immediate_edge: n=1481 clusters=1279 fee=16.0263 gross30=12.2348 realized=-1.7374 net30=-5.5289 m30=0.0153%
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C_toxic: n=1290 clusters=1114 fee=14.0688 gross30=-14.9293 realized=-2.4585 net30=-31.4566 m30=-0.0212%
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B_drawdown_then_recover: n=872 clusters=767 fee=9.6564 gross30=-0.3879 realized=-2.8336 net30=-12.8780 m30=-0.0008%
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D_mixed: n=243 clusters=215 fee=2.6706 gross30=1.3517 realized=-1.4922 net30=-2.8112 m30=0.0101%
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Toxicity
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non_toxic: n=2596 clusters=2236 fee=28.3534 gross30=13.1986 realized=-6.0632 net30=-21.2181 m30=0.0093%
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toxic: n=1290 clusters=1114 fee=14.0688 gross30=-14.9293 realized=-2.4585 net30=-31.4566 m30=-0.0212%
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Volatility
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high_vol: n=1944 clusters=1704 fee=21.7055 gross30=-2.0081 realized=-2.5833 net30=-26.2968 m30=-0.0019%
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low_vol: n=1942 clusters=1630 fee=20.7167 gross30=0.2773 realized=-5.9385 net30=-26.3778 m30=0.0003%
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Trend
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range: n=1521 clusters=1383 fee=17.1880 gross30=-3.0744 realized=-5.2785 net30=-25.5409 m30=-0.0036%
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trend_up: n=1255 clusters=1097 fee=13.3447 gross30=-0.1835 realized=0.0748 net30=-13.4534 m30=-0.0003%
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trend_down: n=1110 clusters=972 fee=11.8894 gross30=1.5271 realized=-3.3181 net30=-13.6803 m30=0.0026%
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FillContext
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neutral: n=1388 clusters=1213 fee=15.0971 gross30=-4.8338 realized=0.9367 net30=-18.9942 m30=-0.0064%
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sell_resistance: n=979 clusters=861 fee=10.8956 gross30=3.4773 realized=-6.2202 net30=-13.6385 m30=0.0064%
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buy_support: n=957 clusters=842 fee=10.6441 gross30=1.0563 realized=-4.6005 net30=-14.1883 m30=0.0020%
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buy_pressure_absorbing: n=288 clusters=242 fee=2.9699 gross30=-1.2138 realized=0.5556 net30=-3.6281 m30=-0.0082%
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sell_pressure_absorbing: n=246 clusters=207 fee=2.4642 gross30=-0.6444 realized=0.9138 net30=-2.1947 m30=-0.0052%
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sell_pressure_falling: n=10 clusters=10 fee=0.1276 gross30=0.0567 realized=0.0293 net30=-0.0416 m30=0.0089%
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buy_pressure_rising: n=8 clusters=8 fee=0.0959 gross30=-0.1242 realized=-0.0006 net30=-0.2207 m30=-0.0259%
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momentum_down_catching_knife: n=5 clusters=5 fee=0.0635 gross30=0.1872 realized=-0.1360 net30=-0.0123 m30=0.0590%
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momentum_up_chasing: n=5 clusters=5 fee=0.0643 gross30=0.3079 realized=0.0002 net30=0.2437 m30=0.0958%
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Layer 2 — Evidence Extension (excluded from core conclusion)
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----------------------------------------
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VENUE_CONFIRMED_NO_TRADE_HISTORY: 876
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VENUE_PARTIAL_ORDER_CANCELED: 11
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These rows are order-confirmed, but not part of the Hard Evidence Population.
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Layer 3 — Counterfactual Attribution (NOT backtest)
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----------------------------------------
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Observed vs Exclude-Bucket Attribution. These are contribution decompositions only.
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BASELINE: fills=3886 clusters=3332 fee=42.4221 gross30=-1.7308 realized=-8.5217 net30=-52.6747 m30=-0.0008%
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EXCLUDE_PATH_C: fills=2596 clusters=2236 fee=28.3534 gross30=13.1986 realized=-6.0632 net30=-21.2181 m30=0.0093%
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EXCLUDE_TOXIC: fills=2596 clusters=2236 fee=28.3534 gross30=13.1986 realized=-6.0632 net30=-21.2181 m30=0.0093%
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EXCLUDE_NEGATIVE_STATE: fills=1956 clusters=1723 fee=21.7951 gross30=5.0854 realized=-10.9272 net30=-27.6369 m30=0.0047%
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Interpretation
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----------------------------------------
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Core conclusion is based on 3890 fully matched fills.
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Economic Attribution asks why MakerAlpha did not convert to money.
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It does NOT change quote logic, does NOT restart v0.1, and does NOT unlock Stage 3.
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========================================================================
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