jackyu66gitandCursor
e2fbe1c2b3
Keep frozen research conclusions and code; raw ledgers and secrets stay out of git. Co-authored-by: Cursor <cursoragent@cursor.com>
22 lines
1001 B
Plaintext
22 lines
1001 B
Plaintext
========================================================================
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Economic Metric Reconciliation v0.1 (MATCHED=3890)
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========================================================================
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Matched paths: 3886 (expected ~3886)
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Definitions (same math as analyze_maker_edge):
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- markout_30s_return = _fav_ret(side, fill_price, after_30s_price)
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- gross_markout_usdt = sum(notional_usdt * markout_30s_return)
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Return-space metrics (sign may differ due to weighting):
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MakerAlpha fill-weighted mean return: -0.000693%
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MakerAlpha notional-weighted mean return: -0.000816%
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MakerAlpha cluster-weighted mean return: -0.000830%
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Dollar-space metrics:
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gross_markout_usdt (30s): -1.730780 USDT
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total_notional_usdt: 212110.750 USDT
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If fill-weighted return is + but gross_markout_usdt is negative,
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it means notional weighting flips sign (alpha is conditionally realized).
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========================================================================
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