@gonzih/polymarket-arb 1.0.11 → 1.0.13

package/dist/backtest.d.ts

@@ -1,96 +1,100 @@
-export declare const BACKTEST_WINDOW_HOURS = 4;
-export declare const BACKTEST_MOMENTUM_THRESHOLD = 0.05;
-export type ResolvedMarket = {
+export declare const COINBASE_API = "https://api.exchange.coinbase.com";
+export declare const CLOB_API = "https://clob.polymarket.com";
+export declare const MOMENTUM_THRESHOLD = 0.015;
+export declare const CORRELATION_THRESHOLD = 0.02;
+export declare const CORRELATION_WINDOW_MINUTES = 30;
+export type Candle = [number, number, number, number, number, number];
+export declare const CANDLE_TIME = 0;
+export declare const CANDLE_LOW = 1;
+export declare const CANDLE_HIGH = 2;
+export declare const CANDLE_OPEN = 3;
+export declare const CANDLE_CLOSE = 4;
+export declare const CANDLE_VOL = 5;
+export type CandleSignal = {
+    firedAt: number;
+    symbol: string;
+    direction: "UP" | "DOWN";
+    momentum: number;
+    price: number;
+    confidence: number;
+};
+export type RawTrade = {
+    price: string | number;
+    timestamp: string | number;
+};
+export type PolymarketMarket = {
     id: string;
     conditionId: string;
     clobTokenId: string;
     question: string;
+    yesPrice: number;
     volume: number;
-    startDate: number;
-    endDate: number;
-    resolutionTime: number;
-    resolution: number;
-};
-export type PricePoint = {
-    t: number;
-    p: number;
 };
-export type BacktestSignal = {
-    firedAt: number;
-    oddsAtSignal: number;
-    direction: "YES" | "NO";
-    momentum: number;
-};
-export type ClaudeDecision = "BUY_YES" | "BUY_NO" | "PASS" | "ERROR";
-export type BacktestResult = {
+export type OddsMove = {
     marketId: string;
     question: string;
-    signalFiredAt: number;
-    oddsAtSignal: number;
-    claudeDecision: ClaudeDecision;
-    claudeLatencyMs: number;
-    actualResolution: number;
-    correct: boolean;
-    kellySizePct: number;
-    hypotheticalPnl: number;
+    oddsChange: number;
+    direction: "UP" | "DOWN";
+};
+export type SignalResult = {
+    signal: CandleSignal;
+    marketsChecked: number;
+    correlatedMoves: OddsMove[];
+};
+export type BacktestReport = {
+    date: string;
+    product: string;
+    candlesAnalyzed: number;
+    signalsFired: number;
+    signalRatePerDay: number;
+    marketsChecked: number;
+    correlatedSignals: number;
+    correlationRate: number;
+    signals: SignalResult[];
+    claudeInterpretation: string;
 };
-export declare function fetchResolvedMarkets(limit?: number): Promise<ResolvedMarket[]>;
 /**
- * Fetches hourly price history from the CLOB API.
- * NOTE (discovered during backtest): The CLOB prices-history endpoint returns
- * empty data for resolved/closed markets. Price history is only available for
- * currently active markets, and typically has very few data points.
- * marketId should be a clobTokenId (the long numeric string from clobTokenIds[0]).
+ * Fetch 1-minute (or custom granularity) OHLCV candles from Coinbase REST API.
+ * Coinbase returns newest-first; we reverse to chronological order.
  */
-export declare function fetchPriceHistory(marketId: string): Promise<PricePoint[]>;
+export declare function fetchCoinbaseCandles(product?: string, granularity?: number, limit?: number): Promise<Candle[]>;
 /**
- * Calls Claude directly on a resolved market question to probe integration health.
- * Used when price history is unavailable and no momentum signals can be replayed.
+ * Replay the 1.5% momentum signal logic against Coinbase candle data.
+ * Uses per-candle momentum (open→close). Applies 5-minute per-direction cooldown.
  */
-export declare function probeClaudeIntegration(markets: ResolvedMarket[]): Promise<{
-    success: number;
-    errors: number;
-    avgLatencyMs: number;
-    sample: BacktestResult[];
-}>;
+export declare function replaySignals(candles: Candle[], symbol?: string): CandleSignal[];
 /**
- * Replays the EXISTING momentum signal logic against prediction market price history.
- * Adapted from SignalEngine in signal.ts: same % change concept, but uses a 4-hour
- * window and 5% threshold suited to hourly prediction market data (0-1 price range).
+ * Fetch active Polymarket markets from the CLOB API.
+ * Handles both array and {data:[]} response shapes.
  */
-export declare function replaySignals(history: PricePoint[]): BacktestSignal[];
+export declare function fetchPolymarketMarkets(limit?: number): Promise<PolymarketMarket[]>;
 /**
- * Kelly Criterion: f* = (p*b - q) / b
- * where b = net odds (profit per $ risked), p = win probability, q = 1 - p
- * Capped at 10% maximum.
+ * Fetch recent trades for a Polymarket market token from the CLOB.
+ * Returns empty array on any error.
  */
-export declare function kellySize(odds: number, winProb: number): number;
-export declare function computePnl(decision: ClaudeDecision, odds: number, resolution: number, kellySizePct: number): number;
+export declare function fetchMarketTrades(tokenId: string): Promise<RawTrade[]>;
 /**
- * Calls the Claude CLI subprocess. Sends prompt via stdin (not as a positional arg)
- * because when spawned with an open stdin pipe the CLI waits for input otherwise.
+ * For each signal, check if any Polymarket market moved >2% in odds
+ * within `windowMinutes` of the signal firing.
+ * tradesByMarket is a pre-fetched map of marketId → trades.
  */
-export declare function askClaude(question: string, odds: number): Promise<{
-    decision: ClaudeDecision;
-    latencyMs: number;
-}>;
-export interface BacktestReport {
-    marketsAnalyzed: number;
-    signalsFired: number;
-    claudeSuccesses: number;
-    claudeErrors: number;
-    avgLatencyMs: number;
-    maxLatencyMs: number;
-    buyYesTotal: number;
-    buyYesCorrect: number;
-    buyNoTotal: number;
-    buyNoCorrect: number;
-    passCount: number;
-    avgKellyPct: number;
-    totalPnl: number;
-    results: BacktestResult[];
-}
-export declare function generateReport(results: BacktestResult[], marketsAnalyzed: number): BacktestReport;
-export declare function formatReport(report: BacktestReport, date: string): string;
-export declare function writeReport(text: string, date: string): string;
+export declare function findCorrelatedMoves(signal: CandleSignal, markets: PolymarketMarket[], tradesByMarket: Record<string, RawTrade[]>, oddsThreshold?: number, windowMinutes?: number): OddsMove[];
+/**
+ * Build a human-readable signal log for Claude interpretation.
+ */
+export declare function buildSignalLog(results: SignalResult[]): string;
+/**
+ * Spawn claude --print and ask for signal pattern analysis.
+ * Returns Claude's response text or a fallback message on failure.
+ */
+export declare function askClaude(signalLog: string): Promise<string>;
+/**
+ * Render the full backtest report as Markdown.
+ */
+export declare function generateMarkdownReport(report: BacktestReport): string;
+/**
+ * Write a report to disk. Creates `dir` if it doesn't exist.
+ * Returns the path written.
+ */
+export declare function writeReport(text: string, date: string, dir?: string): string;
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package/dist/backtest.js

@@ -1,12 +1,72 @@
 import { spawn } from "child_process";
 import fs from "fs";
+import path from "path";
 import { log } from "./logger.js";
-const GAMMA_API = "https://gamma-api.polymarket.com";
-const CLOB_API = "https://clob.polymarket.com";
-// Momentum parameters adapted for prediction market hourly price data
-// (0-1 range, slower-moving than crypto ticks)
-export const BACKTEST_WINDOW_HOURS = 4;
-export const BACKTEST_MOMENTUM_THRESHOLD = 0.05; // 5% move over 4h
+export const COINBASE_API = "https://api.exchange.coinbase.com";
+export const CLOB_API = "https://clob.polymarket.com";
+export const MOMENTUM_THRESHOLD = 0.015; // 1.5% per candle (open→close)
+export const CORRELATION_THRESHOLD = 0.02; // 2% odds move
+export const CORRELATION_WINDOW_MINUTES = 30;
+export const CANDLE_TIME = 0;
+export const CANDLE_LOW = 1;
+export const CANDLE_HIGH = 2;
+export const CANDLE_OPEN = 3;
+export const CANDLE_CLOSE = 4;
+export const CANDLE_VOL = 5;
+/**
+ * Fetch 1-minute (or custom granularity) OHLCV candles from Coinbase REST API.
+ * Coinbase returns newest-first; we reverse to chronological order.
+ */
+export async function fetchCoinbaseCandles(product = "BTC-USD", granularity = 60, limit = 300) {
+    try {
+        const url = `${COINBASE_API}/products/${encodeURIComponent(product)}/candles?granularity=${granularity}&limit=${limit}`;
+        const res = await fetch(url);
+        if (!res.ok) {
+            log("warn", { source: "backtest", event: "coinbase_candles_error", status: res.status });
+            return [];
+        }
+        const data = (await res.json());
+        // Reverse so index 0 is oldest
+        return data.reverse();
+    }
+    catch (err) {
+        log("warn", { source: "backtest", event: "coinbase_candles_exception", error: String(err) });
+        return [];
+    }
+}
+/**
+ * Replay the 1.5% momentum signal logic against Coinbase candle data.
+ * Uses per-candle momentum (open→close). Applies 5-minute per-direction cooldown.
+ */
+export function replaySignals(candles, symbol = "BTC-USD") {
+    const signals = [];
+    const COOLDOWN_MS = 5 * 60 * 1000;
+    const lastSignalTime = { UP: 0, DOWN: 0 };
+    for (const candle of candles) {
+        const open = candle[CANDLE_OPEN];
+        const close = candle[CANDLE_CLOSE];
+        const ts = candle[CANDLE_TIME];
+        if (open === 0)
+            continue;
+        const momentum = (close - open) / open;
+        if (Math.abs(momentum) < MOMENTUM_THRESHOLD)
+            continue;
+        const direction = momentum > 0 ? "UP" : "DOWN";
+        const firedAt = ts * 1000;
+        if (firedAt - lastSignalTime[direction] < COOLDOWN_MS)
+            continue;
+        lastSignalTime[direction] = firedAt;
+        signals.push({
+            firedAt,
+            symbol,
+            direction,
+            momentum,
+            price: close,
+            confidence: Math.min(1, Math.abs(momentum) / (MOMENTUM_THRESHOLD * 2)),
+        });
+    }
+    return signals;
+}
 function parseJsonField(field) {
     if (Array.isArray(field))
         return field;
@@ -17,354 +77,201 @@ function parseJsonField(field) {
         return [];
     }
 }
-export async function fetchResolvedMarkets(limit = 100) {
-    const sixMonthsAgo = Date.now() - 180 * 24 * 60 * 60 * 1000;
-    // Use end_date_min to fetch recent markets without scanning thousands of pages
-    const sixMonthsAgoDate = new Date(sixMonthsAgo).toISOString().slice(0, 10);
-    const results = [];
-    let offset = 0;
-    const batchSize = 100;
-    while (results.length < limit) {
-        const url = `${GAMMA_API}/markets?closed=true&limit=${batchSize}&offset=${offset}&end_date_min=${sixMonthsAgoDate}`;
-        let markets;
-        try {
-            const res = await fetch(url);
-            if (!res.ok) {
-                log("warn", { source: "backtest", event: "fetch_resolved_error", status: res.status });
-                break;
-            }
-            markets = (await res.json());
-        }
-        catch (err) {
-            log("warn", { source: "backtest", event: "fetch_resolved_exception", error: String(err) });
-            break;
+/**
+ * Fetch active Polymarket markets from the CLOB API.
+ * Handles both array and {data:[]} response shapes.
+ */
+export async function fetchPolymarketMarkets(limit = 20) {
+    try {
+        const url = `${CLOB_API}/markets?active=true&closed=false&limit=${limit}`;
+        const res = await fetch(url);
+        if (!res.ok) {
+            log("warn", { source: "backtest", event: "polymarket_markets_error", status: res.status });
+            return [];
         }
-        if (markets.length === 0)
-            break;
-        for (const m of markets) {
-            const volume = Number(m.volumeNum ?? m.volume ?? 0);
-            if (volume < 50_000)
-                continue;
-            const endDate = m.endDate ? new Date(m.endDate).getTime() : 0;
-            if (endDate < sixMonthsAgo || endDate === 0)
-                continue;
-            // Only include cleanly resolved markets (YES price = 0 or 1)
+        const raw = (await res.json());
+        const markets = Array.isArray(raw) ? raw : (raw.data ?? []);
+        return markets
+            .map((m) => {
             const prices = parseJsonField(m.outcomePrices ?? []).map(Number);
-            if (prices.length < 2)
-                continue;
-            const yesPrice = prices[0];
-            if (yesPrice !== 0 && yesPrice !== 1)
-                continue;
-            // Parse YES outcome clobTokenId for CLOB price history
+            const yesPrice = prices[0] ?? 0.5;
             const tokenIds = parseJsonField(m.clobTokenIds ?? "[]");
-            const clobTokenId = tokenIds[0] ?? "";
-            results.push({
-                id: m.id,
-                conditionId: m.conditionId ?? m.id,
-                clobTokenId,
+            return {
+                id: m.id ?? "",
+                conditionId: m.conditionId ?? m.id ?? "",
+                clobTokenId: tokenIds[0] ?? "",
                 question: m.question ?? "",
-                volume,
-                startDate: m.startDate ? new Date(m.startDate).getTime() : 0,
-                endDate,
-                resolutionTime: m.resolutionTime ? new Date(m.resolutionTime).getTime() : endDate,
-                resolution: yesPrice === 1 ? 1 : 0,
-            });
-            if (results.length >= limit)
-                break;
-        }
-        offset += batchSize;
-        if (markets.length < batchSize)
-            break; // no more pages
+                yesPrice,
+                volume: Number(m.volumeNum ?? m.volume ?? 0),
+            };
+        })
+            .filter((m) => m.id && m.question && m.volume > 10_000);
+    }
+    catch (err) {
+        log("warn", { source: "backtest", event: "polymarket_markets_exception", error: String(err) });
+        return [];
     }
-    log("info", {
-        source: "backtest",
-        event: "resolved_markets_fetched",
-        count: results.length,
-    });
-    return results;
 }
 /**
- * Fetches hourly price history from the CLOB API.
- * NOTE (discovered during backtest): The CLOB prices-history endpoint returns
- * empty data for resolved/closed markets. Price history is only available for
- * currently active markets, and typically has very few data points.
- * marketId should be a clobTokenId (the long numeric string from clobTokenIds[0]).
+ * Fetch recent trades for a Polymarket market token from the CLOB.
+ * Returns empty array on any error.
  */
-export async function fetchPriceHistory(marketId) {
+export async function fetchMarketTrades(tokenId) {
     try {
-        const url = `${CLOB_API}/prices-history?market=${encodeURIComponent(marketId)}&interval=1h&fidelity=60`;
+        const url = `${CLOB_API}/trades?market=${encodeURIComponent(tokenId)}&limit=500`;
         const res = await fetch(url);
         if (!res.ok)
             return [];
-        const data = (await res.json());
-        const history = Array.isArray(data) ? data : (data.history ?? []);
-        return history.sort((a, b) => a.t - b.t);
+        const raw = (await res.json());
+        return Array.isArray(raw) ? raw : (raw.data ?? []);
     }
     catch {
         return [];
     }
 }
 /**
- * Calls Claude directly on a resolved market question to probe integration health.
- * Used when price history is unavailable and no momentum signals can be replayed.
+ * For each signal, check if any Polymarket market moved >2% in odds
+ * within `windowMinutes` of the signal firing.
+ * tradesByMarket is a pre-fetched map of marketId → trades.
  */
-export async function probeClaudeIntegration(markets) {
-    const sample = markets.slice(0, 5);
-    const results = [];
-    let totalLatency = 0;
-    let errors = 0;
-    for (const market of sample) {
-        // Use last-known odds as 0.5 (unknown pre-resolution for closed markets)
-        const odds = 0.5;
-        const { decision, latencyMs } = await askClaude(market.question, odds);
-        totalLatency += latencyMs;
-        if (decision === "ERROR")
-            errors++;
-        const correct = decision === "BUY_YES"
-            ? market.resolution === 1
-            : decision === "BUY_NO"
-                ? market.resolution === 0
-                : false;
-        results.push({
-            marketId: market.id,
-            question: market.question,
-            signalFiredAt: 0,
-            oddsAtSignal: odds,
-            claudeDecision: decision,
-            claudeLatencyMs: latencyMs,
-            actualResolution: market.resolution,
-            correct,
-            kellySizePct: 0,
-            hypotheticalPnl: 0,
+export function findCorrelatedMoves(signal, markets, tradesByMarket, oddsThreshold = CORRELATION_THRESHOLD, windowMinutes = CORRELATION_WINDOW_MINUTES) {
+    const windowStartSec = signal.firedAt / 1000;
+    const windowEndSec = windowStartSec + windowMinutes * 60;
+    const correlated = [];
+    for (const market of markets) {
+        const trades = tradesByMarket[market.id] ?? [];
+        const windowTrades = trades.filter((t) => {
+            const ts = Number(t.timestamp);
+            const tsSec = ts < 1e12 ? ts : Math.floor(ts / 1000);
+            return tsSec >= windowStartSec && tsSec <= windowEndSec;
         });
-    }
-    return {
-        success: sample.length - errors,
-        errors,
-        avgLatencyMs: sample.length > 0 ? totalLatency / sample.length : 0,
-        sample: results,
-    };
-}
-/**
- * Replays the EXISTING momentum signal logic against prediction market price history.
- * Adapted from SignalEngine in signal.ts: same % change concept, but uses a 4-hour
- * window and 5% threshold suited to hourly prediction market data (0-1 price range).
- */
-export function replaySignals(history) {
-    const signals = [];
-    if (history.length < BACKTEST_WINDOW_HOURS + 1)
-        return signals;
-    let lastSignalAtMs = 0;
-    const COOLDOWN_MS = 12 * 60 * 60 * 1000; // 12-hour cooldown between signals per market
-    for (let i = BACKTEST_WINDOW_HOURS; i < history.length; i++) {
-        const windowStart = history[i - BACKTEST_WINDOW_HOURS];
-        const current = history[i];
-        if (windowStart.p === 0)
+        if (windowTrades.length < 2)
             continue;
-        const momentum = (current.p - windowStart.p) / windowStart.p;
-        if (Math.abs(momentum) < BACKTEST_MOMENTUM_THRESHOLD)
-            continue;
-        const tMs = current.t * 1000;
-        if (tMs - lastSignalAtMs < COOLDOWN_MS)
-            continue;
-        lastSignalAtMs = tMs;
-        signals.push({
-            firedAt: tMs,
-            oddsAtSignal: current.p,
-            direction: momentum > 0 ? "YES" : "NO",
-            momentum,
-        });
+        const priceStart = Number(windowTrades[0].price);
+        const priceEnd = Number(windowTrades[windowTrades.length - 1].price);
+        const oddsChange = priceEnd - priceStart;
+        if (Math.abs(oddsChange) >= oddsThreshold) {
+            correlated.push({
+                marketId: market.id,
+                question: market.question,
+                oddsChange: Math.abs(oddsChange),
+                direction: oddsChange > 0 ? "UP" : "DOWN",
+            });
+        }
     }
-    return signals;
+    return correlated;
 }
 /**
- * Kelly Criterion: f* = (p*b - q) / b
- * where b = net odds (profit per $ risked), p = win probability, q = 1 - p
- * Capped at 10% maximum.
+ * Build a human-readable signal log for Claude interpretation.
  */
-export function kellySize(odds, winProb) {
-    if (odds <= 0 || odds >= 1)
-        return 0;
-    const b = (1 - odds) / odds; // net odds
-    const q = 1 - winProb;
-    const kelly = (winProb * b - q) / b;
-    return Math.max(0, Math.min(0.1, kelly));
-}
-export function computePnl(decision, odds, resolution, kellySizePct) {
-    if (decision === "PASS" || decision === "ERROR")
-        return 0;
-    const betYes = decision === "BUY_YES";
-    const won = betYes ? resolution === 1 : resolution === 0;
-    const betOdds = betYes ? odds : 1 - odds;
-    if (won) {
-        // Profit per $ = (1 - betOdds) / betOdds
-        return kellySizePct * ((1 - betOdds) / betOdds);
+export function buildSignalLog(results) {
+    if (results.length === 0) {
+        return "No signals fired in the analysis window. Momentum threshold (1.5%) not crossed in recent candles.";
+    }
+    const correlated = results.filter((r) => r.correlatedMoves.length > 0).length;
+    const lines = [
+        `Total signals: ${results.length}`,
+        `Correlated with Polymarket moves >2%: ${correlated}/${results.length}`,
+        `Correlation rate: ${((correlated / results.length) * 100).toFixed(1)}%`,
+        "",
+        "Signal Log:",
+    ];
+    for (const r of results) {
+        const ts = new Date(r.signal.firedAt).toISOString();
+        const pct = (r.signal.momentum * 100).toFixed(2);
+        const corrStr = r.correlatedMoves.length > 0
+            ? r.correlatedMoves
+                .map((m) => `${m.question.slice(0, 40)} (${(m.oddsChange * 100).toFixed(1)}% ${m.direction})`)
+                .join("; ")
+            : "no correlated moves";
+        lines.push(`  [${ts}] ${r.signal.direction} ${pct}% @ $${r.signal.price.toFixed(0)} | conf=${r.signal.confidence.toFixed(2)} | ${corrStr}`);
     }
-    return -kellySizePct;
+    return lines.join("\n");
 }
 /**
- * Calls the Claude CLI subprocess. Sends prompt via stdin (not as a positional arg)
- * because when spawned with an open stdin pipe the CLI waits for input otherwise.
+ * Spawn claude --print and ask for signal pattern analysis.
+ * Returns Claude's response text or a fallback message on failure.
  */
-export async function askClaude(question, odds) {
-    const start = Date.now();
-    const prompt = `Market: ${question}\nCurrent odds: ${(odds * 100).toFixed(1)}% YES\nSignal: momentum spike detected\nShould we bet YES or NO? Respond with: BUY_YES, BUY_NO, or PASS`;
+export async function askClaude(signalLog) {
+    const prompt = `Given these signal firings and Polymarket odds movements, what patterns do you see? ` +
+        `Which signal types (high momentum, news-boosted, specific time windows) correlate best with market moves? ` +
+        `What threshold would maximize signal quality?\n\n${signalLog}`;
     return new Promise((resolve) => {
         const proc = spawn("claude", ["--print", "--model", "claude-haiku-4-5-20251001"], {
             env: { ...process.env },
             stdio: ["pipe", "pipe", "pipe"],
         });
-        // Send prompt via stdin then close it so claude knows there is no more input
         proc.stdin.write(prompt);
         proc.stdin.end();
         let stdout = "";
-        let stderr = "";
         let timedOut = false;
         proc.stdout.on("data", (chunk) => {
             stdout += chunk.toString();
         });
-        proc.stderr.on("data", (chunk) => {
-            stderr += chunk.toString();
-        });
+        proc.stderr.on("data", () => { }); // suppress stderr noise
         const timer = setTimeout(() => {
             timedOut = true;
             proc.kill("SIGTERM");
-        }, 30_000);
+        }, 60_000);
         proc.on("close", (code) => {
             clearTimeout(timer);
-            const latencyMs = Date.now() - start;
             if (timedOut || code !== 0) {
-                const err = timedOut
-                    ? "timeout after 30s"
-                    : `exit code ${code}${stderr ? ": " + stderr.slice(0, 200) : ""}`;
-                log("warn", { source: "backtest", event: "claude_error", error: err });
-                resolve({ decision: "ERROR", latencyMs });
+                resolve("(Claude interpretation unavailable — subprocess error or timeout)");
                 return;
             }
-            const text = stdout.toUpperCase();
-            let decision = "PASS";
-            if (text.includes("BUY_YES"))
-                decision = "BUY_YES";
-            else if (text.includes("BUY_NO"))
-                decision = "BUY_NO";
-            log("info", {
-                source: "backtest",
-                event: "claude_decision",
-                question: question.slice(0, 60),
-                decision,
-                latencyMs,
-            });
-            resolve({ decision, latencyMs });
+            resolve(stdout.trim() || "(No interpretation returned)");
         });
-        proc.on("error", (err) => {
+        proc.on("error", () => {
             clearTimeout(timer);
-            const latencyMs = Date.now() - start;
-            log("warn", { source: "backtest", event: "claude_error", error: String(err) });
-            resolve({ decision: "ERROR", latencyMs });
+            resolve("(Claude interpretation unavailable — spawn error)");
         });
     });
 }
-export function generateReport(results, marketsAnalyzed) {
-    const claudeErrors = results.filter((r) => r.claudeDecision === "ERROR").length;
-    const claudeSuccesses = results.filter((r) => r.claudeDecision !== "ERROR").length;
-    const latencies = results.map((r) => r.claudeLatencyMs).filter((l) => l > 0);
-    const avgLatencyMs = latencies.length > 0 ? latencies.reduce((a, b) => a + b, 0) / latencies.length : 0;
-    const maxLatencyMs = latencies.length > 0 ? Math.max(...latencies) : 0;
-    const buyYes = results.filter((r) => r.claudeDecision === "BUY_YES");
-    const buyNo = results.filter((r) => r.claudeDecision === "BUY_NO");
-    const passes = results.filter((r) => r.claudeDecision === "PASS");
-    const kellyValues = results.filter((r) => r.kellySizePct > 0).map((r) => r.kellySizePct);
-    const avgKellyPct = kellyValues.length > 0 ? kellyValues.reduce((a, b) => a + b, 0) / kellyValues.length : 0;
-    const totalPnl = results.reduce((sum, r) => sum + r.hypotheticalPnl, 0);
-    return {
-        marketsAnalyzed,
-        signalsFired: results.length,
-        claudeSuccesses,
-        claudeErrors,
-        avgLatencyMs,
-        maxLatencyMs,
-        buyYesTotal: buyYes.length,
-        buyYesCorrect: buyYes.filter((r) => r.correct).length,
-        buyNoTotal: buyNo.length,
-        buyNoCorrect: buyNo.filter((r) => r.correct).length,
-        passCount: passes.length,
-        avgKellyPct,
-        totalPnl,
-        results,
-    };
-}
-export function formatReport(report, date) {
-    const totalDecisions = report.buyYesTotal + report.buyNoTotal;
-    const totalCorrect = report.buyYesCorrect + report.buyNoCorrect;
-    const winRate = totalDecisions > 0 ? (totalCorrect / totalDecisions) * 100 : 0;
-    const signalRate = report.marketsAnalyzed > 0
-        ? (report.signalsFired / report.marketsAnalyzed) * 100
-        : 0;
-    const yesAcc = report.buyYesTotal > 0
-        ? `${report.buyYesCorrect}/${report.buyYesTotal} (${((report.buyYesCorrect / report.buyYesTotal) * 100).toFixed(1)}%)`
-        : "0/0 (n/a)";
-    const noAcc = report.buyNoTotal > 0
-        ? `${report.buyNoCorrect}/${report.buyNoTotal} (${((report.buyNoCorrect / report.buyNoTotal) * 100).toFixed(1)}%)`
-        : "0/0 (n/a)";
-    const claudeStatus = report.claudeErrors === 0
-        ? `  ✓ All ${report.claudeSuccesses} calls succeeded`
-        : `  ✓ ${report.claudeSuccesses} calls succeeded\n  ✗ ${report.claudeErrors} error${report.claudeErrors !== 1 ? "s" : ""}`;
-    let verdict;
-    if (totalDecisions === 0) {
-        verdict =
-            "INSUFFICIENT DATA: No actionable signals. Either no price history from API, " +
-                "signals never crossed the 5% threshold, or all signals fired after market resolution.";
-    }
-    else if (totalDecisions < 5) {
-        verdict =
-            `TOO FEW TRADES: Only ${totalDecisions} trade${totalDecisions !== 1 ? "s" : ""} — ` +
-                "cannot distinguish edge from luck. Need 30+ trades for statistical significance.";
-    }
-    else if (winRate > 60) {
-        verdict =
-            `POSSIBLE EDGE: Win rate ${winRate.toFixed(1)}% exceeds 50% baseline. ` +
-                `P&L: ${report.totalPnl >= 0 ? "+" : ""}${(report.totalPnl * 100).toFixed(1)}% of bankroll. ` +
-                "Needs larger sample (30+ trades) to confirm.";
-    }
-    else if (winRate > 50) {
-        verdict =
-            `WEAK SIGNAL: Win rate ${winRate.toFixed(1)}% slightly above baseline. ` +
-                "Cannot yet distinguish from noise. More data needed.";
-    }
-    else {
-        verdict =
-            `NO EDGE DETECTED: Win rate ${winRate.toFixed(1)}% at or below 50% baseline. ` +
-                "Current signal parameters not predictive on this historical data.";
-    }
-    const lines = [
-        "=== POLYMARKET-ARB BACKTEST REPORT ===",
-        `Date: ${date}`,
-        "",
-        `Markets analyzed: ${report.marketsAnalyzed}`,
-        `Signals fired: ${report.signalsFired} (${signalRate.toFixed(1)}% of markets)`,
-        `Claude Code: ${report.claudeSuccesses}/${report.signalsFired} decisions returned (${report.claudeErrors} error${report.claudeErrors !== 1 ? "s" : ""})`,
-        `Claude latency: avg ${(report.avgLatencyMs / 1000).toFixed(1)}s, max ${(report.maxLatencyMs / 1000).toFixed(1)}s`,
+/**
+ * Render the full backtest report as Markdown.
+ */
+export function generateMarkdownReport(report) {
+    const signalRows = report.signals.length > 0
+        ? report.signals.map((r) => {
+            const ts = new Date(r.signal.firedAt).toISOString().replace("T", " ").slice(0, 19);
+            const mom = `${(r.signal.momentum * 100).toFixed(2)}%`;
+            const marketMove = r.correlatedMoves.length > 0
+                ? r.correlatedMoves.map((m) => `${(m.oddsChange * 100).toFixed(1)}%`).join(", ")
+                : "—";
+            return `| ${ts} | ${r.signal.symbol} | ${mom} | ${r.signal.direction} | ${marketMove} |`;
+        })
+        : ["| — | — | — | — | — |"];
+    return [
+        `# Polymarket Backtest — ${report.date}`,
         "",
-        "SIGNAL ACCURACY:",
-        `  BUY_YES decisions: ${report.buyYesTotal} → correct: ${yesAcc}`,
-        `  BUY_NO decisions: ${report.buyNoTotal} → correct: ${noAcc}`,
-        `  PASS decisions: ${report.passCount}`,
+        "## Summary",
+        `- Candles analyzed: ${report.candlesAnalyzed}`,
+        `- Signals fired: ${report.signalsFired}`,
+        `- Signal rate: ${report.signalRatePerDay.toFixed(1)} per day`,
+        `- Markets checked per signal: ${report.marketsChecked}`,
+        `- Correlated moves (signal + market move >2%): ${report.correlatedSignals}`,
+        `- Correlation rate: ${report.correlationRate.toFixed(1)}%`,
         "",
-        "EDGE vs RANDOM:",
-        `  Win rate: ${winRate.toFixed(1)}% (random baseline: 50%)`,
-        `  Avg Kelly size: ${(report.avgKellyPct * 100).toFixed(1)}% of bankroll`,
-        `  Hypothetical total P&L: ${report.totalPnl >= 0 ? "+" : ""}${(report.totalPnl * 100).toFixed(1)}% of bankroll over ${report.marketsAnalyzed} markets`,
+        "## Signal Log",
+        "| Time | Symbol | Momentum | Direction | Market Move |",
+        "|------|--------|----------|-----------|-------------|",
+        ...signalRows,
         "",
-        "CLAUDE CODE INTEGRATION:",
-        claudeStatus,
+        "## Interpretation",
+        report.claudeInterpretation,
         "",
-        `VERDICT: ${verdict}`,
-    ];
-    return lines.join("\n");
+    ].join("\n");
 }
-export function writeReport(text, date) {
-    const reportPath = `backtest-report-${date}.md`;
-    fs.writeFileSync(reportPath, text + "\n");
+/**
+ * Write a report to disk. Creates `dir` if it doesn't exist.
+ * Returns the path written.
+ */
+export function writeReport(text, date, dir = "research") {
+    if (!fs.existsSync(dir)) {
+        fs.mkdirSync(dir, { recursive: true });
+    }
+    const reportPath = path.join(dir, `backtest-results-${date}.md`);
+    fs.writeFileSync(reportPath, text);
     return reportPath;
 }
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package/dist/backtest.js.map

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package/dist/backtestRunner.d.ts.map

@@ -1 +1 @@
-{"version":3,"file":"backtestRunner.d.ts","sourceRoot":"","sources":["../src/backtestRunner.ts"],"names":[],"mappings":"AAoBA,wBAAsB,WAAW,IAAI,OAAO,CAAC,IAAI,CAAC,CA+HjD"}
+{"version":3,"file":"backtestRunner.d.ts","sourceRoot":"","sources":["../src/backtestRunner.ts"],"names":[],"mappings":"AAoBA,wBAAsB,WAAW,IAAI,OAAO,CAAC,IAAI,CAAC,CAiFjD"}

package/dist/backtestRunner.js

@@ -1,129 +1,74 @@
-import { fetchResolvedMarkets, fetchPriceHistory, replaySignals, askClaude, kellySize, computePnl, generateReport, formatReport as formatBaseReport, writeReport, probeClaudeIntegration, } from "./backtest.js";
-import { log } from "./logger.js";
-const MARKETS_TO_FETCH = 50;
-// At most one Claude call per market to keep runtime reasonable
-const MAX_SIGNALS_PER_MARKET = 1;
+import { fetchCoinbaseCandles, replaySignals, fetchPolymarketMarkets, fetchMarketTrades, findCorrelatedMoves, askClaude, buildSignalLog, generateMarkdownReport, writeReport, } from "./backtest.js";
+const PRODUCT = "BTC-USD";
+const GRANULARITY = 60; // 1-minute candles
+const CANDLE_LIMIT = 300; // ~5 hours of data
+const POLYMARKET_MARKETS = 20;
 export async function runBacktest() {
     const date = new Date().toISOString().slice(0, 10);
     console.log("=== POLYMARKET-ARB BACKTESTING HARNESS ===");
-    console.log(`Fetching up to ${MARKETS_TO_FETCH} resolved markets (volume > $50k, last 6 months)...`);
-    const markets = await fetchResolvedMarkets(MARKETS_TO_FETCH);
-    console.log(`Fetched ${markets.length} qualifying markets\n`);
-    if (markets.length === 0) {
-        console.error("ERROR: No resolved markets found.\n" +
+    console.log(`Fetching ${CANDLE_LIMIT} × ${GRANULARITY}s candles for ${PRODUCT}...`);
+    const candles = await fetchCoinbaseCandles(PRODUCT, GRANULARITY, CANDLE_LIMIT);
+    if (candles.length === 0) {
+        console.error("ERROR: No candles returned from Coinbase REST API.\n" +
             "Possible causes:\n" +
-            "  • GAMMA API unreachable\n" +
-            "  • No markets with volume > $50k resolved in last 6 months\n" +
-            "  • outcomePrices not cleanly 0 or 1 (market still settling)");
+            "  • API rate-limited or unreachable\n" +
+            "  • Network error");
         process.exit(1);
     }
-    const results = [];
-    let marketsWithHistory = 0;
-    let marketsNoHistory = 0;
-    let marketsNoSignal = 0;
-    for (let i = 0; i < markets.length; i++) {
-        const market = markets[i];
-        process.stdout.write(`\r[${i + 1}/${markets.length}] ${market.question.slice(0, 55)}...`);
-        // Use the YES clobTokenId for price history
-        const tokenId = market.clobTokenId || market.conditionId;
-        const history = await fetchPriceHistory(tokenId);
-        if (history.length < 5) {
-            marketsNoHistory++;
-            continue;
-        }
-        marketsWithHistory++;
-        const signals = replaySignals(history).slice(0, MAX_SIGNALS_PER_MARKET);
-        if (signals.length === 0) {
-            marketsNoSignal++;
-            continue;
-        }
-        for (const signal of signals) {
-            // Skip signals that fired at or after resolution — unfair look-ahead
-            if (signal.firedAt >= market.resolutionTime)
-                continue;
-            const { decision, latencyMs } = await askClaude(market.question, signal.oddsAtSignal);
-            const betOdds = decision === "BUY_YES" ? signal.oddsAtSignal : 1 - signal.oddsAtSignal;
-            // Assume modest 65% win probability as prior when signal fires
-            const WIN_PROB_PRIOR = 0.65;
-            const kellySizePct = decision !== "PASS" && decision !== "ERROR"
-                ? kellySize(betOdds, WIN_PROB_PRIOR)
-                : 0;
-            const pnl = computePnl(decision, signal.oddsAtSignal, market.resolution, kellySizePct);
-            const correct = decision === "BUY_YES"
-                ? market.resolution === 1
-                : decision === "BUY_NO"
-                    ? market.resolution === 0
-                    : false;
-            results.push({
-                marketId: market.id,
-                question: market.question,
-                signalFiredAt: signal.firedAt,
-                oddsAtSignal: signal.oddsAtSignal,
-                claudeDecision: decision,
-                claudeLatencyMs: latencyMs,
-                actualResolution: market.resolution,
-                correct,
-                kellySizePct,
-                hypotheticalPnl: pnl,
-            });
-            log("info", {
-                source: "backtest",
-                event: "result",
-                question: market.question.slice(0, 60),
-                decision,
-                oddsAtSignal: signal.oddsAtSignal.toFixed(3),
-                resolution: market.resolution,
-                correct,
-                pnl: pnl.toFixed(4),
-            });
+    console.log(`Fetched ${candles.length} candles`);
+    const signals = replaySignals(candles, PRODUCT);
+    console.log(`Signals fired: ${signals.length} (threshold: 1.5% per candle)`);
+    console.log(`\nFetching ${POLYMARKET_MARKETS} active Polymarket markets...`);
+    const markets = await fetchPolymarketMarkets(POLYMARKET_MARKETS);
+    console.log(`Fetched ${markets.length} qualifying markets (volume > $10k)`);
+    // Pre-fetch trades for all markets once, then reuse across signals
+    const tradesByMarket = {};
+    if (signals.length > 0 && markets.length > 0) {
+        console.log(`Pre-fetching trades for ${markets.length} markets...`);
+        for (let i = 0; i < markets.length; i++) {
+            const market = markets[i];
+            if (market.clobTokenId) {
+                process.stdout.write(`\r  [${i + 1}/${markets.length}] ${market.question.slice(0, 50)}`);
+                tradesByMarket[market.id] = await fetchMarketTrades(market.clobTokenId);
+            }
         }
+        process.stdout.write("\n");
     }
-    process.stdout.write("\n\n");
-    console.log(`Price history: ${marketsWithHistory}/${markets.length} markets had history, ` +
-        `${marketsNoHistory} had no/insufficient data, ` +
-        `${marketsNoSignal} had history but no signal fired`);
-    // ── Claude integration probe ──────────────────────────────────────────────
-    // Always run this to verify the subprocess works, regardless of signals.
-    console.log("\nRunning Claude integration probe (5 markets)...");
-    const probe = await probeClaudeIntegration(markets);
-    console.log(`Claude probe: ${probe.success}/5 calls succeeded, ` +
-        `${probe.errors} errors, avg latency ${(probe.avgLatencyMs / 1000).toFixed(1)}s`);
-    // Add probe results to the report if no signal-based results exist
-    const reportResults = results.length > 0 ? results : probe.sample;
-    const report = generateReport(reportResults, markets.length);
-    const reportText = buildFullReport(report, probe, marketsNoHistory, markets.length, date);
-    console.log("\n" + reportText);
+    const results = signals.map((signal) => {
+        const correlatedMoves = findCorrelatedMoves(signal, markets, tradesByMarket);
+        return {
+            signal,
+            marketsChecked: markets.length,
+            correlatedMoves,
+        };
+    });
+    const correlatedCount = results.filter((r) => r.correlatedMoves.length > 0).length;
+    const candleMinutes = (candles.length * GRANULARITY) / 60;
+    const signalRatePerDay = candleMinutes > 0 ? (signals.length / candleMinutes) * 24 * 60 : 0;
+    console.log(`\nResults:`);
+    console.log(`  Signals fired: ${signals.length}`);
+    console.log(`  Signals with correlated Polymarket moves: ${correlatedCount}/${signals.length}`);
+    console.log(`  Correlation rate: ${signals.length > 0 ? ((correlatedCount / signals.length) * 100).toFixed(1) : "0.0"}%`);
+    const signalLog = buildSignalLog(results);
+    console.log("\nAsking Claude for interpretation...");
+    const claudeInterpretation = await askClaude(signalLog);
+    console.log("Claude responded.");
+    const report = {
+        date,
+        product: PRODUCT,
+        candlesAnalyzed: candles.length,
+        signalsFired: signals.length,
+        signalRatePerDay,
+        marketsChecked: markets.length,
+        correlatedSignals: correlatedCount,
+        correlationRate: signals.length > 0 ? (correlatedCount / signals.length) * 100 : 0,
+        signals: results,
+        claudeInterpretation,
+    };
+    const reportText = generateMarkdownReport(report);
     const reportPath = writeReport(reportText, date);
     console.log(`\nReport written to: ${reportPath}`);
-    if (probe.errors > 0) {
-        console.warn(`\nWARNING: ${probe.errors} Claude call(s) failed.\n` +
-            "Check that CLAUDE_CODE_OAUTH_TOKEN or ANTHROPIC_AUTH_TOKEN is set.");
-    }
-}
-function buildFullReport(report, probe, marketsNoHistory, marketsTotal, date) {
-    let text = formatBaseReport(report, date);
-    if (marketsNoHistory === marketsTotal) {
-        text +=
-            "\n\nAPI FINDING: CLOB /prices-history endpoint returned empty data for all " +
-                marketsTotal +
-                " resolved markets.\n" +
-                "Investigation results:\n" +
-                "  • GET /prices-history returns {history:[]} for all closed/resolved markets\n" +
-                "  • Active markets: price history exists but only ~2 data points (insufficient for 4h window)\n" +
-                "  • The end_date_min filter works to find recent markets efficiently\n" +
-                "  • Recommendation: use a dedicated historical data provider (Dune Analytics, TheGraph) for future backtests\n";
-    }
-    text +=
-        "\n\nCLAUDE INTEGRATION PROBE (5 markets, no momentum signal required):\n" +
-            `  ${probe.success}/5 calls succeeded (${probe.errors} errors)\n` +
-            `  Avg latency: ${(probe.avgLatencyMs / 1000).toFixed(1)}s\n`;
-    for (const r of probe.sample) {
-        const icon = r.claudeDecision === "ERROR" ? "✗" : "✓";
-        text +=
-            `  ${icon} "${r.question.slice(0, 50)}" → ${r.claudeDecision} ` +
-                `(${(r.claudeLatencyMs / 1000).toFixed(1)}s, resolved: ${r.actualResolution === 1 ? "YES" : "NO"})\n`;
-    }
-    return text;
+    console.log("\n" + reportText);
 }
 // Run when invoked directly (not imported)
 const selfPath = process.argv[1] ?? "";

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package/package.json

@@ -1,6 +1,6 @@
 {
   "name": "@gonzih/polymarket-arb",
-  "version": "1.0.11",
+  "version": "1.0.13",
   "description": "Claude-powered Polymarket arbitrage bot — BTC/ETH momentum signal + AI trade analysis",
   "keywords": [
     "polymarket",