autoresearch.py

"""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()