a 5?jp'@sdZddlZddlZddlZddlZddlmZmZddlmZdZ dZ dZ dZ e Zd \ZZZZgd Zd d Zd dZddZdddZddZdZddZgdZd ddZddZedkredS)!a FORWARD TEST (read-only, trades nothing): executable late-drift momentum filter. Frozen hypothesis (locked 2026-06-15, see project memory): A CLV signal is worth more if the Kalshi mid has ALREADY drifted toward our side by the time we bet. The executable, NON-look-ahead rule is: 1. signal fires when clv_kalshi_ first enters [0.05, 0.12) -> record entry mid 2. at the LAST pre-KO snapshot (the decision point) check the mid drift drift = mid_late - mid_entry 3. if drift >= 0 (momentum) -> "bet" at the LATE ask, p_win = late pin_fair if drift < 0 (dip) -> skip Pricing at the late ask (not the early ask) is what makes it non-look-ahead; on these penny-quantized longshots the ask barely moves so it costs ~nothing. In-sample (<= FREEZE_DATE) this beat baseline flat (+20.2% vs +11.6%) and held a 60/40 temporal split, but the Kelly cut was IS-worse/OOS-better (regime-artifact signature) and the full-sample gap was only p=0.13. UNPROVEN -> forward test. This script evaluates the FROZEN rule on fixtures with game_date > FREEZE_DATE (genuine out-of-sample) and appends one dated row to forward_test_momentum_log.csv each run, so the forward sample is tracked as it accumulates. NOTHING is traded. N)datetimedate) defaultdictzE:\soccer\live_dataz'E:\soccer\forward_test_momentum_log.csvz 2026-06-14)g?gQ?)?r?g@@)z%Y-%m-%d %H:%M:%Sz%m/%d/%Y %H:%Mz%m/%d/%Y %H:%M:%Sz%Y-%m-%d %H:%Mc Cs8tD].}zt||WSttfy0Yq0qdSN)_FMTSrstrptime ValueError TypeError)sfr(E:\soccer\forward_test_drift_momentum.py_pts#src Cs(z t|WSttfy"YdS0dSr)floatr r )xrrr_f(s rcCs8t|D]*}|dpd}|dvr|SqdS)Nftr)HDA)reversedgetupperstrip)rowsrvrrr_result+s r Fc Cstt}ttjtdD]p}t|dddN}t |D]2}|| d| d| d| df |q:Wd q1s0Yqg}| D]\\}}}} } |r|t vrqtd d | Dd d d} t| dkrqt| } | d urqg} dD]h}d|d|dd|dd|f\}}}}d }| D]\}}t| |}|d us:td|krztdksnq:|rt| |t| |}}|d us:|d us:d|krdkr:nn ||ksq:|||f}qq:|sqt|d |}t|d |}t|d |}|d us|d us|d usd|krddkshqqd }}}t| D]l\}}t| |t| |t| |}}}|d ur||d ur||d ur||||}}}qq||d usd|kr dksqq| ddkr&|dkp:| ddko:|dk}| t||||d|||||||d q| r| t| dd dq|jdd d|S)atOne bet per fixture (both-sides dedupe -> higher CLV), with entry + late pricing. entry_posedge=False (default, FROZEN forward-test rule): enter at the FIRST snapshot whose clv_kalshi is in BAND, regardless of whether the ask still clears pin_fair. entry_posedge=True (live-mirror): enter at the first in-band snapshot whose ASK is already below pin_fair (positive edge at the ask). This matches what live_monitor actually does -- it fires the first cycle it sees a qualifying, positive-edge ask -- and is still NON-look-ahead (acts on the first favorable tick, not the global min). z*.csvrutf-8newlineencodingZ game_dateleaguehomeawayNcSs>g|]6}|dpddkrt|drt|d|fqS)ZstatusrZPREZ timestamp)rrr).0rrrr Gs"z!build_signals..cSs|dS)Nrr)trrrIzbuild_signals..)key)r&r'Z clv_kalshi_Zkalshi_Z_midZ_askZ pin_fair_rrr) gdr%sideclva0p0aLpLwondriftcSs|dS)Nr2r)drrrr+mr,cSs|dS)Nr0r)r rrrr+nr,)rlistglobospathjoinLIVE_DIRopencsvZ DictReaderrappenditemsEXCLUDE_LEAGUESsortedlenr rBANDrdictmaxsort) Z entry_posedgeZfixturesr=fhrsigsr0r%r&r'rZprerZcandsr1ZclvkZmidkZaskkZpfkZentZtscavZpvZm0r3r4ZmLr5r6Zmvr7rrr build_signals2sp &     ,:62 .". rOcCs>d|krdksndS||d|}tt|dttS)Nrr/)minrI KELLY_MULT MAX_BET_PCT)par rrr_kellyrsrVg$@c Cst}d}d}t}d}d}d} |dv} |D]} |dkrD| ddkrDq(| rP| dn| d} | rd| dn| d } d| krd ksq(q(|d kr| | ksq(| d rd | | nd }|dkrt| | }|dkrq(tt||t|}nt}|||7}||7}| ||7} |d 7}|t| d 7}t||}t||||}q(t||rP||dnd|td d|r~|td|d dnd|d|r| |dnd|dS)a_One of the tracked strategies. signal : 'baseline' -> all bets, EARLY ask (a0/p0) 'momentum' -> drift>=0, LATE ask (aL/pL) 'edge' -> pin_fair>ask, LATE ask (aL/pL); positive-edge SELECTION with NO drift requirement -- isolates the edge gate. staking : 'flat' -> fixed $10 stake every bet 'kelly' -> 0.25x fractional Kelly, $1 floor, 25% cap; SKIPS zero-edge bets. Returns n, win-rate, total return %, per-bet geometric growth %, max-drawdown %, and ROI-on-turnover % (net / dollars staked).rrP)momentumedgerWr8r5r3r6r4r/rXr7gkellydr)nwrtotalgmddroiturnfinal)BANK0rVrQrI MIN_STAKE FLAT_DOLLARintrH)betssignalZstakingZbankr[wZpeakr_ZstakedZnetZlatebrUrTZunitnetZfracZstakerrrevaluateys<     rj))Zbfbaselineflatz baseline flat)ZbkrkrYzbaseline kelly)ZmfrWrlz momentum flat)ZmkrWrYzmomentum kelly)ZefrXrlz edge flatc Cs`|durt}dd|D}ttd}tD]\}}}}|rNt|||nd}|r^|dnd||d<|r~t|dd nd ||d <|rt|d d nd ||d<|rt|dd nd ||d<|rt|dd nd ||d<q2tj t  }t t dd dd>} t j| t|d} |r2| | |Wdn1sR0Y|S)zCompute forward (OOS) metrics for all four combos and append one dated row to LOG_CSV. Returns the row dict. Called by main() and by the weekly pipeline (weekly_bet_summary.py) so the log grows on schedule.NcSsg|]}|dtkr|qSr0 FREEZE_DATEr(r rrrr)r,z(log_forward_snapshot..)Zrun_dateZ freeze_dater[rZ_nr]r.rZ_totalr^Z_gr_Z_mddr`Z_roiturnrUr!r")Z fieldnames)rOrZtodayZ isoformatroCOMBOSrjroundr<r=existsLOG_CSVr@rAZ DictWriterr:keysZ writeheaderZwriterow) rLforwardrowtagsigstknmr9newrKZwrirrrlog_forward_snapshots"   "*r~c Cst}dd|D}dd|D}tdtdt|dt|d|fd|ffD]\}}td |d |sztd qTtD]r\}}}}t|||} td |d d| ddd| ddd| ddd| ddd| ddd| dddq~qTt|td ttd!tdS)"NcSsg|]}|dtkr|qSrmrnrprrrr)r,zmain..cSsg|]}|dtkr|qSrmrnrprrrr)r,z FREEZE_DATE=z in-sample n=z FORWARD n=zIN-SAMPLE (reference)z FORWARD (OOS)z --- z ---z (no fixtures yet)z Z16sz n=r[Z3dz WR=r\z4.1fz% total=r]z+7.1fz% g/bet=r^z+.4fz% MDD=r_z+6.1fz % ROIturn=r`%z logged forward snapshot (z combos) -> )rOprintrorFrrrjr~ru) rLZinsamplerwZlabelrfryrzr{r|r9rrrmains(" 0r__main__)F)N)__doc__rAr;r<Zmathrr collectionsrr?rurorGsetrDrRrSrcrbrrrr rOrVrdrjrrr~r__name__rrrrs,    @-