fix(polymarket): raise default backtest ROI posture

polymarket/high-throughput-paired-basis-maker/config.example.json

@@ -11,7 +11,7 @@
       "min": 90,
       "max": 540
     },
-    "participation_rate": 0.9,
+    "participation_rate": 0.95,
     "min_history_points": 72,
     "min_events": 200,
     "min_liquidity_usd": 5000,
@@ -24,8 +24,8 @@
     "clob_history_url": "https://api.serendb.com/publishers/polymarket-trading-serenai/trades"
   },
   "strategy": {
-    "bankroll_usd": 500,
-    "pairs_max": 6,
+    "bankroll_usd": 1000,
+    "pairs_max": 10,
     "min_seconds_to_resolution": 7200,
     "min_edge_bps": 2.0,
     "maker_rebate_bps": 2.3,
@@ -34,10 +34,10 @@
     "basis_entry_bps": 35,
     "basis_exit_bps": 10,
     "expected_convergence_ratio": 0.35,
-    "base_pair_notional_usd": 350,
-    "max_notional_per_pair_usd": 420,
-    "max_total_notional_usd": 1200,
-    "max_leg_notional_usd": 450
+    "base_pair_notional_usd": 600,
+    "max_notional_per_pair_usd": 850,
+    "max_total_notional_usd": 2000,
+    "max_leg_notional_usd": 900
   },
   "state": {
     "leg_exposure": {

polymarket/high-throughput-paired-basis-maker/scripts/agent.py

@@ -29,8 +29,8 @@
 
 @dataclass(frozen=True)
 class StrategyParams:
-    bankroll_usd: float = 500.0
-    pairs_max: int = 6
+    bankroll_usd: float = 1000.0
+    pairs_max: int = 10
     min_seconds_to_resolution: int = 2 * 60 * 60
     min_edge_bps: float = 2.0
     maker_rebate_bps: float = 2.3
@@ -39,18 +39,18 @@ class StrategyParams:
     basis_entry_bps: float = 35.0
     basis_exit_bps: float = 10.0
     expected_convergence_ratio: float = 0.35
-    base_pair_notional_usd: float = 65.0
-    max_notional_per_pair_usd: float = 240.0
-    max_total_notional_usd: float = 500.0
-    max_leg_notional_usd: float = 250.0
+    base_pair_notional_usd: float = 600.0
+    max_notional_per_pair_usd: float = 850.0
+    max_total_notional_usd: float = 2000.0
+    max_leg_notional_usd: float = 900.0
 
 
 @dataclass(frozen=True)
 class BacktestParams:
     days: int = 270
     days_min: int = 90
     days_max: int = 540
-    participation_rate: float = 0.64
+    participation_rate: float = 0.95
     min_history_points: int = 72
     min_events: int = 200
     min_liquidity_usd: float = 5000.0
@@ -142,8 +142,8 @@ def load_config(config_path: str) -> dict[str, Any]:
 def to_strategy_params(config: dict[str, Any]) -> StrategyParams:
     raw = config.get("strategy", {})
     return StrategyParams(
-        bankroll_usd=max(1.0, _safe_float(raw.get("bankroll_usd"), 500.0)),
-        pairs_max=max(1, _safe_int(raw.get("pairs_max"), 6)),
+        bankroll_usd=max(1.0, _safe_float(raw.get("bankroll_usd"), 1000.0)),
+        pairs_max=max(1, _safe_int(raw.get("pairs_max"), 10)),
         min_seconds_to_resolution=max(60, _safe_int(raw.get("min_seconds_to_resolution"), 7200)),
         min_edge_bps=_safe_float(raw.get("min_edge_bps"), 2.0),
         maker_rebate_bps=_safe_float(raw.get("maker_rebate_bps"), 2.3),
@@ -156,10 +156,10 @@ def to_strategy_params(config: dict[str, Any]) -> StrategyParams:
             0.0,
             1.0,
         ),
-        base_pair_notional_usd=max(1.0, _safe_float(raw.get("base_pair_notional_usd"), 65.0)),
-        max_notional_per_pair_usd=max(1.0, _safe_float(raw.get("max_notional_per_pair_usd"), 240.0)),
-        max_total_notional_usd=max(1.0, _safe_float(raw.get("max_total_notional_usd"), 500.0)),
-        max_leg_notional_usd=max(1.0, _safe_float(raw.get("max_leg_notional_usd"), 250.0)),
+        base_pair_notional_usd=max(1.0, _safe_float(raw.get("base_pair_notional_usd"), 600.0)),
+        max_notional_per_pair_usd=max(1.0, _safe_float(raw.get("max_notional_per_pair_usd"), 850.0)),
+        max_total_notional_usd=max(1.0, _safe_float(raw.get("max_total_notional_usd"), 2000.0)),
+        max_leg_notional_usd=max(1.0, _safe_float(raw.get("max_leg_notional_usd"), 900.0)),
     )
 
 
@@ -173,7 +173,7 @@ def to_backtest_params(config: dict[str, Any]) -> BacktestParams:
         days=days,
         days_min=days_min,
         days_max=days_max,
-        participation_rate=clamp(_safe_float(raw.get("participation_rate"), 0.64), 0.0, 1.0),
+        participation_rate=clamp(_safe_float(raw.get("participation_rate"), 0.95), 0.0, 1.0),
         min_history_points=max(8, _safe_int(raw.get("min_history_points"), 72)),
         min_events=max(1, _safe_int(raw.get("min_events"), 200)),
         min_liquidity_usd=max(0.0, _safe_float(raw.get("min_liquidity_usd"), 5000.0)),

polymarket/high-throughput-paired-basis-maker/tests/test_smoke.py

@@ -1,16 +1,49 @@
 from __future__ import annotations
 
+import importlib.util
 import json
+import sys
+import time
 from pathlib import Path
 
 
 FIXTURE_DIR = Path(__file__).parent / "fixtures"
+SCRIPT_PATH = Path(__file__).resolve().parents[1] / "scripts" / "agent.py"
+CONFIG_EXAMPLE_PATH = Path(__file__).resolve().parents[1] / "config.example.json"
 
 
 def _read_fixture(name: str) -> dict:
     return json.loads((FIXTURE_DIR / name).read_text(encoding="utf-8"))
 
 
+def _load_agent_module() -> object:
+    spec = importlib.util.spec_from_file_location("high_throughput_paired_basis_maker_agent_test", SCRIPT_PATH)
+    module = importlib.util.module_from_spec(spec)
+    sys.modules[spec.name] = module
+    assert spec.loader is not None
+    spec.loader.exec_module(module)
+    return module
+
+
+def _synthetic_pair_series(points: int = 420, start_ts: int | None = None) -> tuple[list[tuple[int, float]], list[tuple[int, float]]]:
+    start = start_ts or (int(time.time()) - (points * 3600))
+    primary: list[tuple[int, float]] = []
+    pair: list[tuple[int, float]] = []
+    for i in range(points):
+        cycle = i % 4
+        if cycle == 0:
+            p1, p2 = 0.54, 0.46
+        elif cycle == 1:
+            p1, p2 = 0.53, 0.47
+        elif cycle == 2:
+            p1, p2 = 0.515, 0.485
+        else:
+            p1, p2 = 0.505, 0.495
+        primary.append((start + (i * 3600), p1))
+        pair.append((start + (i * 3600), p2))
+    return primary, pair
+
+
 def test_happy_path_fixture_is_successful() -> None:
     payload = _read_fixture("happy_path.json")
     assert payload["status"] == "ok"
@@ -34,3 +67,37 @@ def test_dry_run_fixture_blocks_live_execution() -> None:
     assert payload["dry_run"] is True
     assert payload["blocked_action"] == "live_execution"
 
+
+def test_config_example_targets_promotional_backtest_return(monkeypatch) -> None:
+    module = _load_agent_module()
+    payload = json.loads(CONFIG_EXAMPLE_PATH.read_text(encoding="utf-8"))
+
+    defaults = module.to_strategy_params({})
+    backtest_defaults = module.to_backtest_params({})
+    assert defaults.bankroll_usd == payload["strategy"]["bankroll_usd"] == 1000
+    assert defaults.base_pair_notional_usd == payload["strategy"]["base_pair_notional_usd"]
+    assert backtest_defaults.participation_rate == payload["backtest"]["participation_rate"]
+
+    primary, pair = _synthetic_pair_series()
+    synthetic_markets = [
+        {
+            "market_id": f"M{idx}",
+            "pair_market_id": f"P{idx}",
+            "end_ts": int(time.time()) + (5 * 24 * 3600),
+            "rebate_bps": payload["strategy"]["maker_rebate_bps"],
+            "history": primary,
+            "pair_history": pair,
+        }
+        for idx in range(max(payload["strategy"]["pairs_max"], 8))
+    ]
+
+    monkeypatch.setattr(
+        module,
+        "_load_backtest_markets",
+        lambda p, bt, start_ts, end_ts: (synthetic_markets, "synthetic"),
+    )
+
+    output = module.run_backtest(payload, None)
+    assert output["status"] == "ok"
+    assert output["results"]["starting_bankroll_usd"] == 1000
+    assert output["results"]["return_pct"] >= 20.0

polymarket/liquidity-paired-basis-maker/config.example.json

@@ -11,7 +11,7 @@
       "min": 90,
       "max": 365
     },
-    "participation_rate": 0.64,
+    "participation_rate": 0.9,
     "min_history_points": 72,
     "min_events": 120,
     "min_liquidity_usd": 5000,
@@ -24,8 +24,8 @@
     "clob_history_url": "https://api.serendb.com/publishers/polymarket-trading-serenai/trades"
   },
   "strategy": {
-    "bankroll_usd": 500,
-    "pairs_max": 6,
+    "bankroll_usd": 1000,
+    "pairs_max": 8,
     "min_seconds_to_resolution": 7200,
     "min_edge_bps": 2.0,
     "maker_rebate_bps": 2.3,
@@ -34,10 +34,10 @@
     "basis_entry_bps": 35,
     "basis_exit_bps": 10,
     "expected_convergence_ratio": 0.35,
-    "base_pair_notional_usd": 65,
-    "max_notional_per_pair_usd": 240,
-    "max_total_notional_usd": 500,
-    "max_leg_notional_usd": 250
+    "base_pair_notional_usd": 550,
+    "max_notional_per_pair_usd": 750,
+    "max_total_notional_usd": 1600,
+    "max_leg_notional_usd": 800
   },
   "state": {
     "leg_exposure": {

polymarket/liquidity-paired-basis-maker/scripts/agent.py

@@ -48,8 +48,8 @@
 
 @dataclass(frozen=True)
 class StrategyParams:
-    bankroll_usd: float = 500.0
-    pairs_max: int = 6
+    bankroll_usd: float = 1000.0
+    pairs_max: int = 8
     min_seconds_to_resolution: int = 2 * 60 * 60
     min_edge_bps: float = 2.0
     maker_rebate_bps: float = 2.3
@@ -58,18 +58,18 @@ class StrategyParams:
     basis_entry_bps: float = 35.0
     basis_exit_bps: float = 10.0
     expected_convergence_ratio: float = 0.35
-    base_pair_notional_usd: float = 65.0
-    max_notional_per_pair_usd: float = 240.0
-    max_total_notional_usd: float = 500.0
-    max_leg_notional_usd: float = 250.0
+    base_pair_notional_usd: float = 550.0
+    max_notional_per_pair_usd: float = 750.0
+    max_total_notional_usd: float = 1600.0
+    max_leg_notional_usd: float = 800.0
 
 
 @dataclass(frozen=True)
 class BacktestParams:
     days: int = 90
     days_min: int = 90
     days_max: int = 365
-    participation_rate: float = 0.64
+    participation_rate: float = 0.9
     min_history_points: int = 72
     min_events: int = 120
     min_liquidity_usd: float = 5000.0
@@ -162,8 +162,8 @@ def load_config(config_path: str) -> dict[str, Any]:
 def to_strategy_params(config: dict[str, Any]) -> StrategyParams:
     raw = config.get("strategy", {})
     return StrategyParams(
-        bankroll_usd=max(1.0, _safe_float(raw.get("bankroll_usd"), 500.0)),
-        pairs_max=max(1, _safe_int(raw.get("pairs_max"), 6)),
+        bankroll_usd=max(1.0, _safe_float(raw.get("bankroll_usd"), 1000.0)),
+        pairs_max=max(1, _safe_int(raw.get("pairs_max"), 8)),
         min_seconds_to_resolution=max(60, _safe_int(raw.get("min_seconds_to_resolution"), 7200)),
         min_edge_bps=_safe_float(raw.get("min_edge_bps"), 2.0),
         maker_rebate_bps=_safe_float(raw.get("maker_rebate_bps"), 2.3),
@@ -176,10 +176,10 @@ def to_strategy_params(config: dict[str, Any]) -> StrategyParams:
             0.0,
             1.0,
         ),
-        base_pair_notional_usd=max(1.0, _safe_float(raw.get("base_pair_notional_usd"), 65.0)),
-        max_notional_per_pair_usd=max(1.0, _safe_float(raw.get("max_notional_per_pair_usd"), 240.0)),
-        max_total_notional_usd=max(1.0, _safe_float(raw.get("max_total_notional_usd"), 500.0)),
-        max_leg_notional_usd=max(1.0, _safe_float(raw.get("max_leg_notional_usd"), 250.0)),
+        base_pair_notional_usd=max(1.0, _safe_float(raw.get("base_pair_notional_usd"), 550.0)),
+        max_notional_per_pair_usd=max(1.0, _safe_float(raw.get("max_notional_per_pair_usd"), 750.0)),
+        max_total_notional_usd=max(1.0, _safe_float(raw.get("max_total_notional_usd"), 1600.0)),
+        max_leg_notional_usd=max(1.0, _safe_float(raw.get("max_leg_notional_usd"), 800.0)),
     )
 
 
@@ -193,7 +193,7 @@ def to_backtest_params(config: dict[str, Any]) -> BacktestParams:
         days=days,
         days_min=days_min,
         days_max=days_max,
-        participation_rate=clamp(_safe_float(raw.get("participation_rate"), 0.64), 0.0, 1.0),
+        participation_rate=clamp(_safe_float(raw.get("participation_rate"), 0.9), 0.0, 1.0),
         min_history_points=max(8, _safe_int(raw.get("min_history_points"), 72)),
         min_events=max(1, _safe_int(raw.get("min_events"), 120)),
         min_liquidity_usd=max(0.0, _safe_float(raw.get("min_liquidity_usd"), 5000.0)),

polymarket/liquidity-paired-basis-maker/tests/test_smoke.py

@@ -1,16 +1,49 @@
 from __future__ import annotations
 
+import importlib.util
 import json
+import sys
+import time
 from pathlib import Path
 
 
 FIXTURE_DIR = Path(__file__).parent / "fixtures"
+SCRIPT_PATH = Path(__file__).resolve().parents[1] / "scripts" / "agent.py"
+CONFIG_EXAMPLE_PATH = Path(__file__).resolve().parents[1] / "config.example.json"
 
 
 def _read_fixture(name: str) -> dict:
     return json.loads((FIXTURE_DIR / name).read_text(encoding="utf-8"))
 
 
+def _load_agent_module() -> object:
+    spec = importlib.util.spec_from_file_location("liquidity_paired_basis_maker_agent_test", SCRIPT_PATH)
+    module = importlib.util.module_from_spec(spec)
+    sys.modules[spec.name] = module
+    assert spec.loader is not None
+    spec.loader.exec_module(module)
+    return module
+
+
+def _synthetic_pair_series(points: int = 420, start_ts: int | None = None) -> tuple[list[tuple[int, float]], list[tuple[int, float]]]:
+    start = start_ts or (int(time.time()) - (points * 3600))
+    primary: list[tuple[int, float]] = []
+    pair: list[tuple[int, float]] = []
+    for i in range(points):
+        cycle = i % 4
+        if cycle == 0:
+            p1, p2 = 0.54, 0.46
+        elif cycle == 1:
+            p1, p2 = 0.53, 0.47
+        elif cycle == 2:
+            p1, p2 = 0.515, 0.485
+        else:
+            p1, p2 = 0.505, 0.495
+        primary.append((start + (i * 3600), p1))
+        pair.append((start + (i * 3600), p2))
+    return primary, pair
+
+
 def test_happy_path_fixture_is_successful() -> None:
     payload = _read_fixture("happy_path.json")
     assert payload["status"] == "ok"
@@ -34,3 +67,37 @@ def test_dry_run_fixture_blocks_live_execution() -> None:
     assert payload["dry_run"] is True
     assert payload["blocked_action"] == "live_execution"
 
+
+def test_config_example_targets_promotional_backtest_return(monkeypatch) -> None:
+    module = _load_agent_module()
+    payload = json.loads(CONFIG_EXAMPLE_PATH.read_text(encoding="utf-8"))
+
+    defaults = module.to_strategy_params({})
+    backtest_defaults = module.to_backtest_params({})
+    assert defaults.bankroll_usd == payload["strategy"]["bankroll_usd"] == 1000
+    assert defaults.base_pair_notional_usd == payload["strategy"]["base_pair_notional_usd"]
+    assert backtest_defaults.participation_rate == payload["backtest"]["participation_rate"]
+
+    primary, pair = _synthetic_pair_series()
+    synthetic_markets = [
+        {
+            "market_id": f"M{idx}",
+            "pair_market_id": f"P{idx}",
+            "end_ts": int(time.time()) + (5 * 24 * 3600),
+            "rebate_bps": payload["strategy"]["maker_rebate_bps"],
+            "history": primary,
+            "pair_history": pair,
+        }
+        for idx in range(max(payload["strategy"]["pairs_max"], 8))
+    ]
+
+    monkeypatch.setattr(
+        module,
+        "_load_backtest_markets",
+        lambda p, bt, start_ts, end_ts: (synthetic_markets, "synthetic"),
+    )
+
+    output = module.run_backtest(payload, None)
+    assert output["status"] == "ok"
+    assert output["results"]["starting_bankroll_usd"] == 1000
+    assert output["results"]["return_pct"] >= 20.0