sigma_arb_probe/
sigma_arb_probe.rs

1//! Probe: does the optimizer find a positive-EV σ-only trade when the
2//! belief and market μ are close but the belief σ is tighter?
3//!
4//! Driven by the live CPI mainnet numbers (2026-05-14):
5//!   belief : μ=4.3274 σ=0.2143 (cpi_decomposition_v3 against live FRED)
6//!   market : μ=4.2900 σ=0.3500 (mainnet AMM via Cartridge RPC)
7//!   k_eff  : 75.07 (live, via fly.dev indexer)
8
9use deadeye_optimizer::{NormalOptimizationInput, optimize_normal_trade};
10
11fn main() {
12    let cases: &[(&str, f64, f64, f64, f64, f64, f64)] = &[
13        // (label, mu_b, sigma_b, mu_m, sigma_m, k_eff, budget)
14        ("live-CPI-2026-05-14",        4.3274, 0.2143, 4.2900, 0.3500, 75.07, 50.0),
15        ("μ-only arb HUGE budget",     4.5000, 0.3500, 4.2900, 0.3500, 75.07, 1e9),
16        ("σ-only HUGE budget",         4.2900, 0.2143, 4.2900, 0.3500, 75.07, 1e9),
17        ("classic README scenario",    2.4700, 0.1581, 2.1000, 0.2000, 50.00, 50.0),
18        ("scenario w/ low k",          4.5000, 0.3500, 4.2900, 0.3500,  1.00, 50.0),
19        ("CPI shape unequal-σ",        4.3274, 0.2143, 2.1000, 0.3500, 75.07, 50.0),
20        ("CPI σ + low-μ market",       4.3274, 0.2143, 0.1000, 0.3500, 75.07, 50.0),
21        ("README+CPI-μ μ-only",        2.4700, 0.2000, 2.1000, 0.2000, 50.00, 50.0),
22    ];
23
24    println!(
25        "{:<26} {:>9} {:>9} {:>9} {:>9} {:>11} {:>10} {:>9} {:>9} {:>9} {:>9}",
26        "case", "μ_b", "σ_b", "μ_m", "σ_m", "k_eff", "budget", "μ_g*", "σ_g*", "coll", "EV"
27    );
28    println!("{}", "─".repeat(132));
29
30    for (label, mu_b, sigma_b, mu_m, sigma_m, k, budget) in cases.iter().copied() {
31        let r = optimize_normal_trade(NormalOptimizationInput::new(
32            budget, mu_b, sigma_b, mu_m, sigma_m, k,
33        ));
34        println!(
35            "{label:<26} {mu_b:>9.4} {sigma_b:>9.4} {mu_m:>9.4} {sigma_m:>9.4} {k:>11.4} \
36             {budget:>10.2} {:>9.4} {:>9.4} {:>9.4} {:>9.4}",
37            r.optimized_mean,
38            r.optimized_sigma,
39            r.collateral_required,
40            r.expected_value,
41        );
42    }
43}
sigma_arb_probe/sigma_arb_probe.rs

sigma_arb_probe/
sigma_arb_probe.rs
