265 lines
10 KiB
Bash
265 lines
10 KiB
Bash
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#!/bin/bash
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# Parameter sweep for finding safe/unsafe optimizer parameter boundaries
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#
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# Usage: ./analysis/run-parameter-sweep.sh [mode]
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# Modes:
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# quick - Small focused grid (~5 min)
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# standard - Medium grid (~30 min)
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# boundary - Focused on exploitation boundary (~20 min)
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#
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# Run from onchain/ directory
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set -euo pipefail
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RED='\033[0;31m'
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GREEN='\033[0;32m'
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YELLOW='\033[1;33m'
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BLUE='\033[0;34m'
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NC='\033[0m'
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MODE=${1:-standard}
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# Common: uncapped swaps for realistic exploitation testing
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UNCAPPED="true"
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MINBUY="20"
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MAXBUY="80"
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case $MODE in
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quick)
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CI="0,500000000000000000,1000000000000000000"
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AS="100000000000000000,500000000000000000,1000000000000000000"
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AW="30,50,80"
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DD="200000000000000000,1000000000000000000"
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BB="80,100"
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RUNS=3
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TRADES=20
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;;
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standard)
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CI="0,200000000000000000,500000000000000000,800000000000000000,1000000000000000000"
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AS="50000000000000000,100000000000000000,200000000000000000,500000000000000000,700000000000000000,1000000000000000000"
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AW="20,50,80"
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DD="200000000000000000,500000000000000000,1000000000000000000"
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BB="80,100"
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RUNS=5
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TRADES=30
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;;
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boundary)
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# Focused sweep around known exploitation boundary:
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# Bull (exploitable): CI=0, AS=1e18, AW=50, DD=1e18
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# Bear (mostly safe): CI=0.8e18, AS=0.2e18, AW=80+, DD=0.2e18
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# Key: anchorShare transition between 0.2 and 0.7
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CI="0,300000000000000000,500000000000000000,800000000000000000"
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AS="100000000000000000,200000000000000000,300000000000000000,400000000000000000,500000000000000000,700000000000000000,1000000000000000000"
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AW="30,50,80"
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DD="200000000000000000,500000000000000000,1000000000000000000"
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BB="80"
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RUNS=5
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TRADES=30
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;;
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*)
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echo "Unknown mode: $MODE (use: quick, standard, boundary)"
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exit 1
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;;
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esac
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echo -e "${GREEN}=== KRAIKEN Parameter Sweep ($MODE mode) ===${NC}"
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echo "Runs per combo: $RUNS | Trades per run: $TRADES"
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echo "Uncapped: $UNCAPPED | Trade range: ${MINBUY}-${MAXBUY} ETH"
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# Master results
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SUMMARY_FILE="analysis/sweep-FULL-summary.csv"
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echo "ci,anchor_share,anchor_width,discovery_depth,buy_bias,max_trader_pnl,min_trader_pnl,any_lm_loss,lm_eth_delta" > "$SUMMARY_FILE"
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# Split into small batches: one forge call per (CI, AS, AW) triple
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# Each call handles DD*BB combos to stay within gas limits
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batch=0
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total_combos=0
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start_time=$(date +%s)
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for ci_val in $(echo "$CI" | tr ',' ' '); do
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for as_val in $(echo "$AS" | tr ',' ' '); do
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for aw_val in $(echo "$AW" | tr ',' ' '); do
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batch=$((batch + 1))
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ci_pct=$(python3 -c "print(f'{int(\"$ci_val\")/1e18:.0%}')" 2>/dev/null || echo "$ci_val")
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as_pct=$(python3 -c "print(f'{int(\"$as_val\")/1e18:.1%}')" 2>/dev/null || echo "$as_val")
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echo -ne "\r${BLUE}[$batch] CI=$ci_pct AS=$as_pct AW=$aw_val${NC} "
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CI_VALUES="$ci_val" \
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AS_VALUES="$as_val" \
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AW_VALUES="$aw_val" \
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DD_VALUES="$DD" \
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BB_VALUES="$BB" \
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RUNS_PER_COMBO="$RUNS" \
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TRADES_PER_RUN="$TRADES" \
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UNCAPPED_SWAPS="$UNCAPPED" \
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MIN_BUY_ETH="$MINBUY" \
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MAX_BUY_ETH="$MAXBUY" \
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SWEEP_TAG="B${batch}" \
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forge script analysis/ParameterSweepFuzzing.s.sol:ParameterSweepFuzzing \
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--skip-simulation --gas-estimate-multiplier 300 -vv 2>&1 | grep "UNSAFE" || true
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batch_csv="analysis/sweep-B${batch}-summary.csv"
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if [ -f "$batch_csv" ]; then
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new_lines=$(tail -n +2 "$batch_csv" | wc -l)
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total_combos=$((total_combos + new_lines))
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tail -n +2 "$batch_csv" >> "$SUMMARY_FILE"
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rm "$batch_csv"
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fi
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done
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done
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done
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elapsed=$(($(date +%s) - start_time))
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echo ""
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echo ""
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echo -e "${GREEN}=== ANALYSIS ===${NC}"
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echo "Elapsed: ${elapsed}s"
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# Analyze results
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total_tested=$(tail -n +2 "$SUMMARY_FILE" | wc -l | tr -d ' ')
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unsafe_combos=$(tail -n +2 "$SUMMARY_FILE" | grep -c ',true,' || true)
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unsafe_combos=${unsafe_combos:-0}
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safe_combos=$((total_tested - unsafe_combos))
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echo "Total tested: $total_tested"
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echo -e "Safe: ${GREEN}$safe_combos${NC}"
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echo -e "Unsafe: ${RED}$unsafe_combos${NC}"
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# Generate report
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RESULTS_FILE="analysis/PARAMETER_SEARCH_RESULTS.md"
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cat > "$RESULTS_FILE" << EOF
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# KRAIKEN Parameter Search Results
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## Objective
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Find optimizer parameters where the LiquidityManager NEVER loses ETH regardless of trade sequence.
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## Methodology
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- **Mode**: $MODE
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- **Runs per parameter combination**: $RUNS
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- **Trades per run**: $TRADES
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- **Uncapped swaps**: $UNCAPPED (trades push through position boundaries)
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- **Trade size range**: ${MINBUY}-${MAXBUY} ETH (vs 100 ETH LM balance)
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- **VWAP accumulation**: Environment reused across runs per combo
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- **Buy biases tested**: $(echo $BB | tr ',' ', ')%
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- **Total combinations tested**: $total_tested
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- **Elapsed time**: ${elapsed}s
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### Parameters Searched
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| Parameter | Values | Description |
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|-----------|--------|-------------|
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| capitalInefficiency | $(python3 -c "print(', '.join(f'{int(x)/1e18:.0%}' for x in '$CI'.split(',')))" 2>/dev/null || echo "$CI") | Capital buffer (0=aggressive, 1e18=conservative) |
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| anchorShare | $(python3 -c "print(', '.join(f'{int(x)/1e18:.1%}' for x in '$AS'.split(',')))" 2>/dev/null || echo "$AS") | ETH allocation to anchor vs floor |
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| anchorWidth | $(echo $AW | tr ',' ', ') | Anchor position width (1-100) |
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| discoveryDepth | $(python3 -c "print(', '.join(f'{int(x)/1e18:.0%}' for x in '$DD'.split(',')))" 2>/dev/null || echo "$DD") | Discovery liquidity density |
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| buyBias | $(echo $BB | tr ',' ', ')% | Adversarial trade mix (80=buy-heavy, 100=buy-only) |
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### Key Metrics
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- **Trader PnL < 0**: LM gained ETH (SAFE). Trader lost money.
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- **Trader PnL > 0**: LM lost ETH (UNSAFE). Trader extracted ETH.
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## Results Summary
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- **Safe combinations**: $safe_combos / $total_tested
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- **Unsafe combinations**: $unsafe_combos / $total_tested
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EOF
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if [ "$unsafe_combos" -gt 0 ]; then
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{
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echo ""
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echo "## UNSAFE Parameters (Trader Profited = LM Lost ETH)"
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echo ""
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echo "| CI | AnchorShare | AnchorWidth | DiscoveryDepth | BuyBias | Max Trader PnL (ETH) |"
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echo "|-----|-------------|-------------|----------------|---------|----------------------|"
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while IFS=, read -r ci as aw dd bb maxpnl minpnl loss lmdelta; do
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if [[ "$loss" == "true" ]]; then
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ci_pct=$(python3 -c "print(f'{int(\"$ci\")/1e18:.0%}')" 2>/dev/null || echo "$ci")
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as_pct=$(python3 -c "print(f'{int(\"$as\")/1e18:.1%}')" 2>/dev/null || echo "$as")
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dd_pct=$(python3 -c "print(f'{int(\"$dd\")/1e18:.0%}')" 2>/dev/null || echo "$dd")
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maxpnl_eth=$(python3 -c "print(f'{int(\"$maxpnl\")/1e18:+.4f}')" 2>/dev/null || echo "$maxpnl")
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echo "| $ci_pct | $as_pct | $aw | $dd_pct | $bb | $maxpnl_eth |"
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fi
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done < <(tail -n +2 "$SUMMARY_FILE")
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} >> "$RESULTS_FILE"
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fi
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{
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echo ""
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echo "## SAFE Parameters"
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echo ""
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} >> "$RESULTS_FILE"
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if [ "$safe_combos" -gt 0 ]; then
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{
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echo "All tested parameter combinations where the LM never lost ETH:"
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echo ""
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echo "### Safe Ranges by Buy Bias"
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echo ""
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} >> "$RESULTS_FILE"
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for bb_val in $(echo "$BB" | tr ',' ' '); do
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safe_at_bb=$(tail -n +2 "$SUMMARY_FILE" | grep ",$bb_val," | grep -c ',false,' || true)
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safe_at_bb=${safe_at_bb:-0}
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total_at_bb=$(tail -n +2 "$SUMMARY_FILE" | grep -c ",$bb_val," || true)
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total_at_bb=${total_at_bb:-0}
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echo "- **BuyBias=${bb_val}%**: ${safe_at_bb}/${total_at_bb} safe" >> "$RESULTS_FILE"
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done
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{
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echo ""
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echo "### Top 20 Safest Combinations (most negative max trader PnL = hardest to exploit)"
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echo ""
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echo "| CI | AnchorShare | AnchorWidth | DiscoveryDepth | BuyBias | Max Trader PnL (ETH) |"
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echo "|-----|-------------|-------------|----------------|---------|----------------------|"
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} >> "$RESULTS_FILE"
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tail -n +2 "$SUMMARY_FILE" | grep ',false,' | sort -t, -k6 -n | head -20 | while IFS=, read -r ci as aw dd bb maxpnl minpnl loss lmdelta; do
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ci_pct=$(python3 -c "print(f'{int(\"$ci\")/1e18:.0%}')" 2>/dev/null || echo "$ci")
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as_pct=$(python3 -c "print(f'{int(\"$as\")/1e18:.1%}')" 2>/dev/null || echo "$as")
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dd_pct=$(python3 -c "print(f'{int(\"$dd\")/1e18:.0%}')" 2>/dev/null || echo "$dd")
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maxpnl_eth=$(python3 -c "print(f'{int(\"$maxpnl\")/1e18:+.4f}')" 2>/dev/null || echo "$maxpnl")
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echo "| $ci_pct | $as_pct | $aw | $dd_pct | $bb | $maxpnl_eth |"
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done >> "$RESULTS_FILE"
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else
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echo "No safe parameter combinations found." >> "$RESULTS_FILE"
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fi
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{
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echo ""
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echo "## Recommendations"
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echo ""
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} >> "$RESULTS_FILE"
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if [ "$unsafe_combos" -eq 0 ]; then
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cat >> "$RESULTS_FILE" << 'RECO'
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**All tested parameter combinations are SAFE.** The three-position strategy's asymmetric
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slippage profile effectively prevents profitable arbitrage across all tested parameters.
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RECO
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else
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cat >> "$RESULTS_FILE" << 'RECO'
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**Some parameter combinations are UNSAFE.** The exploitation boundary depends primarily on:
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1. **anchorShare**: Higher values allocate more ETH to the thin anchor position, reducing floor protection
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2. **capitalInefficiency**: Lower values (0%) make the floor position more aggressive, increasing exploit risk
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3. **anchorWidth**: Narrower widths concentrate anchor liquidity, making it cheaper to push through
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### Safe Zone
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Parameters where the trader never profited across all tested scenarios.
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### Unsafe Zone
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Parameters where at least one test run showed trader profit (= LM ETH loss).
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The exploitation pattern is: buy→recenter→sell→recenter repeated over many cycles,
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where VWAP accumulates at inflated prices and the floor gets positioned too high.
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RECO
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fi
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{
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echo ""
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echo "---"
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echo "*Generated: $(date -u +%Y-%m-%dT%H:%M:%SZ)*"
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} >> "$RESULTS_FILE"
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echo ""
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echo -e "${GREEN}Report: $RESULTS_FILE${NC}"
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echo -e "${GREEN}Data: $SUMMARY_FILE${NC}"
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