This is a working doc to test various scenarious and the impact of extreme price movements + various paramaters on strategy
model.py contains underlying logic for simulation including while simulation.iypnb can be used to simulate various scenarious such as
- simulating AMM price movements for given randomly generated trades with varying degrees of volatility
- tracking performance of LP vs holding for extreme price movements
- tracking vault performance using robovault strategy with given return paramaters
- tracking fees for LP for given trades over period
- tracking IL for given price movements
- varying paramaters for robovault strategy to measure return
to illustrate upside / risk of various strategies + mechanics of robo vault stragey some examples have been included in the jupyter notebook.
Feel free to adjust anything and test various scenarious!
Some future changes to include
- varying slippage on rebalancing based on AMM + showing it's impact
- showing impact of varying rebalancing thresholds under different market conditions (i.e. narrow range outperform in one directional market while wider thresholds likely to perform better in mean reverting market)
- add links to actual price data for various pairs from cctx