Code written based on this research report
steps:
- choose h and l
- calculate sigma, and price range of liquidity position will be 1-sigmal, 1+sigmah
- Calculating how to allocate funds in a portfolio.
- Supply usdc to aave
- borrow eth
- add liquidity.
- if net value has changed to 98% or price if out of position price range, adjust the portfolio
performance
| item | value |
|---|---|
| Start period | 2024-03-01 00:00:00 |
| End period | 2024-10-16 23:00:00 |
| Duration | 230 days 00:00:00 |
| Return | 332.10468 |
| Rate of Return | 0.033212 |
| APR | 0.053217 |
| Max Draw Down | 0.036655 |
| Sharpe Ratio | 0.351987 |
| Volatility | 0.06596 |
| Alpha | 0.073625 |
| Beta | 0.063675 |
| Benchmark return rate | -0.216111 |
| Benchmark APR | -0.320504 |
