Analysis journal #64
Analysis journal #64
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| To validate our strategies, we need to be able to simulate them. | ||
| This is done by creating a simulation environment that can be used to run the strategies and log the results. | ||
| Once they are simulated, we can analyze the results to see how well the strategies performed. | ||
| Simulation and analysis work together in tandem via the scientific method. |
| These are metrics that should be able to be tested across any strategy. | ||
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| ### Raw contract-level performance metrics: | ||
| - Gas costs for swaps, LP, maintenance. |
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What is maintenance referring too here?
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Maintaining a target vol, for example. It will cost the LPs some to reweight the pool so we should track this.
| - Sharpe ratio | ||
| - Volatility compared to external market | ||
| - Max drawdown compared to external market | ||
| - High water mark compared to external market |
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I like these, do you remember the one matt kept showing us the graph of on the aera vaults?
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No but I'm sure he can share: @kinrezC
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we should just do all of the graphs from the aera vaults and then some 😛
| - Low to no dependence on the drift parameter | ||
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| **Testing:** | ||
| - Generate a GBM with sweeps: |
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How fast can we have this one done
| - Run for 50 random paths for each parameter. | ||
| - Run each path for 100,000 steps over the course of 5 years. | ||
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| #### Variable Volatility |
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You and @kinrezC should cook on these
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| ### Performance Metrics | ||
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| #### Reweighting Speed |
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Same here i am curious about these results
Closes #62