A fast backtester for Uniswap v3 positions.
(def pool-address "0x88e6a0c2ddd26feeb64f039a2c41296fcb3f5640")
(def token0-address "0xa0b86991c6218b36c1d19d4a2e9eb0ce3606eb48")
(def token1-address "0xc02aaa39b223fe8d0a0e5c4f27ead9083c756cc2")
(go (def pool-periods
(<! (backtester/<historic-states
"mainnet" pool-address token0-address token1-address))))
(def backtest-options {:tick-lower 193380
:tick-upper 200310
:liquidity "326453009134297"
:first-ts (:timestamp (first pool-periods))
:dilute-fees? false
:reference-price :hodl})
(def backtest-results (backtester/backtest-position
pool-periods backtest-options []))
(u/dejs (last backtest-results))
{:price1 "2800.561447581661804800445923843118",
:position-active? true,
:date 1645203600,
:apr "40.798756877089499992439067416587414203",
:accum-fees0 "166.08025426813868469377",
:fees0 "0.05728121020264660731",
:amount1 "1.013650509408661188",
:pnl "259.307971699411288081104982934500459025162314463603570623",
:liquidity "326453009134297",
:price0 "0.9999999999999999999999999999999999",
:accum-fees1 "0.06097927761789486278",
:il "-77.548496566783063288340422500588600828351985579876",
:amount0 "2656.898529",
:timestamp #inst "2022-02-18T17:00:00.000-00:00",
:fees1 "0.00001831200180145388"}Testing against the full set of open mainnet positions that meet the following criteria:
- Were minted in the last 30 days
- Only have one mint (deposit)
- Have no withdrawals
Histogram of a subset from the above set that also match the following criteria:
- Were in range 100% of the time since they were minted.
(go (def tracked-positions (<! (backtester-tester/<fetch-testing-set))))`
(take 100 tracked-positions) 20 println))))(go (def p0 (<! (<test-pos- 191651 tracked-positions))))`
(take 100 tracked-positions) 20 println))))(go (def tested-positions100 (<! (backtester-tester/<backtest-positions-chunked
(take 100 tracked-positions) 20 println))))(go (def tested-positions (<! (backtester-tester/<backtest-positions-chunked
(identity tracked-positions) 20 println))))(render-accuracy-plot tested-positions100)
(render-accuracy-histogram (filter #(bn/= (:time-in-range (:results %)) 100)
tested-positions100))Copyright © 2022 Revert Labs Inc
Distributed under the MIT License