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revert-backtester

A fast backtester for Uniswap v3 positions.

Using the backtester on a browser-connected REPL

(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 the backtester against a set of relevant open positions

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

scatterplot-full png

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.

histogram-full

Replicating tests on a browser-connected repl

get the full testing set
(go (def tracked-positions (<! (backtester-tester/<fetch-testing-set))))`
                                    (take 100 tracked-positions) 20 println))))
backrtest a specific position
(go (def p0 (<! (<test-pos- 191651 tracked-positions))))`
                                    (take 100 tracked-positions) 20 println))))
test the first 100 positions of the testing set (this will take a minute)
(go (def tested-positions100 (<! (backtester-tester/<backtest-positions-chunked
                                    (take 100 tracked-positions) 20 println))))
test the full testing set (this will take a few minutes)
(go (def tested-positions (<! (backtester-tester/<backtest-positions-chunked
                                 (identity tracked-positions) 20 println))))
render accuarcy plot
(render-accuracy-plot tested-positions100)
render accuracy histogram for position 100% time in range
(render-accuracy-histogram (filter #(bn/= (:time-in-range (:results %)) 100)
                                     tested-positions100))

License

Copyright © 2022 Revert Labs Inc

Distributed under the MIT License