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DeltaNeutralData

Uniswap V2: Backtesting Liquidity pools

Dependencies:

  • node v17.9
  • npm v8.5.5
  • Python v3.10
  • axios
  • pandas
  • numpy

How to use:

Run the following command from this repos directory:

python3 backtest.py top days LP_rate B_rate S_rate

Where:

  • top = number of top pairs
  • days = number of days to backtest
  • LP_rate = Liquidity pool fee rate
  • B_rate = Borrow rate for shorting volatile token
  • S_rate = Staking rate for stablecoin

Output:

  1. Data (folder): contains csv tables with pairDayData (reserveUSD, dailyVolumeUSD, etc.) for a given pair, csv tables names are each pairs' pairAddress.

  2. topPairs.csv: contains the outout of topPairs.js. top n pairs ordered by reserveUSD descending and contains the final product of the backtest running n days.

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Contributors

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