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config.ini
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config.ini
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################################################################
# BROWNIAN SIMULATIONS SECTION #
################################################################
# Modify this section if you want to run a simulation based #
# on averaged random price paths under geometric brownian #
# motion for an automated leveraged vault. #
################################################################
[Brownian simulation parameters]
# Initial amount of collateral in portfolio
INITIAL_PORTFOLIO = 100
# Initial collateralization ratio of leveraged vault (in %)
INITIAL_COLLATERALIZATION = 200
# Vault settings
MIN_RATIO = 0
# Automation settings for the position (in %)
REPAY_FROM = 155
REPAY_TO = 160
BOOST_FROM = 175
BOOST_TO = 155
# Service fee of automation (in %)
SERVICE_FEE = 0
# Average gas price when rebalancing in gwei
GAS_PRICE = 0
# Number of paths to average over
N_PATHS = 100
# Annualized volatility assumed (in %/100)
VOLATILITY = 1.1
# Initial price of the collateral asset denominated
# in the debt asset
INITIAL_PRICE = 3000
# Annualized drift
# This is the natural log of the expected yearly
# growth in a probabilistic sense.
# For example if you believe the collateral asset
# grows on average 10x per year, you should use a
# value of drift of log(10) = 2.3
DRIFT = 3
# USE THIS INSTEAD OF DRIFT IF BOUNDED BROWNIAN
END_PRICE = 6000
# Time horizon of the simulation (in years)
TIME_HORIZON = 0.25
# Time step size of the simulation (in years)
# Set to 1 hour here.
TIME_STEP_SIZE = 0.000019026
################################################################
# CONTINUOUS OPTIMIZATION SECTION #
################################################################
# Modify this section if you want to find the optimal #
# leverage ratio for a perfectly continuous constant #
# leverage strategy. #
################################################################
[Continuous limit optimization parameters]
# Underlying return in multiple of initial price
UNDERLYING_RETURN = 1.66
# Time period in years
TIME_PERIOD = 0.25
# Annualized volatility during time period
VOLATILITY = 0.9
################################################################
# AUTOMATION OPTIMIZATION SECTION #
################################################################
# Modify this section if you want to find the optimal #
# settings for a leveraged vault on DeFi Saver. #
################################################################
[Automated vault optimization]
# Initial amount of ETH in the portfolio
INITIAL_PORTFOLIO = 100
# Liquidation ratio
MIN_RATIO = 145
# Service fee of boost and repay in %
SERVICE_FEE = 0.3
# Average expected gas price in gwei
GAS_PRICE = 100
# Annualized volatility
VOLATILITY = 0.9
# Start price
START_PRICE = 3600
# End price
END_PRICE = 6000
# Time horizon in years
TIME_HORIZON = 0.25