What is it
Volatility metrics from Analyrisk models --> Used to build market making strategy --> Backtest strategy and share results.
As impermanent loss stems from volatility, the hypothesis is that a solution designed around volatility would address the issue at root and be more generalisable to different downstream strategies (in assets, appetites and horizons).
Challenges we ran into
To explore more active risk management approaches to boost strategy returns.
Accomplishments that we're proud of
Encouraging -6.5% loss from LP strategy relative to pure Hold strategy. Considering a strong directional spot market growth of +230%, which will usually result in high impermanent loss, the performance suggests that the passive risk management approach within the strategy is working well.
What we learned
Beyond modelling, it will be (1) interacting with the blockchain to acquire data, and (2) building a custom backtest system to evaluate strategy.
What's next for Analyrisk
Explore active risk management strategy.
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