This repository contains python scripts that are used by Brahma Finance to simulate the performance of the ETH Maxi DegenVault. The repo is structured as follows:
data/ folder contains the csv files related to ETHUSD price data for FTX, ETH DVOL data from Deribit and ETH 1week ATM implied volatility data.
notebooks/ folder contains the notebooks.
In terms of the python files:
- utils.py contains all the functions used to process the raw data.
- perp_utils.py contains functions to backtest perpetual based strategies.
- option_utils.py contains functions to backtest option and squeeth based strategies
In order to run the backtest for the strategy use the notebook:
- eth_maxi.ipynb runs the analysis for the backtest and strategy developed explained in the ETH Maxi Blog Post.