Skip to content

STRESS_TESTING.md

Latest commit

 

History

History
35 lines (25 loc) · 2.91 KB

STRESS_TESTING.md

File metadata and controls

35 lines (25 loc) · 2.91 KB
Raw

Stress Testing — Named Historical Scenarios (#351)

Caveat (shipped with every response): Scenarios apply a fixed, historically-calibrated shock to your current holdings. They are not predictions and do not model correlations between shocks or your own or others' reactions.

Built-in scenarios (6, each with provenance)

id label shocks recoveryDays provenance
stablecoin_depeg_2022 2022 Stablecoin De-peg assetPriceShockPct: {USD_STABLECOIN:-8} 45 Terra UST May 2022 + USDC Mar 2023 de-peg ~8% (Luna Foundation Guard, Circle)
yield_collapse DeFi Yield Collapse apyShockPct:-60, incentiveApyToZero:true 90 DeFi Summer 2021 → Bear 2022 supply APYs -60% (DeFi Llama)
protocol_exploit Protocol Exploit Haircut protocolLossPct: Blend/Luma/Stellar DEX 30% 30 Wormhole Feb 2022 $325m, Nomad Aug 2022 avg 30% haircut
liquidity_crunch Liquidity Crunch (2023) assetPrice -2% stable, apy -40% 60 2023 US banking stress (SVB) 2% stable dislocation, yields -40% (Fed, DeFi Llama)
rate_spike Rate Spike Opportunity apy +50% 30 Fed Funds 2022-2023 0.25%→5.25% (Fed H.15)
bear_market_2022 Broad Bear Market asset -5% stable/-15% XLM, apy -30%, protocolLoss 5% 180 BTC -65%, DeFi TVL -75% 2022 (CoinGecko)

Asset keys matched by predicate: USD_STABLECOIN/STABLECOIN matches USDC|USDT|DAI|USD* case-insensitive; XLM matches XLM; else exact symbol case-insensitive. Response lists which positions each shock hit.

Model

  • Order fixed: protocolLoss (principal) → assetPriceShock → apyShock/incentiveApyToZero (forward yield only). Overlapping shocks on one position compound in that order.
  • Incentive fallback: incentiveApyToZero with incentiveApy==null assumes 15% share (apy*0.85) and sets assumedIncentiveShare:true + caveat.
  • Recovery: dailyYield = postValue * (postYield%/100)/365. modeledRecoveryDays = ceil(|impact|/dailyYield). If postYield ≤0 → null + permanentImpairment:true. Linear path documented; recoveryDays is assumption for time-to-recover.
  • Degenerate: empty ACTIVE positions → null with reason:"no active positions". Never fake 0 impact.
  • Bounds: custom |price|≤90, apyShock≥-100, 0≤protocolLoss≤90, 1≤recoveryDays≤365; rejected 400.
  • Determinism: pure applyScenario(portfolio, scenario, asOf) — no wall-clock; asOf snapshot in result.

API

  • GET /api/v1/analytics/stress/scenarios → {scenarios, caveat} owner-scoped.
  • POST /api/v1/analytics/stress body {scenarioId} or {custom:{shocks}} + runAll?:boolean, asOf?:ISO → single result or runAll ranked by impactPct (most negative first). Always caveat field.

Limits

  • O(positions) compute, rate-limited like other analytics reads.
  • No correlation/second-order modeling, no optimizer integration, no auto-derisking.