Results below were obtained by backtesting a 70-day history of ETH/USDC pool transactions.
The dots represent the swap prices. The green parallel lines represent the upper and lower bounds of the price range, and the vertical blue lines show the times when the strategy resets its ranges.
The preliminary result shows that Teahouse’s Wanhua strategy covers 83.67% of the spot price and the average width is 106.381 ticks. The coefficient of profitability is 0.00786540918, which is 20x better than passive strategies.
The result opens new horizons for active liquidity provision strategies. In the future, one may utilize reinforced learning to better predict the spot price, and leverage 10x with Perpetual Protocol v2 to maximize yields.