eth_maxi_backtester

Introduction

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:

1. utils.py contains all the functions used to process the raw data.
2. perp_utils.py contains functions to backtest perpetual based strategies.
3. 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.