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v 0.1 results

Vault Robo Advisor Results

Average Run

Configuration

bounds = { 'BTC Vault_collateral_usd': (0.1, 0.3), 'ETH Vault_collateral_usd': (0.1, 0.5), 'stETH Vault_collateral_usd': (0.2, 0.3), 'Stablecoin Vault_collateral_usd': (0.0, 0.05), 'Altcoin Vault_collateral_usd': (0.0, 0.05), 'LP Vault_collateral_usd': (0.05, 0.05), 'RWA Vault_collateral_usd': (0.05, 0.05), 'PSM Vault_collateral_usd': (0.05, 0.2) }

initial strategy = { "BTC Vault_collateral_usd": 0.1, "ETH Vault_collateral_usd": 0.1999999999999995, "stETH Vault_collateral_usd": 0.3, "Stablecoin Vault_collateral_usd": 0.049999999999999496, "Altcoin Vault_collateral_usd": 0.049999999999999045, "LP Vault_collateral_usd": 0.05, "RWA Vault_collateral_usd": 0.05, "PSM Vault_collateral_usd": 0.2 }

vault_action_ranges = { 'stETH Vault_dai_ceiling': [-0.5, 0.5], 'ETH Vault_dai_ceiling': [-1, 0.5], 'BTC Vault_dai_ceiling': [-1, 0.5], 'Altcoin Vault_dai_ceiling': [-0.15,0.15], 'Stablecoin Vault_dai_ceiling': [-0.1, 0.1], 'LP Vault_dai_ceiling': [-0.1,0.1], 'RWA Vault_dai_ceiling': [0, 0], 'PSM Vault_dai_ceiling': [-1, 0.5] }

start_date = '2022-05-20'

end_date = '2024-03-20'

num_runs = 10

seeds = [5, 10, 15, 20, 40, 100, 200, 300, 500, 800]

initial_strategy_period=1

RL Average Scores

  • Cumulative Return: -19%
  • Total Value Locked (TVL): 10,629,002,211
  • Sortino Ratio: -0.22.

MVO Scores

  • Cumulative Return: -2.2%
  • TVL: $7,195,864,283
  • Sortino Ratio: -0.19

Historical Scores

  • Cumulative Return: -34%
  • TVL: 7,342,533,784
  • Sortino Ratio: -0.55

Now lets look at one run in particular

Configuration

bounds = { 'BTC Vault_collateral_usd': (0.1, 0.3), 'ETH Vault_collateral_usd': (0.1, 0.5), 'stETH Vault_collateral_usd': (0.2, 0.3), 'Stablecoin Vault_collateral_usd': (0.0, 0.05), 'Altcoin Vault_collateral_usd': (0.0, 0.05), 'LP Vault_collateral_usd': (0.05, 0.05), 'RWA Vault_collateral_usd': (0.05, 0.05), 'PSM Vault_collateral_usd': (0.05, 0.2) }

initial strategy = { "BTC Vault_collateral_usd": 0.1, "ETH Vault_collateral_usd": 0.1999999999999995, "stETH Vault_collateral_usd": 0.3, "Stablecoin Vault_collateral_usd": 0.049999999999999496, "Altcoin Vault_collateral_usd": 0.049999999999999045, "LP Vault_collateral_usd": 0.05, "RWA Vault_collateral_usd": 0.05, "PSM Vault_collateral_usd": 0.2 }

vault_action_ranges = { 'stETH Vault_dai_ceiling': [-0.5, 0.5], 'ETH Vault_dai_ceiling': [-1, 0.5], 'BTC Vault_dai_ceiling': [-1, 0.5], 'Altcoin Vault_dai_ceiling': [-0.15,0.15], 'Stablecoin Vault_dai_ceiling': [-0.1, 0.1], 'LP Vault_dai_ceiling': [-0.1,0.1], 'RWA Vault_dai_ceiling': [0, 0], 'PSM Vault_dai_ceiling': [-1, 0.5] }

start_date = '2022-05-20'

end_date = '2024-03-20'

Seed = 100

Initial Strategy Period = 1

RL Scores

  • Cumualtive Return: 22.57%
  • TVL: $12,406,271,373
  • Sortino Ratio: 0.16

historical portfolio value as of 2024-03-20:

MVO Scores

  • Cumulative Return: 14.91%
  • TVL: $7,624,769,419.51
  • Sortino Ratio: 0.04

Historical Scores

  • Cumulative Return: -34.42%
  • TVL: $7,342,533,784.81
  • Sortino Ratio: -0.55

RL Results

MVO Model Results

Historical Comparison

Comparisons

Robo Advisor Actions:

{% file src=".gitbook/assets/mvo_actions_final.csv" %}

{% file src=".gitbook/assets/rl_actions_final.csv" %}