Wilhelmus is a Go command line tool for backtesting DeFi investment strategies.
In particular, the tool currently implements backtesting for hold positions, for Uniswap v2 liquidity positions, and for Autonomy Network powered AutoHedge positions.
Simply clone the repository and build the Go binary.
git clone https://github.com/optakt/wilhelmus.git
go build
The binary can output the following help message using ./wilhelmus --help:
Usage of ./wilhelmus:
--add-gas float gas cost for adding liquidity (default 130682)
--approve-gas float gas cost for transfer approval (default 24102)
--borrow-gas float gas cost for borrowing asset (default 295250)
--borrow-rate float interest rate for borrowing asset (default 0.025)
--claim-gas float gas cost to claim back loan (default 333793)
--close-gas float gas cost for close liquidity position (default 207111)
-e, --end-time string end timestamp for the backtest (default "2022-10-07T23:59:59Z")
--flash-gas float gas cost for flash loan (default 204493)
--flash-rate float fee rate for flash loan (default 0.0009)
-g, --gas-prices string CSV file for average gas price per day (default "gas-prices.csv")
--increase-gas float gas cost for increasing debt (default 271980)
-a, --influx-api string InfluxDB API URL (default "https://eu-central-1-1.aws.cloud2.influxdata.com")
--influx-bucket-positions string InfluxDB bucket for position values (default "positions")
--influx-bucket-uniswap string InfluxDB bucket name for Uniswap metrics (default "uniswap")
-o, --influx-org string InfluxDB organization name (default "optakt")
-u, --influx-timeout duration InfluxDB query HTTP request timeout (default 15m0s)
-t, --influx-token string InfluxDB authentication token (default "3Lq2o0e6-NmfpXK_UQbPqknKgQUbALMdNz86Ojhpm6dXGqGnCuEYGZijTMGhP82uxLfoWiWZRS2Vls0n4dZAjQ==")
-i, --input-value uint stable coin input amount (default 1000000)
--lend-gas float gas cost for lending asset (default 217479)
--lend-rate float interest rate for lending asset (default 0.005)
-l, --log-level string Zerolog logger logging message severity (default "info")
--provide-gas float gas cost for creating liquidity position (default 157880)
-r, --rehedge-ratio float ratio between debt and collateral at which we rehedge (default 0.01)
--remove-gas float gas cost to remove liquidity (default 161841)
--repay-gas float gas cost to repay full debt (default 188929)
-s, --start-time string start timestamp for the backtest (default "2021-10-07T00:00:00Z")
--swap-gas float gas cost for asset swap (default 181133)
--swap-rate float fee rate for asset swap (default 0.003)
--unborrow-gas float gas cost for reducing debt (default 193729)
-w, --write-results whether to write the results back to InfluxDB
The tool relies on Uniswap v2 metrics from a InfluxDB bucket.
In order to collect the necessary metrics on a Uniswap v2 tool, you can use Klangbaach, the companion tool: