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Optimize rebalance threshold for low volatility

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DiTus
2025-12-21 22:49:28 +01:00
parent 73c77521d9
commit 1a12fde839
3 changed files with 183 additions and 10 deletions
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doc/CHANGELOG.md
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@ -2,6 +2,14 @@
All notable changes to this project will be documented in this file.
## [2025-12-21]
### Optimization
- **Low Volatility Optimization**:
- Introduced `BASE_REBALANCE_THRESHOLD_PCT` configuration flag in `clp_hedger.py`.
- Increased base rebalance threshold from **0.05 (5%)** to **0.08 (8%)** to reduce "churn" (excessive trading) during low volatility/sideways markets.
- This change aims to improve net profitability by ensuring that rebalancing fees are only paid when the delta imbalance is statistically significant.
## [2025-12-20]
### Added
@ -38,5 +46,5 @@ All notable changes to this project will be documented in this file.
### Configuration Changes
- **Weekend Strategy Update**:
- Updated `uniswap_manager.py`: Increased capital to $2,000 (`TARGET_INVESTMENT_VALUE_USDC`) and set a tighter range of +/- 1% (`RANGE_WIDTH_PCT = 0.01`).
- Updated `clp_hedger.py`: Lowered `MIN_THRESHOLD_ETH` to 0.008 for finer control and reduced `DYNAMIC_THRESHOLD_MULTIPLIER` to 1.2 for lower volatility environment.
- Updated `uniswap_manager.py`: Increased capital to $2,000 (`TARGET_INVESTMENT_VALUE_USDC`) and set a tighter range of +/- 1% (`RANGE_WIDTH_PCT = 0.01`).
- Updated `clp_hedger.py`: Lowered `MIN_THRESHOLD_ETH` to 0.008 for finer control and reduced `DYNAMIC_THRESHOLD_MULTIPLIER` to 1.2 for lower volatility environment.