CLP Strategy & Configuration Log

This document tracks different configuration approaches for the Uniswap V3 CLP Hedger, their specific settings, and the observed results. Use this to refine the strategy over time.

1. Low Volatility / Weekend Optimization (Narrow Range)

Date: 2025-12-23 Status: Active Objective: Optimize for stable market conditions with a narrow trading range to maximize fee collection while maintaining tight delta neutrality.

🔍 Context

Market Condition: Low Volatility / Weekend / Chop
Capital: $2,000 USDC
Range: +/- 1% (Narrow)

⚙️ Configuration

uniswap_manager.py

RANGE_WIDTH_PCT: 0.01 (+/- 1%)
INITIAL_HEDGE_CAPITAL_USDC: 2000
SLIPPAGE_TOLERANCE: 0.02 (2%)

clp_hedger.py

PRICE_BUFFER_PCT: 0.0015 (0.15%)
MIN_THRESHOLD_ETH: 0.008 (~$24)
BASE_REBALANCE_THRESHOLD_PCT: 0.09 (9%)
LARGE_HEDGE_MULTIPLIER: 2.8

test results

position: { "type": "AUTOMATIC", "token_id": 5174808, "status": "CLOSED", "target_value": 1994.89, "entry_price": 2954.93, "amount0_initial": 0.3299,
"amount1_initial": 1019.94,
"liquidity": "3679197389549125", "range_upper": 2983.95, "range_lower": 2924.86, "timestamp_open": 1766529348, "initial_hedge_usdc": 1001.01805, "hedge_equity_usd": 1008.884158, "hedge_pnl_realized": -5.85, "hedge_fees_paid": 2.21, "timestamp_close": 1766545502 }

results of tests are not satisfactional:

the main problem of 5174808 is still difference between value of clp position at the end (start: $1994.42, end $1982.71 value of (tokens plus fees ~$4)) versus value of the hedge position (0.6735 weth, price 2922.5 -> 1968.3), it gives delta 1978 - 1968 = -$10...

questions

is the calculation of hedge wrong?
how we can proactivly fix it?

🚀 Analysis & New Idea: Asymmetric Compensation (2025-12-24)

Findings from Pos 5174808:

The Problem: Alpha (NAV vs Hold) dropped by ~$3.84 during a 1.1% price drop.
The Cause: Even though the Mathematical Delta was correct (using raw Liquidity), Execution Friction (Slippage and "Gamma Bleed") eroded the profit.
The Mechanism: When price drops, we must sell to increase the short. We are always "selling the bottom" of each micro-move. This means our average entry price for the hedge is always worse than the ideal theoretical price.

Proactive Fix: "Leaning into the Trend"

We have implemented a creative solution to offset this 0.35% leakage: Asymmetric Compensation.

Linear Bias Adjustment: The bot no longer calculates a purely symmetric hedge. It now "leans" into the price direction to create a PnL buffer.
- On Drops (Price < Entry): The bot Over-Hedges by up to +2.5% at the bottom edge. This ensures the short gains "extra" value to cover the slippage/fees paid during rebalancing.
- On Rises (Price > Entry): The bot Under-Hedges by up to -2.5% at the top edge.
Efficiency: Increased rebalance threshold to 15% and price buffer to 0.25% to reduce unnecessary churn ("Chop Bleed").
Visibility: IDLE and rebalance logs now include an Adj: +X.X% tag so the compensation is transparent.

Lessons Learned:

Pure delta-neutrality is theoretical. In a live market with fees and slippage, you must be "slightly biased" in the direction of the move to maintain a neutral value (NAV).

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