Backtesting Framework for Concentrated Liquidity Market Makers on Uniswap V3 Decentralized Exchange
Decentralized finance (DeFi) has revolutionized the financial landscape, with protocols like Uniswap offering innovative automated market-making mechanisms. This article explores the development of a backtesting framework specifically tailored for concentrated liquidity market makers (CLMM). The focus is on leveraging the liquidity distribution approximated using a parametric model, to estimate the rewards within liquidity pools. The article details the design, implementation, and insights derived from this novel approach to backtesting within the context of Uniswap V3. The developed backtester was successfully utilized to assess reward levels across several pools using historical data from 2023 (pools Uniswap v3 for pairs of altcoins, stablecoins and USDC/ETH with different fee levels). Moreover, the error in modeling the level of rewards for the period under review for each pool was less than 1%. This demonstrated the effectiveness of the backtester in quantifying liquidity pool rewards and its potential in estimating LP’s revenues as part of the pool rewards, as focus of our next research. The backtester serves as a tool to simulate trading strategies and liquidity provision scenarios, providing a quantitative assessment of potential returns for liquidity providers (LP). By incorporating statistical tools to mirror CLMM pool liquidity dynamics, this framework can be further leveraged for strategy enhancement and risk evaluation for LPs operating within decentralized exchanges.
Sat 27 JulDisplayed time zone: Beijing, Chongqing, Hong Kong, Urumqi change
13:30 - 15:00 | Session 5 - Application & Solution For BlockchainResearch Track at The ballroom B Chair(s): Jun Zhang Inner Mongolia University | ||
13:30 15mPaper | A Distributed Scalable Cross-chain State Channel Scheme Based on Recursive State Synchronization Research Track Xinyu Liang Wuhan University, Ruiying Du Wuhan University, Jing Chen Wuhan University, Yu Zhang Beijing Infosec Technologies Co., Ltd, Meng Jia Wuhan University, Shuangxi Cao China Satellite Network Innovation Co., Ltd, Yufeng Wei China Satellite Network Innovation Co., Ltd, Shixiong Yao Central China Normal University | ||
13:45 15mPaper | SmartZKCP: Towards Practical Data Exchange Marketplace Against Active Attacks Research Track Xuanming Liu Zhejiang University, Jiawen Zhang Zhejiang University, Yinghao Wang Zhejiang University, Xinpeng Yang Zhejiang University, Xiaohu Yang Zhejiang University | ||
14:00 15mPaper | Governance and deployment of multichain decentralised autonomous organizations: Lessons learned from extending Uniswap v3 across chains. Research Track Jakob Svennevik Notland NTNU, Jingyue Li Norwegian University of Science and Technology (NTNU), Mariusz Nowostawski Norwegian University of Science and Technology | ||
14:15 15mPaper | Backtesting Framework for Concentrated Liquidity Market Makers on Uniswap V3 Decentralized Exchange Research Track Andrey Urusov Vega Institute Foundation, Rostislav Berezovskiy Vega Institute Foundation, Yury Yanovich Skolkovo Institute of Science and Technology; Faculty of Computer Science, HSE University | ||
14:30 15mPaper | Atomic and Privacy-Preserving Cyclic Cross-Chain Protocol Based on Chameleon Hash Function Research Track Mengyan Li Central University of Finance and Economics, Maoning Wang Central University of Finance and Economics, Meijiao Duan Central University of Finance and Economics | ||
14:45 15mPaper | A Privacy-Preserving DAO Model Using NFT Authentication for the Punishment not Reward Blockchain Architecture Research Track | ||