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defi_leveraged_yield_farming_sim

Time-Series simulator to assess performance of Leveraged Yield Farming (LYF) and Pseudo Delta Neutral (PDN) strategies in DeFi.

  • See farming_simulator.ipynb for the simulation, details, and example usage.
  • See optimize_rebalance_threshold.ipynb for an example of how to optimize a strategy parameter via exhaustive grid-search
    • It attempts to find the best rebalancing threshold for a 3X LYF PDN strategy on historical AVAX-USDC.e APY and price data.

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