AMM Mean Reversion Backtest

Overview

The AMM Mean Reversion Backtest component simulates trading strategy performance using historical DEX pool data while accounting for realistic trading conditions, including:

• Price impact from pool reserves

• Gas costs and fee deductions

• Slippage simulation

• Portfolio balance tracking

How It Works

1. Data Retrieval: The backtest first fetches historical candle and liquidity data for the specified pair and timeframe using TradingStrategyDataManager. Gas data is fetched using. GasDataManager.

2. Average Price Calculation: For each day (or selected interval), it computes the moving average of the asset’s price over the chosen time window.

3. Trade Signal Generation:

   • If current price < average price * (1 - threshold), it’s a BUY signal.

   • If current price > average price * (1 + threshold), it’s a SELL signal.

   • Otherwise, no trade is executed.

4. Trade Simulation: On a trade signal, the strategy uses AMMPriceSimulator To:

   • Calculate the expected amount out based on current pool reserves.

   • Apply trading fees, slippage, and gas costs.

   • Update the pool’s reserves and the strategy’s balances accordingly.

5. Performance Tracking: With each simulated trade, the system records:

   • P&L: How balances evolve over time.

   • Slippage costs: Difference between theoretical and realized price.

   • Gas fees: Deducted from quote (or base) balances, representing real trading friction.

6. Result Compilation: At the end of the backtest, the component produces:

   • Final portfolio value in base/quote assets and USD.

   • Total number of trades, average slippage, and cumulative gas fees.

   • Performance metrics (percentage returns, drawdowns, etc.)

Backtest Execution Flow

Output Metrics

After the backtest is complete, here are some key metrics available:

• Backtest Period:

  • Start Time, End Time

  • Total Duration

• Configuration:

  • Exchange Name, Chain, Trading Pair

  • Threshold, Trade Amount

• Initial and Final Pool States:

  • TVL, prices, and reserve amounts in USD

• Gas Balance Summary:

  • Total Gas Used

  • Remaining Gas balance

• Trades Analysis:

  • Number of buy and sell trades

  • Total trade volume in base and quote assets

  • Average prices for executed trades

• Performance Analysis:

  • Total portfolio value at start and end

  • Total gas fees (native and USD)

  • Slippage cost (native and USD)

  • Total P&L and percentage return.