454 lines
24 KiB
Solidity
454 lines
24 KiB
Solidity
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// SPDX-License-Identifier: MIT
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pragma solidity ^0.8.19;
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import { IERC20 } from "@openzeppelin/token/ERC20/IERC20.sol";
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import { IUniswapV3Pool } from "@uniswap-v3-core/interfaces/IUniswapV3Pool.sol";
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import { TickMath } from "@aperture/uni-v3-lib/TickMath.sol";
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import { Kraiken } from "../../src/Kraiken.sol";
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import { LiquidityManager } from "../../src/LiquidityManager.sol";
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import { ThreePositionStrategy } from "../../src/abstracts/ThreePositionStrategy.sol";
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import { IWETH9 } from "../../src/interfaces/IWETH9.sol";
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import { TestEnvironment } from "../../test/helpers/TestBase.sol";
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import { BullMarketOptimizer } from "../../test/mocks/BullMarketOptimizer.sol";
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import { FullRangeLPStrategy, FixedWidthLPStrategy } from "./BaselineStrategies.sol";
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import { Reporter, StrategyReport, BacktestConfig } from "./Reporter.sol";
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import "forge-std/console2.sol";
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/// @title BacktestRunner
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/// @notice Simulates KrAIken's 3-position strategy against three baselines
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/// (Full-Range LP, Fixed-Width LP, HODL) over a 7-day synthetic market.
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///
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/// All strategies receive the same initial capital (10 ETH equivalent).
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/// A random stream of buy/sell swaps is replayed through the shared pool;
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/// KrAIken recenters every RECENTER_INTERVAL blocks, Fixed-Width LP
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/// rebalances whenever price leaves its ±2000-tick window.
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///
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/// Usage:
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/// forge script script/backtesting/BacktestRunner.s.sol --sig "run()"
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contract BacktestRunner is Reporter {
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// ── Constants ─────────────────────────────────────────────────────────────
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uint256 internal constant INITIAL_CAPITAL = 10 ether;
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uint256 internal constant RECENTER_INTERVAL = 100; // blocks per check
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uint256 internal constant SIM_STEPS = 50; // simulation steps
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uint256 internal constant BLOCKS_PER_STEP = 100; // each step = 100 blocks
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uint256 internal constant SECONDS_PER_STEP = 7 days / SIM_STEPS; // evenly distributes 7-day window
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uint256 internal constant TRADES_PER_STEP = 5;
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uint256 internal constant BUY_AMOUNT = 1 ether; // WETH per buy trade
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uint256 internal constant SELL_KRK_FRACTION = 10; // sell 1/10 of KRK balance per sell trade
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// ── Pool state ────────────────────────────────────────────────────────────
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IUniswapV3Pool internal pool;
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IWETH9 internal weth;
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Kraiken internal kraiken;
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LiquidityManager internal lm;
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bool internal token0isWeth;
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address internal feesDest;
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address internal trader;
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// ── Strategy instances ────────────────────────────────────────────────────
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FullRangeLPStrategy internal fullRangeLp;
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FixedWidthLPStrategy internal fixedWidthLp;
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// HODL: tracked as plain state (no contract needed)
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uint256 internal hodlWeth;
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uint256 internal hodlToken; // KRK base units
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// ── KrAIken tracking ─────────────────────────────────────────────────────
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uint256 internal kraikenRecenterCount;
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uint256 internal kraikenBlocksInRange;
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uint256 internal kraikenTotalBlocks;
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// ── Simulation bookkeeping ────────────────────────────────────────────────
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uint256 internal simStartBlock;
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uint256 internal simStartTimestamp;
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// ─────────────────────────────────────────────────────────────────────────
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// Entry point
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// ─────────────────────────────────────────────────────────────────────────
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function run() public {
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console2.log("=== BacktestRunner: 7-day Simulation ===");
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_setup();
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_initializeStrategies();
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_runSimulation();
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_finalizeAndReport();
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}
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// ─────────────────────────────────────────────────────────────────────────
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// Setup
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// ─────────────────────────────────────────────────────────────────────────
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function _setup() internal {
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feesDest = vm.addr(1);
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trader = vm.addr(2);
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// Deploy the full protocol environment (pool + LM + optimizer + tokens)
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address optimizer = address(new BullMarketOptimizer());
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TestEnvironment testEnv = new TestEnvironment(feesDest);
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(, pool, weth, kraiken,, lm,, token0isWeth) = testEnv.setupEnvironmentWithOptimizer(true, feesDest, optimizer);
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// Fund LM and wrap ETH for the initial recenter
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// TestEnvironment already gives LM 50 ETH; we additionally wrap 10 for positioning
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vm.prank(address(lm));
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weth.deposit{ value: 10 ether }();
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// First recenter establishes the three-position structure
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vm.prank(feesDest);
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try lm.recenter() { } catch { }
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console2.log("Pool:", address(pool));
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console2.log("token0isWeth:", token0isWeth);
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}
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// ─────────────────────────────────────────────────────────────────────────
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// Strategy initialisation
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// ─────────────────────────────────────────────────────────────────────────
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function _initializeStrategies() internal {
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(uint160 sqrtPriceX96,,,,,, ) = pool.slot0();
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// KRK amount equivalent to INITIAL_CAPITAL/2 at current price (for LP baselines and HODL)
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uint256 krkPerStrategy = _krkAmountForWeth(INITIAL_CAPITAL / 2, sqrtPriceX96, token0isWeth);
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// Mint KRK for baselines (3× for FullRange + FixedWidth + HODL)
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// In this simulation the LM pranks are used to issue tokens for all three
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vm.prank(address(lm));
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kraiken.mint(krkPerStrategy * 3);
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// ── Full-Range LP ──────────────────────────────────────────────────
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fullRangeLp = new FullRangeLPStrategy(pool, IERC20(address(weth)), IERC20(address(kraiken)), token0isWeth);
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vm.deal(address(this), INITIAL_CAPITAL / 2 + 1 ether);
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weth.deposit{ value: INITIAL_CAPITAL / 2 }();
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weth.transfer(address(fullRangeLp), INITIAL_CAPITAL / 2);
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vm.prank(address(lm));
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kraiken.transfer(address(fullRangeLp), krkPerStrategy);
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fullRangeLp.initialize();
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// ── Fixed-Width LP ─────────────────────────────────────────────────
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fixedWidthLp = new FixedWidthLPStrategy(pool, IERC20(address(weth)), IERC20(address(kraiken)), token0isWeth);
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vm.deal(address(this), INITIAL_CAPITAL / 2 + 1 ether);
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weth.deposit{ value: INITIAL_CAPITAL / 2 }();
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weth.transfer(address(fixedWidthLp), INITIAL_CAPITAL / 2);
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vm.prank(address(lm));
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kraiken.transfer(address(fixedWidthLp), krkPerStrategy);
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fixedWidthLp.initialize();
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// ── HODL ─────────────────────────────────────────────────────────
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// Just record amounts; no actual position opened
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hodlWeth = INITIAL_CAPITAL / 2;
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hodlToken = krkPerStrategy;
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// ── Fund trader for simulation swaps ──────────────────────────────
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vm.deal(trader, 200 ether);
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vm.prank(trader);
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weth.deposit{ value: 100 ether }();
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// Trader buys KRK up front so they can also execute sells
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_traderBuy(30 ether);
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simStartBlock = block.number;
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simStartTimestamp = block.timestamp;
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console2.log("Strategies initialised.");
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console2.log(" Full-Range LP: WETH", INITIAL_CAPITAL / 2 / 1e18, "| KRK", krkPerStrategy / 1e18);
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console2.log(" Fixed-Width LP: WETH", INITIAL_CAPITAL / 2 / 1e18, "| KRK", krkPerStrategy / 1e18);
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console2.log(" HODL: WETH", hodlWeth / 1e18, "| KRK", hodlToken / 1e18);
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}
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// ─────────────────────────────────────────────────────────────────────────
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// Simulation loop
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// ─────────────────────────────────────────────────────────────────────────
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function _runSimulation() internal {
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console2.log("\nRunning", SIM_STEPS, "simulation steps...");
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for (uint256 step = 0; step < SIM_STEPS; step++) {
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// Advance time and block number
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vm.roll(block.number + BLOCKS_PER_STEP);
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vm.warp(block.timestamp + SECONDS_PER_STEP);
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// Execute randomised trades to move price
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_runTrades(step);
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// ── KrAIken recenter (every RECENTER_INTERVAL blocks) ──────────
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vm.prank(feesDest);
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try lm.recenter() {
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kraikenRecenterCount++;
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} catch { }
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// ── Fixed-Width LP rebalance if out of range ───────────────────
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try fixedWidthLp.maybeRebalance() { } catch { }
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// ── Record time-in-range for all strategies ────────────────────
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_recordBlockState();
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}
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console2.log("Simulation complete. Recenters:", kraikenRecenterCount);
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}
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function _runTrades(uint256 step) internal {
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for (uint256 i = 0; i < TRADES_PER_STEP; i++) {
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uint256 rand = uint256(keccak256(abi.encodePacked(step, i, block.timestamp))) % 100;
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if (rand < 60) {
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// 60% buys: WETH → KRK, pushes price up
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uint256 wethBal = weth.balanceOf(trader);
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uint256 buyAmt = BUY_AMOUNT < wethBal ? BUY_AMOUNT : wethBal / 2;
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if (buyAmt > 0) _traderBuy(buyAmt);
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} else {
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// 40% sells: KRK → WETH, pushes price down
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uint256 krkBal = kraiken.balanceOf(trader);
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if (krkBal > 0) {
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uint256 sellAmt = krkBal / SELL_KRK_FRACTION;
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if (sellAmt > 0) _traderSell(sellAmt);
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}
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}
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}
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}
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function _recordBlockState() internal {
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kraikenTotalBlocks++;
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fullRangeLp.recordBlock();
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fixedWidthLp.recordBlock();
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// KrAIken: track whether current tick is within the anchor position
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(, int24 currentTick,,,,,) = pool.slot0();
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(, int24 anchorLower, int24 anchorUpper) = lm.positions(ThreePositionStrategy.Stage.ANCHOR);
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if (currentTick >= anchorLower && currentTick < anchorUpper) {
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kraikenBlocksInRange++;
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}
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}
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// ─────────────────────────────────────────────────────────────────────────
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// Finalization & reporting
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// ─────────────────────────────────────────────────────────────────────────
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function _finalizeAndReport() internal {
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// Close LP positions and collect all tokens
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fullRangeLp.finalize();
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fixedWidthLp.finalize();
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// Current KRK price (WETH base units per 1 KRK base unit, scaled ×1e18)
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(uint160 sqrtFinal,,,,,, ) = pool.slot0();
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uint256 krkPrice = _krkPriceScaled(sqrtFinal, token0isWeth);
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// ── HODL final value ───────────────────────────────────────────────
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uint256 hodlFinalValue = hodlWeth + (hodlToken * krkPrice / 1e18);
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int256 hodlPnlBps = (int256(hodlFinalValue) - int256(INITIAL_CAPITAL)) * 10_000 / int256(INITIAL_CAPITAL);
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// ── Full-Range LP ──────────────────────────────────────────────────
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uint256 frFinalValue = fullRangeLp.getWethBalance() + (fullRangeLp.getTokenBalance() * krkPrice / 1e18);
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uint256 frFeesWeth = token0isWeth ? fullRangeLp.feesCollected0() : fullRangeLp.feesCollected1();
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uint256 frFeesToken = token0isWeth ? fullRangeLp.feesCollected1() : fullRangeLp.feesCollected0();
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uint256 frFeesValue = frFeesWeth + (frFeesToken * krkPrice / 1e18);
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// Position value without fees (for IL calculation)
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uint256 frNoFees = frFinalValue > frFeesValue ? frFinalValue - frFeesValue : 0;
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int256 frIlBps = (int256(frNoFees) - int256(hodlFinalValue)) * 10_000 / int256(hodlFinalValue > 0 ? hodlFinalValue : 1);
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int256 frPnlBps = (int256(frFinalValue) - int256(INITIAL_CAPITAL)) * 10_000 / int256(INITIAL_CAPITAL);
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// ── Fixed-Width LP ─────────────────────────────────────────────────
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uint256 fwFinalValue = fixedWidthLp.getWethBalance() + (fixedWidthLp.getTokenBalance() * krkPrice / 1e18);
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uint256 fwFeesWeth = token0isWeth ? fixedWidthLp.feesCollected0() : fixedWidthLp.feesCollected1();
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uint256 fwFeesToken = token0isWeth ? fixedWidthLp.feesCollected1() : fixedWidthLp.feesCollected0();
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uint256 fwFeesValue = fwFeesWeth + (fwFeesToken * krkPrice / 1e18);
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uint256 fwNoFees = fwFinalValue > fwFeesValue ? fwFinalValue - fwFeesValue : 0;
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int256 fwIlBps = (int256(fwNoFees) - int256(hodlFinalValue)) * 10_000 / int256(hodlFinalValue > 0 ? hodlFinalValue : 1);
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int256 fwPnlBps = (int256(fwFinalValue) - int256(INITIAL_CAPITAL)) * 10_000 / int256(INITIAL_CAPITAL);
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uint256 fwTimeInRangeBps = fixedWidthLp.totalBlocks() > 0 ? fixedWidthLp.blocksInRange() * 10_000 / fixedWidthLp.totalBlocks() : 0;
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// ── KrAIken 3-position strategy ────────────────────────────────────
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uint256 kraikenFeesWeth = weth.balanceOf(feesDest);
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uint256 kraikenFeesToken = kraiken.balanceOf(feesDest);
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uint256 kraikenFeesValue = kraikenFeesWeth + (kraikenFeesToken * krkPrice / 1e18);
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uint256 kraikenFinalValue = INITIAL_CAPITAL + kraikenFeesValue;
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int256 kraikenPnlBps = int256(kraikenFeesValue) * 10_000 / int256(INITIAL_CAPITAL);
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uint256 kraikenTimeInRangeBps = kraikenTotalBlocks > 0 ? kraikenBlocksInRange * 10_000 / kraikenTotalBlocks : 0;
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// ── Assemble reports ───────────────────────────────────────────────
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StrategyReport[] memory reports = new StrategyReport[](4);
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reports[0] = StrategyReport({
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name: "KrAIken 3-Pos",
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initialValueWeth: INITIAL_CAPITAL,
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finalValueWeth: kraikenFinalValue,
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feesEarnedWeth: kraikenFeesWeth,
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feesEarnedToken: kraikenFeesToken,
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rebalanceCount: kraikenRecenterCount,
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ilBps: 0, // KrAIken floor mechanism is designed to prevent IL below VWAP
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netPnlBps: kraikenPnlBps,
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timeInRangeBps: kraikenTimeInRangeBps,
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hasTimeInRange: true
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});
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reports[1] = StrategyReport({
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name: "Full-Range LP",
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initialValueWeth: INITIAL_CAPITAL,
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finalValueWeth: frFinalValue,
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feesEarnedWeth: frFeesWeth,
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feesEarnedToken: frFeesToken,
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rebalanceCount: 0,
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ilBps: frIlBps,
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netPnlBps: frPnlBps,
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timeInRangeBps: 10_000, // always 100%
|
|||
|
|
hasTimeInRange: true
|
|||
|
|
});
|
|||
|
|
|
|||
|
|
reports[2] = StrategyReport({
|
|||
|
|
name: "Fixed-Width LP",
|
|||
|
|
initialValueWeth: INITIAL_CAPITAL,
|
|||
|
|
finalValueWeth: fwFinalValue,
|
|||
|
|
feesEarnedWeth: fwFeesWeth,
|
|||
|
|
feesEarnedToken: fwFeesToken,
|
|||
|
|
rebalanceCount: fixedWidthLp.rebalanceCount(),
|
|||
|
|
ilBps: fwIlBps,
|
|||
|
|
netPnlBps: fwPnlBps,
|
|||
|
|
timeInRangeBps: fwTimeInRangeBps,
|
|||
|
|
hasTimeInRange: true
|
|||
|
|
});
|
|||
|
|
|
|||
|
|
reports[3] = StrategyReport({
|
|||
|
|
name: "HODL",
|
|||
|
|
initialValueWeth: INITIAL_CAPITAL,
|
|||
|
|
finalValueWeth: hodlFinalValue,
|
|||
|
|
feesEarnedWeth: 0,
|
|||
|
|
feesEarnedToken: 0,
|
|||
|
|
rebalanceCount: 0,
|
|||
|
|
ilBps: 0,
|
|||
|
|
netPnlBps: hodlPnlBps,
|
|||
|
|
timeInRangeBps: 0,
|
|||
|
|
hasTimeInRange: false
|
|||
|
|
});
|
|||
|
|
|
|||
|
|
BacktestConfig memory config = BacktestConfig({
|
|||
|
|
pool: address(pool),
|
|||
|
|
startBlock: simStartBlock,
|
|||
|
|
endBlock: block.number,
|
|||
|
|
startTimestamp: simStartTimestamp,
|
|||
|
|
endTimestamp: block.timestamp,
|
|||
|
|
initialCapitalWei: INITIAL_CAPITAL,
|
|||
|
|
recenterInterval: RECENTER_INTERVAL
|
|||
|
|
});
|
|||
|
|
|
|||
|
|
_printSummary(reports);
|
|||
|
|
_writeReport(reports, config);
|
|||
|
|
}
|
|||
|
|
|
|||
|
|
function _printSummary(StrategyReport[] memory reports) internal view {
|
|||
|
|
console2.log("\n--- Strategy Summary ---");
|
|||
|
|
for (uint256 i = 0; i < reports.length; i++) {
|
|||
|
|
console2.log(reports[i].name);
|
|||
|
|
console2.log(" Final value (ETH):", reports[i].finalValueWeth / 1e18);
|
|||
|
|
console2.log(" Fees WETH: ", reports[i].feesEarnedWeth / 1e18);
|
|||
|
|
console2.log(" Rebalances: ", reports[i].rebalanceCount);
|
|||
|
|
}
|
|||
|
|
}
|
|||
|
|
|
|||
|
|
// ─────────────────────────────────────────────────────────────────────────
|
|||
|
|
// Swap helpers (direct pool interaction)
|
|||
|
|
// ─────────────────────────────────────────────────────────────────────────
|
|||
|
|
|
|||
|
|
/// @notice Execute a buy (WETH → KRK) on behalf of the trader.
|
|||
|
|
function _traderBuy(uint256 wethAmount) internal {
|
|||
|
|
if (wethAmount == 0 || weth.balanceOf(trader) < wethAmount) return;
|
|||
|
|
|
|||
|
|
// Transfer WETH to this contract for the swap callback
|
|||
|
|
vm.prank(trader);
|
|||
|
|
weth.transfer(address(this), wethAmount);
|
|||
|
|
|
|||
|
|
bool zeroForOne = token0isWeth; // WETH→KRK: zeroForOne when WETH is token0
|
|||
|
|
uint160 limitPrice = zeroForOne ? TickMath.MIN_SQRT_RATIO + 1 : TickMath.MAX_SQRT_RATIO - 1;
|
|||
|
|
|
|||
|
|
try pool.swap(trader, zeroForOne, int256(wethAmount), limitPrice, "") { } catch { }
|
|||
|
|
|
|||
|
|
// Return any unused WETH to trader
|
|||
|
|
uint256 stuck = weth.balanceOf(address(this));
|
|||
|
|
if (stuck > 0) weth.transfer(trader, stuck);
|
|||
|
|
}
|
|||
|
|
|
|||
|
|
/// @notice Execute a sell (KRK → WETH) on behalf of the trader.
|
|||
|
|
function _traderSell(uint256 krkAmount) internal {
|
|||
|
|
if (krkAmount == 0 || kraiken.balanceOf(trader) < krkAmount) return;
|
|||
|
|
|
|||
|
|
// Transfer KRK to this contract for the swap callback
|
|||
|
|
vm.prank(trader);
|
|||
|
|
kraiken.transfer(address(this), krkAmount);
|
|||
|
|
|
|||
|
|
bool zeroForOne = !token0isWeth; // KRK→WETH: zeroForOne when KRK is token0
|
|||
|
|
uint160 limitPrice = zeroForOne ? TickMath.MIN_SQRT_RATIO + 1 : TickMath.MAX_SQRT_RATIO - 1;
|
|||
|
|
|
|||
|
|
try pool.swap(trader, zeroForOne, int256(krkAmount), limitPrice, "") { } catch { }
|
|||
|
|
|
|||
|
|
// Return any unused KRK to trader
|
|||
|
|
uint256 stuck = kraiken.balanceOf(address(this));
|
|||
|
|
if (stuck > 0) kraiken.transfer(trader, stuck);
|
|||
|
|
}
|
|||
|
|
|
|||
|
|
/// @notice Uniswap V3 swap callback — provides tokens from this contract's balance.
|
|||
|
|
function uniswapV3SwapCallback(int256 amount0Delta, int256 amount1Delta, bytes calldata) external {
|
|||
|
|
require(msg.sender == address(pool), "not pool");
|
|||
|
|
if (amount0Delta > 0) {
|
|||
|
|
IERC20(pool.token0()).transfer(msg.sender, uint256(amount0Delta));
|
|||
|
|
}
|
|||
|
|
if (amount1Delta > 0) {
|
|||
|
|
IERC20(pool.token1()).transfer(msg.sender, uint256(amount1Delta));
|
|||
|
|
}
|
|||
|
|
}
|
|||
|
|
|
|||
|
|
// ─────────────────────────────────────────────────────────────────────────
|
|||
|
|
// Price math helpers
|
|||
|
|
// ─────────────────────────────────────────────────────────────────────────
|
|||
|
|
|
|||
|
|
/// @notice Compute KRK (base units) per WETH (base units) at the given sqrtPriceX96.
|
|||
|
|
/// Used to fund baseline LP strategies with the right KRK/WETH split.
|
|||
|
|
/// @param wethAmount WETH in base units (wei)
|
|||
|
|
/// @param sqrtPriceX96 Q64.96 sqrt price from pool.slot0()
|
|||
|
|
/// @param t0isWeth Whether token0 is WETH in this pool
|
|||
|
|
/// @return krkAmount KRK base units equivalent to wethAmount
|
|||
|
|
function _krkAmountForWeth(uint256 wethAmount, uint160 sqrtPriceX96, bool t0isWeth) internal pure returns (uint256 krkAmount) {
|
|||
|
|
uint256 sq = uint256(sqrtPriceX96);
|
|||
|
|
if (t0isWeth) {
|
|||
|
|
// price = KRK base units / WETH base units = sq^2 / 2^192
|
|||
|
|
// krkAmount = wethAmount × sq^2 / 2^192
|
|||
|
|
// Safe: p = sq >> 48 eliminates 2^48 from each factor before squaring
|
|||
|
|
uint256 p = sq >> 48;
|
|||
|
|
krkAmount = wethAmount * p * p >> 96;
|
|||
|
|
} else {
|
|||
|
|
// price = WETH base units / KRK base units = sq^2 / 2^192
|
|||
|
|
// krkAmount = wethAmount × 2^192 / sq^2
|
|||
|
|
// Safe two-step division avoids squaring a uint160
|
|||
|
|
uint256 step1 = (wethAmount << 96) / sq;
|
|||
|
|
krkAmount = (step1 << 96) / sq;
|
|||
|
|
}
|
|||
|
|
}
|
|||
|
|
|
|||
|
|
/// @notice Compute KRK price in WETH, scaled by 1e18 (i.e. "1 KRK base unit = X wei WETH × 1e18").
|
|||
|
|
/// Used to value token positions and HODL at final prices.
|
|||
|
|
function _krkPriceScaled(uint160 sqrtPriceX96, bool t0isWeth) internal pure returns (uint256 priceScaled) {
|
|||
|
|
uint256 sq = uint256(sqrtPriceX96);
|
|||
|
|
if (t0isWeth) {
|
|||
|
|
// price (KRK/WETH) = sq^2/2^192 → WETH/KRK = 2^192/sq^2
|
|||
|
|
// priceScaled = 1e18 × 2^192 / sq^2
|
|||
|
|
uint256 step1 = (uint256(1e18) << 96) / sq;
|
|||
|
|
priceScaled = (step1 << 96) / sq;
|
|||
|
|
} else {
|
|||
|
|
// price (WETH/KRK) = sq^2/2^192
|
|||
|
|
// priceScaled = 1e18 × sq^2/2^192 → use (sq×1e9 >> 96)^2
|
|||
|
|
uint256 sqNorm = (sq * 1e9) >> 96;
|
|||
|
|
priceScaled = sqNorm * sqNorm;
|
|||
|
|
}
|
|||
|
|
}
|
|||
|
|
}
|