234 lines
9 KiB
Solidity
234 lines
9 KiB
Solidity
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// SPDX-License-Identifier: MIT
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pragma solidity ^0.8.19;
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import "forge-std/Script.sol";
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import "forge-std/console2.sol";
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/// @notice Data for a single strategy's backtest result
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struct StrategyReport {
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string name;
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uint256 initialValueWeth; // wei
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uint256 finalValueWeth; // wei (position value + fees)
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uint256 feesEarnedWeth; // WETH-denominated fees (wei)
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uint256 feesEarnedToken; // Token-denominated fees (token base units)
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uint256 rebalanceCount;
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int256 ilBps; // Impermanent loss in basis points (0 or negative vs HODL)
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int256 netPnlBps; // Net P&L in basis points vs initial capital
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uint256 timeInRangeBps; // 0–10000 (10000 = 100%; ignored when hasTimeInRange=false)
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bool hasTimeInRange; // false for HODL
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}
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/// @notice Backtest configuration metadata written to the report
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struct BacktestConfig {
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address pool;
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uint256 startBlock;
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uint256 endBlock;
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uint256 startTimestamp;
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uint256 endTimestamp;
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uint256 initialCapitalWei;
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uint256 recenterInterval;
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}
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/// @title Reporter
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/// @notice Abstract mixin that generates Markdown and JSON backtest reports.
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/// Inherit alongside Script to get access to vm and file I/O.
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abstract contract Reporter is Script {
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// ── Public entry point ────────────────────────────────────────────────────
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/// @notice Write markdown + JSON reports to script/backtesting/reports/.
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function _writeReport(StrategyReport[] memory reports, BacktestConfig memory config) internal {
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string memory ts = vm.toString(block.timestamp);
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string memory mdPath = string(abi.encodePacked("script/backtesting/reports/report-", ts, ".md"));
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string memory jsonPath = string(abi.encodePacked("script/backtesting/reports/report-", ts, ".json"));
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vm.writeFile(mdPath, _buildMarkdown(reports, config));
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vm.writeFile(jsonPath, _buildJson(reports, config));
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console2.log("\n=== Backtest Report ===");
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console2.log("Markdown:", mdPath);
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console2.log(" JSON:", jsonPath);
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}
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// ── Markdown builder ──────────────────────────────────────────────────────
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function _buildMarkdown(StrategyReport[] memory reports, BacktestConfig memory config) internal view returns (string memory out) {
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out = "# Backtest Report: AERO/WETH 1%, 7 days\n\n";
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// Table header
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out = string(
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abi.encodePacked(
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out,
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"| Strategy | Final Value | Fees Earned | Rebalances | IL (%) | Net P&L (%) | Time in Range |\n",
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"|---|---|---|---|---|---|---|\n"
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)
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);
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// Table rows
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for (uint256 i = 0; i < reports.length; i++) {
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out = string(abi.encodePacked(out, _markdownRow(reports[i]), "\n"));
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}
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// Configuration section
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out = string(
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abi.encodePacked(
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out,
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"\n## Configuration\n",
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"- Pool: `",
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vm.toString(config.pool),
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"`\n",
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"- Period: block ",
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vm.toString(config.startBlock),
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" to block ",
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vm.toString(config.endBlock),
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" (7 days simulated)\n",
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"- Initial capital: 10 ETH equivalent\n",
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"- Recenter interval: ",
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vm.toString(config.recenterInterval),
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" blocks\n"
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)
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);
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}
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function _markdownRow(StrategyReport memory r) internal view returns (string memory) {
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string memory tir = r.hasTimeInRange ? _fmtPct(r.timeInRangeBps) : "N/A";
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return string(
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abi.encodePacked(
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"| ",
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r.name,
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" | ",
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_fmtEth(r.finalValueWeth),
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" | ",
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_fmtEth(r.feesEarnedWeth),
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" | ",
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vm.toString(r.rebalanceCount),
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" | ",
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_fmtSignedPct(r.ilBps),
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" | ",
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_fmtSignedPct(r.netPnlBps),
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" | ",
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tir,
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" |"
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)
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);
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}
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// ── JSON builder ──────────────────────────────────────────────────────────
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function _buildJson(StrategyReport[] memory reports, BacktestConfig memory config) internal view returns (string memory) {
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string memory strategiesArr = "[";
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for (uint256 i = 0; i < reports.length; i++) {
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if (i > 0) strategiesArr = string(abi.encodePacked(strategiesArr, ","));
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strategiesArr = string(abi.encodePacked(strategiesArr, _strategyJson(reports[i])));
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}
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strategiesArr = string(abi.encodePacked(strategiesArr, "]"));
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return string(
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abi.encodePacked(
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'{"report":{"timestamp":',
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vm.toString(block.timestamp),
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',"strategies":',
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strategiesArr,
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'},"config":{"pool":"',
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vm.toString(config.pool),
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'","startBlock":',
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vm.toString(config.startBlock),
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',"endBlock":',
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vm.toString(config.endBlock),
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',"durationDays":7,"initialCapitalWei":"',
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vm.toString(config.initialCapitalWei),
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'","recenterInterval":',
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vm.toString(config.recenterInterval),
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"}}"
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)
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);
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}
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function _strategyJson(StrategyReport memory r) internal view returns (string memory) {
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string memory tir = r.hasTimeInRange ? vm.toString(r.timeInRangeBps) : '"N/A"';
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return string(
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abi.encodePacked(
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'{"name":"',
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r.name,
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'","initialValueWei":"',
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vm.toString(r.initialValueWeth),
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'","finalValueWei":"',
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vm.toString(r.finalValueWeth),
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'","feesEarnedWei":"',
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vm.toString(r.feesEarnedWeth),
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'","rebalances":',
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vm.toString(r.rebalanceCount),
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',"ilBps":',
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_intStr(r.ilBps),
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',"netPnlBps":',
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_intStr(r.netPnlBps),
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',"timeInRangeBps":',
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tir,
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"}"
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)
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);
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}
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// ── Formatting helpers ────────────────────────────────────────────────────
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/// @dev Format wei amount as "X.XXXX ETH"
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function _fmtEth(uint256 weiAmt) internal view returns (string memory) {
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uint256 whole = weiAmt / 1e18;
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uint256 frac = (weiAmt % 1e18) * 10_000 / 1e18;
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return string(abi.encodePacked(vm.toString(whole), ".", _pad4(frac), " ETH"));
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}
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/// @dev Format basis points as signed percentage "+X.XX%" or "-X.XX%"
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function _fmtSignedPct(int256 bps) internal view returns (string memory) {
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if (bps < 0) {
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uint256 abs = uint256(-bps);
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return string(abi.encodePacked("-", vm.toString(abs / 100), ".", _pad2(abs % 100), "%"));
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}
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uint256 u = uint256(bps);
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return string(abi.encodePacked("+", vm.toString(u / 100), ".", _pad2(u % 100), "%"));
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}
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/// @dev Format basis points as percentage "X.XX%"
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function _fmtPct(uint256 bps) internal view returns (string memory) {
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return string(abi.encodePacked(vm.toString(bps / 100), ".", _pad2(bps % 100), "%"));
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}
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/// @dev Convert int256 to decimal string (no leading sign for positive)
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function _intStr(int256 n) internal view returns (string memory) {
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if (n < 0) {
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return string(abi.encodePacked("-", vm.toString(uint256(-n))));
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}
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return vm.toString(uint256(n));
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}
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/// @dev Pad to 4 decimal digits with leading zeros
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function _pad4(uint256 n) internal pure returns (string memory) {
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if (n >= 1000) return _numStr(n);
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if (n >= 100) return string(abi.encodePacked("0", _numStr(n)));
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if (n >= 10) return string(abi.encodePacked("00", _numStr(n)));
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return string(abi.encodePacked("000", _numStr(n)));
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}
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/// @dev Pad to 2 decimal digits with leading zeros
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function _pad2(uint256 n) internal pure returns (string memory) {
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if (n >= 10) return _numStr(n);
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return string(abi.encodePacked("0", _numStr(n)));
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}
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/// @dev Pure uint-to-decimal-string (avoids vm dependency for small helpers)
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function _numStr(uint256 n) internal pure returns (string memory) {
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if (n == 0) return "0";
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uint256 len;
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uint256 tmp = n;
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while (tmp > 0) {
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len++;
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tmp /= 10;
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}
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bytes memory buf = new bytes(len);
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for (uint256 i = len; i > 0; i--) {
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buf[i - 1] = bytes1(uint8(48 + (n % 10)));
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n /= 10;
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}
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return string(buf);
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}
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}
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