fix: Backtesting #6: Baseline strategies (HODL, full-range, fixed-width) + reporting (#320)

Co-Authored-By: Claude Sonnet 4.6 <noreply@anthropic.com>
2026-02-26 16:11:15 +00:00 · 2026-02-26 16:11:15 +00:00 · 5205ea6f4a
commit 5205ea6f4a
parent 6526928b67
4 changed files with 915 additions and 0 deletions
--- a/onchain/script/backtesting/BaselineStrategies.sol
+++ b/onchain/script/backtesting/BaselineStrategies.sol
@ -0,0 +1,229 @@
+// SPDX-License-Identifier: MIT
+pragma solidity ^0.8.19;
+
+import { IERC20 } from "@openzeppelin/token/ERC20/IERC20.sol";
+import { IUniswapV3Pool } from "@uniswap-v3-core/interfaces/IUniswapV3Pool.sol";
+import { IUniswapV3MintCallback } from "@uniswap-v3-core/interfaces/callback/IUniswapV3MintCallback.sol";
+import { LiquidityAmounts } from "@aperture/uni-v3-lib/LiquidityAmounts.sol";
+import { TickMath } from "@aperture/uni-v3-lib/TickMath.sol";
+
+// ─────────────────────────────────────────────────────────────────────────────
+// Full-Range LP Strategy
+// ─────────────────────────────────────────────────────────────────────────────
+
+/// @title FullRangeLPStrategy
+/// @notice Single LP position covering the entire valid tick range (MIN_TICK to MAX_TICK).
+///         Position is set once at initialization and never rebalanced, giving 100% time-in-range.
+contract FullRangeLPStrategy is IUniswapV3MintCallback {
+    /// @dev Tick boundaries aligned to 200-spacing for the 1% fee pool
+    int24 public constant TICK_LOWER = -887_200;
+    int24 public constant TICK_UPPER = 887_200;
+
+    IUniswapV3Pool public immutable pool;
+    IERC20 public immutable token0;
+    IERC20 public immutable token1;
+    bool public immutable token0isWeth;
+
+    uint128 public liquidity;
+    uint256 public feesCollected0;
+    uint256 public feesCollected1;
+    uint256 public totalBlocks;
+    bool public initialized;
+
+    constructor(IUniswapV3Pool _pool, IERC20 _weth, IERC20 _token, bool _token0isWeth) {
+        pool = _pool;
+        token0isWeth = _token0isWeth;
+        token0 = _token0isWeth ? _weth : _token;
+        token1 = _token0isWeth ? _token : _weth;
+    }
+
+    /// @notice Initialize: use current token balances to mint a full-range position.
+    ///         Caller must transfer tokens to this contract before calling.
+    function initialize() external {
+        require(!initialized, "already initialized");
+        initialized = true;
+
+        uint256 bal0 = token0.balanceOf(address(this));
+        uint256 bal1 = token1.balanceOf(address(this));
+        (, int24 currentTick,,,,,) = pool.slot0();
+        uint160 sqrtCurrent = TickMath.getSqrtRatioAtTick(currentTick);
+        uint160 sqrtLower = TickMath.getSqrtRatioAtTick(TICK_LOWER);
+        uint160 sqrtUpper = TickMath.getSqrtRatioAtTick(TICK_UPPER);
+
+        liquidity = LiquidityAmounts.getLiquidityForAmounts(sqrtCurrent, sqrtLower, sqrtUpper, bal0, bal1);
+        if (liquidity > 0) {
+            pool.mint(address(this), TICK_LOWER, TICK_UPPER, liquidity, "");
+        }
+    }
+
+    /// @notice Record one simulation block. Full-range is always in-range, so this just increments totalBlocks.
+    function recordBlock() external {
+        totalBlocks++;
+    }
+
+    /// @notice Collect accrued fees without changing liquidity.
+    function collectFees() external {
+        if (liquidity > 0) {
+            pool.burn(TICK_LOWER, TICK_UPPER, 0);
+        }
+        (uint256 f0, uint256 f1) = pool.collect(address(this), TICK_LOWER, TICK_UPPER, type(uint128).max, type(uint128).max);
+        feesCollected0 += f0;
+        feesCollected1 += f1;
+    }
+
+    /// @notice Burn entire position and collect all tokens + fees.
+    function finalize() external {
+        if (liquidity > 0) {
+            pool.burn(TICK_LOWER, TICK_UPPER, liquidity);
+            (uint256 f0, uint256 f1) = pool.collect(address(this), TICK_LOWER, TICK_UPPER, type(uint128).max, type(uint128).max);
+            feesCollected0 += f0;
+            feesCollected1 += f1;
+            liquidity = 0;
+        }
+    }
+
+    function getWethBalance() external view returns (uint256) {
+        return token0isWeth ? token0.balanceOf(address(this)) : token1.balanceOf(address(this));
+    }
+
+    function getTokenBalance() external view returns (uint256) {
+        return token0isWeth ? token1.balanceOf(address(this)) : token0.balanceOf(address(this));
+    }
+
+    /// @inheritdoc IUniswapV3MintCallback
+    function uniswapV3MintCallback(uint256 amount0Owed, uint256 amount1Owed, bytes calldata) external override {
+        require(msg.sender == address(pool), "not pool");
+        if (amount0Owed > 0) token0.transfer(msg.sender, amount0Owed);
+        if (amount1Owed > 0) token1.transfer(msg.sender, amount1Owed);
+    }
+}
+
+// ─────────────────────────────────────────────────────────────────────────────
+// Fixed-Width LP Strategy
+// ─────────────────────────────────────────────────────────────────────────────
+
+/// @title FixedWidthLPStrategy
+/// @notice LP position ±2000 ticks around current price (200-tick spacing).
+///         Rebalances (removes + remints) when price exits the range.
+contract FixedWidthLPStrategy is IUniswapV3MintCallback {
+    int24 public constant HALF_WIDTH = 2_000; // ±2000 ticks from center
+    int24 public constant TICK_SPACING = 200;
+    int24 public constant MIN_TICK = -887_200;
+    int24 public constant MAX_TICK = 887_200;
+
+    IUniswapV3Pool public immutable pool;
+    IERC20 public immutable token0;
+    IERC20 public immutable token1;
+    bool public immutable token0isWeth;
+
+    int24 public tickLower;
+    int24 public tickUpper;
+    uint128 public liquidity;
+
+    uint256 public rebalanceCount;
+    uint256 public feesCollected0;
+    uint256 public feesCollected1;
+    uint256 public blocksInRange;
+    uint256 public totalBlocks;
+    bool public initialized;
+
+    constructor(IUniswapV3Pool _pool, IERC20 _weth, IERC20 _token, bool _token0isWeth) {
+        pool = _pool;
+        token0isWeth = _token0isWeth;
+        token0 = _token0isWeth ? _weth : _token;
+        token1 = _token0isWeth ? _token : _weth;
+    }
+
+    /// @notice Initialize around the current pool price.
+    ///         Caller must transfer tokens to this contract before calling.
+    function initialize() external {
+        require(!initialized, "already initialized");
+        initialized = true;
+        (, int24 currentTick,,,,,) = pool.slot0();
+        _createPosition(currentTick);
+    }
+
+    /// @notice Record one simulation block; tracks time-in-range.
+    function recordBlock() external {
+        totalBlocks++;
+        (, int24 currentTick,,,,,) = pool.slot0();
+        if (currentTick >= tickLower && currentTick < tickUpper) {
+            blocksInRange++;
+        }
+    }
+
+    /// @notice Rebalance if current price is outside the position range.
+    /// @return didRebalance true if a rebalance occurred.
+    function maybeRebalance() external returns (bool didRebalance) {
+        (, int24 currentTick,,,,,) = pool.slot0();
+        if (currentTick >= tickLower && currentTick < tickUpper) return false;
+
+        _removePosition();
+        _createPosition(currentTick);
+        rebalanceCount++;
+        return true;
+    }
+
+    /// @notice Collect accrued fees without changing liquidity.
+    function collectFees() external {
+        if (liquidity > 0) {
+            pool.burn(tickLower, tickUpper, 0);
+        }
+        (uint256 f0, uint256 f1) = pool.collect(address(this), tickLower, tickUpper, type(uint128).max, type(uint128).max);
+        feesCollected0 += f0;
+        feesCollected1 += f1;
+    }
+
+    /// @notice Burn current position and collect everything.
+    function finalize() external {
+        _removePosition();
+    }
+
+    function getWethBalance() external view returns (uint256) {
+        return token0isWeth ? token0.balanceOf(address(this)) : token1.balanceOf(address(this));
+    }
+
+    function getTokenBalance() external view returns (uint256) {
+        return token0isWeth ? token1.balanceOf(address(this)) : token0.balanceOf(address(this));
+    }
+
+    // ── Internal ──────────────────────────────────────────────────────────────
+
+    function _createPosition(int24 currentTick) internal {
+        int24 center = (currentTick / TICK_SPACING) * TICK_SPACING;
+        tickLower = center - HALF_WIDTH;
+        tickUpper = center + HALF_WIDTH;
+
+        // Clamp to pool boundaries
+        if (tickLower < MIN_TICK) tickLower = ((MIN_TICK / TICK_SPACING) + 1) * TICK_SPACING;
+        if (tickUpper > MAX_TICK) tickUpper = (MAX_TICK / TICK_SPACING) * TICK_SPACING;
+
+        uint256 bal0 = token0.balanceOf(address(this));
+        uint256 bal1 = token1.balanceOf(address(this));
+        uint160 sqrtCurrent = TickMath.getSqrtRatioAtTick(currentTick);
+        uint160 sqrtLow = TickMath.getSqrtRatioAtTick(tickLower);
+        uint160 sqrtHigh = TickMath.getSqrtRatioAtTick(tickUpper);
+
+        liquidity = LiquidityAmounts.getLiquidityForAmounts(sqrtCurrent, sqrtLow, sqrtHigh, bal0, bal1);
+        if (liquidity > 0) {
+            pool.mint(address(this), tickLower, tickUpper, liquidity, "");
+        }
+    }
+
+    function _removePosition() internal {
+        if (liquidity > 0) {
+            pool.burn(tickLower, tickUpper, liquidity);
+            (uint256 f0, uint256 f1) = pool.collect(address(this), tickLower, tickUpper, type(uint128).max, type(uint128).max);
+            feesCollected0 += f0;
+            feesCollected1 += f1;
+            liquidity = 0;
+        }
+    }
+
+    /// @inheritdoc IUniswapV3MintCallback
+    function uniswapV3MintCallback(uint256 amount0Owed, uint256 amount1Owed, bytes calldata) external override {
+        require(msg.sender == address(pool), "not pool");
+        if (amount0Owed > 0) token0.transfer(msg.sender, amount0Owed);
+        if (amount1Owed > 0) token1.transfer(msg.sender, amount1Owed);
+    }
+}