We’ve done the work and backtested everything so you could farm the best real yield on the market.
TL;DR: Logarithm Finance is an on-chain protocol with delta-neutral strategies. Our game-changing product, Nautilus Vaults, combines LP positions on UNI V3 with GMX_IO perps to hedge volatile assets.
Prepare yourselves for a new era in DeFi
Now that you know about Logarithm Finance, we can discuss our backtest results.
Let’s start with a methodology. Our strategy backtested the ETH/USDT UNI V3 pool on Arbitrum with a 0.05% fee tier.
https://arbiscan.io/address/0x641c00a822e8b671738d32a431a4fb6074e5c79d
Backtest covers the period from the 1st of Jan till the 1st of June. In this strategy, we only rebalance if our position is out of range.
We collect spot price data from the DEX trading pair that we provide liquidity into and calculate realized volatility based on it.
🚨 We do not use any sources for implied volatility, as they are not relevant for setting the concentrated liquidity ranges. No TA, math only
Balances
This chart shows how our balances changed through time:
1⃣ Net balance – all money
2⃣ Pool balance – our LP value on UNI V3
3⃣ Hedge balance – our hedge amount on GMX
4⃣ Price – ETH price
As you can see, APY grows despite any market movemen
Position’s bounds with the price
This chart shows our narrow liquidity ranges. They were set by the protocol without any human adjustments.
It is a fully on-chain algorithm, and it really follows the volatility. We never stop our R&D on price ranges, our goal is to LP on 6%
Hedge position leverage
This chart shows our leverage on GMX. Our target leverage is 2x with max leverage of 4x. Nautilus Vault can adjust the leverage for capital efficiency depending on the market conditions.
Why not 50x? Liquidated positions are painful not only for your friend, but for protocols to
Pool hedge ratio
This shows the efficiency of the capital inside our vault at any period of time. The higher the number, the better. P/H ratio = Pool balance / Hedge balance
Accumulated fees
This is our LP fees accumulated over time. Yes, 40%, but remember we also pay tx costs, rebalance costs and borrow fees on GMX. That’s why we can’t take all of this into account but we would love to
Accumulated funding (borrow fees)
This is our cost of hedging on GMX. We paid around 15% for five months of running our vault. It is expensive, but LP fees cover these costs! GMX will launch V2 soon, and it will cut protocol’s spending.
Alpha quiz: Imagine what will happen to the fees with the positive funding rate
Henlo here, if you are reading this, we love you
The last one shows pool statistics. Basically, it means how well we perform compared to UNI pool APY. As you can see, Logarithm Finance outperforms LPs on Uniswap, leaving no chance for them to eat good
Total performance of the strategy is 11.8% real yield APY on ETH/USDT delta-neutral vault. It is a huge success
