The avatar for @bgits
Barry G
Published
Edited
Jul 24, 2019
1 star
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cDaiSharpe = getSharpe(cDaiRate, riskFree, daiDailyChanges)
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ethSharpeData = findSharpe(cDaiSharpe, ethDailyChange)
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findSharpe = (targetSharpe, dailyChanges, rate = 0.15) => {
let returnRate = rate
let calculatedSharpe = getSharpe(returnRate, riskFree, dailyChanges)
while(calculatedSharpe < targetSharpe || returnRate > 5) {
returnRate = returnRate + 0.01
calculatedSharpe = getSharpe(returnRate, riskFree, dailyChanges)
}
return { calculatedSharpe, returnRate }
}
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cDaiRate = Number(cDaiData.supply_rate.value)
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daiDailyChanges = getPercentChange(coinbaseDai.map(d => d[4]))
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daiStd = simpleStatistics.standardDeviation(daiDailyChanges)
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ethDailyChange = getPercentChange(daiEthPrices.map(p => p.close))
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ethStd = simpleStatistics.standardDeviation(ethDailyChange)
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ethImplied = (ethStd / daiStd)*cDaiRate
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riskFree = 0.02
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import {cDaiData} from '@bgits/cdai-pricing'
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daiEthPrices = ethPrices.filter(p => Number(p.time) >= firstTime)
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daiDataUrl = 'https://dai.stablecoin.science/data/ethdai-trades-30d.csv'
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endTime = new Date(daiEthTimes[daiEthTimes.length-1]*1000)
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coinbaseApi = `https://api.pro.coinbase.com/products/DAI-USDC/candles?start=${startTime}&end=${endTime}&granularity=86400`
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d3 = require('d3')
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import {dailyPrices, getSharpe} from '@bgits/crypto-networks-cost-of-capital-exploration'
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simpleStatistics = require('simple-statistics')
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getPercentChange = prices => prices.map((price, i) => {
if (!i) return 0
let yesterdaysPrice = prices[i-1]
return (price - yesterdaysPrice) / yesterdaysPrice
})
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displayPercent = num => Number(num).toLocaleString(undefined,{style: 'percent', minimumFractionDigits:2})
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