Time Selection and Loss & Rebalance Strategy

Time Selection Strategy

Most impermanent losses occur during volatile periods, but some can be mitigated by strategically exiting the market based on specific condition triggers. We have developed a time selection strategy based on the Factor Model that dictates when to exit and re-enter the market according to price fluctuations, volatility, and waiting periods. Our approach involves exiting the market when price fluctuations exceed a certain threshold and waiting until volatility decreases before re-entering. Through a comprehensive parameter grid search, we have derived the optimal parameters and algorithm to minimize weekly impermanent loss.

Concentrated Liquidity and Rebalance Strategy for Uniswap V3

Our Concentrated Liquidity and Rebalance Strategy for Uniswap V3 incorporates several key components, enhanced by advanced machine learning models for volatility and price movement prediction. These models quantify the parameters for each strategy, allowing for more precise and effective liquidity management:

• Focus on Correlated Assets: Provide liquidity for token pairs that move together in price, reducing the likelihood of large price divergences.

• Choose and Actively Rebalance Appropriate Price Ranges: Concentrate liquidity in a narrow range for stable pairs or a wider range for volatile pairs. Continuously monitor market conditions and adjust the liquidity range as needed. Create multiple narrower positions across different price ranges to capture fees if prices move significantly.

• Balance Risk and Reward with Fee Tiers: Place volatile asset pairs at higher fee tiers to compensate for increased IL risk. Balance narrower ranges to increase fee earnings while being mindful of the heightened risk of inactivity if prices move out of range.

• Prefer Longer-Duration Positions: Positions held for longer durations tend to overcome IL through accumulated fees, offsetting temporary losses caused by price fluctuations.

• Monitor for Whale Movements: Respond quickly to large liquidity providers entering or exiting the pool, as this can affect the pool balance and increase IL.