Merge pull request #18 from cowprotocol/rebalancing_portfolio

[CoW AMM Performance] 10k growth for daily rebalancing portfolio

cow_amm/daily_rebalancing_4055484.sql

@@ -0,0 +1,58 @@
+-- Computes the balances and current value of a counterfactual portfolio that invests 10k evenly into two tokens and re-balances once a day to keep a 50:50 exposure
+-- Parameters
+--  {{token_a}} - either token of the desired uni pool
+--  {{token_b}} - other token of the desired uni pool
+--  {{start}} - date as of which the analysis should run
+
+-- Note: not using a simpler recursive approach due to Dune's recursion depth limitation.
+-- Current value of initial investment can be computed as the product of cumulative price changes per day, since
+-- `value(day+1) = value(day) * (p1.price(day+1)/p1.price(day) + p2.price(day+1) / p2.price(day))/2`
+-- Thus, current_value can be computed using cumulative products of (sums of) daily price changes:
+-- `(p1.price(day+1)/p1.price(day) + p2.price(day+1)/p2.price(day))/2`
+
+-- limit the relevant date range
+with date_series as (
+    select t.day
+    from
+        unnest(sequence(
+            date(timestamp '{{start}}'),
+            date(now())
+        )) t (day) --noqa: AL01
+),
+
+-- computes relative daily price changes for both assets
+daily_price_change as (
+    select
+        ds.day,
+        p1.price_close / previous_p1.price_close as p1,
+        p2.price_close / previous_p2.price_close as p2
+    from date_series as ds
+    inner join prices.usd_daily as p1
+        on
+            p1.day
+            and p1.contract_address = {{token_a}}
+            and p1.blockchain = 'ethereum'
+    inner join prices.usd_daily as previous_p1
+        on
+            previous_p1.day = ds.day - interval '1' day
+            and previous_p1.contract_address = {{token_a}}
+            and previous_p1.blockchain = 'ethereum'
+    inner join prices.usd_daily as p2
+        on
+            p2.day
+            and p2.contract_address = {{token_b}}
+            and p2.blockchain = 'ethereum'
+    inner join prices.usd_daily as previous_p2
+        on
+            previous_p2.day = ds.day - interval '1' day
+            and previous_p2.contract_address = {{token_b}}
+            and previous_p2.blockchain = 'ethereum'
+)
+
+-- For each day multiply initial investment with cumulative product of average price change of the two assets
+select
+    day,
+    -- SQL doesn't support PRODUCT() over (...), but luckily "the sum of logarithms" is equal to "logarithm of the product",
+    exp(sum(ln((p1 + p2) / 2)) over (order by day asc)) * 10000 as current_value_of_investment
+from daily_price_change
+order by 1 desc