Position width vs PnL analysis

Run metadata

Chain: 8453

Pair: cbbtc/usdc

Cohort field: close_month_utc

Closed core rows: 30

All positions rows: 39

Headline findings

{
  "closed_core_row_count": 30,
  "widest_vs_narrowest_median_pnl_usdc": {
    "narrowest_bucket": "Q1_narrowest",
    "narrowest_median_pnl_usdc": -0.005651,
    "widest_bucket": "Q5_widest",
    "widest_median_pnl_usdc": 8.019237500000001,
    "delta": 8.024888500000001
  },
  "widest_vs_narrowest_median_return_pct": {
    "narrowest_bucket": "Q1_narrowest",
    "narrowest_median_pnl_pct_on_deposit": -0.0018836666666666665,
    "widest_bucket": "Q5_widest",
    "widest_median_pnl_pct_on_deposit": 0.012225370624999999,
    "delta": 0.014109037291666666
  },
  "least_vs_most_active_median_pnl_usdc": {
    "least_active_bucket": "Q1_lower",
    "least_active_median_pnl_usdc": 0.014977999999999998,
    "most_active_bucket": "Q3_upper",
    "most_active_median_pnl_usdc": -1.6954935,
    "delta": 1.7104715
  },
  "pairwise_correlations": {
    "avg_total_width_ticks__vs__pnl_usdc_net": {
      "pearson": 0.17708197835637887,
      "spearman": 0.2652720744217095
    },
    "avg_total_width_ticks__vs__pnl_pct_on_deposit": {
      "pearson": -0.07178198066227637,
      "spearman": 0.17202626973823948
    },
    "reranges_per_30d__vs__pnl_usdc_net": {
      "pearson": -0.10882370232963293,
      "spearman": -0.3978773119877128
    },
    "reranges_per_30d__vs__pnl_pct_on_deposit": {
      "pearson": -0.19820387355560268,
      "spearman": -0.3669815358674548
    }
  }
}

Methodology

{
  "open_mark_to_market_pnl_usdc_net": "withdrawn_usdc_net_to_owner_total + current_value_usdc - deposited_usdc_gross_total",
  "pnl_pct_on_deposit": "pnl_usdc_net / deposited_usdc_gross_total",
  "pnl_pct_on_principal_snapshot": "pnl_usdc_net / principal_usdc_snapshot",
  "fee_drag_pct_on_deposit": "(protocol_fee_paid_usdc_total + bot_fee_paid_usdc_total) / deposited_usdc_gross_total",
  "current_value_multiple": "current_value_usdc / deposited_usdc_gross_total",
  "log_deposit_usdc": "ln(1 + deposited_usdc_gross_total)",
  "reranges_per_30d": "rerange_count * 30 / duration_days"
}

Data files

• positions.closed_core.csv
• positions.all_positions.csv
• buckets.width.closed_core.csv
• buckets.rerange.closed_core.csv
• buckets.width_x_rerange.closed_core.csv
• buckets.width.by_dex.closed_core.csv
• buckets.width.by_month.closed_core.csv
• summary.closed_core.json
• summary.all_positions.json
• regression.closed_core.json
• correlation.closed_core.json