Position width vs PnL analysis

Run metadata

Chain: 8453

Pair: weth/aero

Cohort field: close_month_utc

Closed core rows: 29

All positions rows: 47

Headline findings

{
  "closed_core_row_count": 29,
  "widest_vs_narrowest_median_pnl_usdc": {
    "narrowest_bucket": "Q1_narrowest",
    "narrowest_median_pnl_usdc": -2.070335,
    "widest_bucket": "Q5_widest",
    "widest_median_pnl_usdc": -5.493448,
    "delta": -3.423113
  },
  "widest_vs_narrowest_median_return_pct": {
    "narrowest_bucket": "Q1_narrowest",
    "narrowest_median_pnl_pct_on_deposit": -0.021484403846153848,
    "widest_bucket": "Q5_widest",
    "widest_median_pnl_pct_on_deposit": -0.014919034666666666,
    "delta": 0.006565369179487182
  },
  "least_vs_most_active_median_pnl_usdc": {
    "least_active_bucket": "Q1_lower",
    "least_active_median_pnl_usdc": -0.0125,
    "most_active_bucket": "Q3_upper",
    "most_active_median_pnl_usdc": -4.082859,
    "delta": 4.070359
  },
  "pairwise_correlations": {
    "avg_total_width_ticks__vs__pnl_usdc_net": {
      "pearson": -0.048812489757935035,
      "spearman": -0.22244324960823206
    },
    "avg_total_width_ticks__vs__pnl_pct_on_deposit": {
      "pearson": -0.03583251717610331,
      "spearman": -0.14063356558564893
    },
    "reranges_per_30d__vs__pnl_usdc_net": {
      "pearson": 0.010947343852582425,
      "spearman": -0.0801594335460452
    },
    "reranges_per_30d__vs__pnl_pct_on_deposit": {
      "pearson": -0.01173899529950736,
      "spearman": -0.16264232893400474
    }
  }
}

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