Strategy backtests

Backtest

We conducted a series of backtests to evaluate USDC vault performance under varying liquidity levels of $1 million, $3 million, and $10 million. Drawing on historical data from the Arbitrum network spanning August 5, 2024 (block #239724778) to October 15, 2024 (block #264048675), we tested three distinct strategies:

1. Simple Strategy – Allocates all liquidity to whichever protocol currently offers the highest APR.

2. PSO-optimized Strategy – Distributes liquidity across multiple protocols to maximize overall APR.

3. Benchmark – Allocates all liquidity to AAVE for comparative purposes.

Simulation

🔵 The blue line — AAVE-only

🟠 The orange line — Simple strategy

🟢 The green line — PSO-optimized strategy

In all simulations we have observed that the optimized strategy sustainably outperforms all other strategies, only varying in how much it outperforms them depending on the vault liquidity.

Results

Vault liquidity: $1M

Average APRs:

• Aave-only: 3.31%

• Simple strategy: 5.21%

• Optimized strategy: 5.40%

Improvement vs Simple strategy: +3%

Vault liquidity: $3M

Average APRs:

• Aave-only: 3.24%

• Simple strategy: 3.69%

• Optimized strategy: 4.32%

Improvement vs Simple strategy: +17%

Vault liquidity: $10M

Average APRs:

• Aave-only: 3.03%

• Simple strategy: 1.53%

• Optimized strategy: 3.55%

Improvement vs Simple strategy: +132%

Conclusion

After assessing the total APR for each strategy relative to the AAVE benchmark, our findings indicate that the Optimized Strategy consistently surpasses both the Simple Strategy and the Benchmark. Notably, its advantage grows significantly with higher liquidity levels. While the Optimized Strategy delivers only a 3% improvement at $1 million, this figure rises to 17% at $3 million, and surges to 132% at $10 million.