PeriodMetrics

Documentation for eth_defi.research.vault_metrics.PeriodMetrics Python class.

class PeriodMetrics

Bases: object

Tearsheet metrics for one period.

Attributes summary

period

error_reason

Error reason if metrics could not be calculated, None if successful

period_start_at

When was start share price sampled

period_end_at

When was end share price sampled

share_price_start

Share price at beginning

share_price_end

Share price at end

raw_samples

Number of raw datapoints used

samples_start_at

samples_end_at

daily_samples

Number of daily datapoitns used

returns_gross

How much absolute returns we had

returns_net

cagr_gross

Compounding annual returns

cagr_net

volatility

Annualised volatility, calculated based on daily returns

sharpe

Sharpe ratio

max_drawdown

Period maximum drawdown

tvl_start

TVL at the start of the period

tvl_end

TVL at the end of the period

tvl_low

Minimum TVL in the period

tvl_high

Maximum TVL in the period

ranking_overall

Rank among all vaults (1 = best), based on CAGR

ranking_chain

Rank among vaults on the same chain (1 = best), based on CAGR

ranking_protocol

Rank among vaults in the same protocol (1 = best), based on CAGR

avg_utilisation

Average utilisation over the period (lending vaults only, 0.0–1.0)

Methods summary

__init__(period[, error_reason, ...])

error_reason: Optional[str]

Error reason if metrics could not be calculated, None if successful

period_start_at: Optional[pandas.Timestamp]

When was start share price sampled

period_end_at: Optional[pandas.Timestamp]

When was end share price sampled

share_price_start: Optional[float]

Share price at beginning

share_price_end: Optional[float]

Share price at end

raw_samples: int

Number of raw datapoints used

daily_samples: int

Number of daily datapoitns used

returns_gross: Optional[float]

How much absolute returns we had

cagr_gross: Optional[float]

Compounding annual returns

volatility: Optional[float]

Annualised volatility, calculated based on daily returns

sharpe: Optional[float]

Sharpe ratio

max_drawdown: Optional[float]

Period maximum drawdown

tvl_start: Optional[float]

TVL at the start of the period

tvl_end: Optional[float]

TVL at the end of the period

tvl_low: Optional[float]

Minimum TVL in the period

tvl_high: Optional[float]

Maximum TVL in the period

ranking_overall: Optional[int]

Rank among all vaults (1 = best), based on CAGR

ranking_chain: Optional[int]

Rank among vaults on the same chain (1 = best), based on CAGR

ranking_protocol: Optional[int]

Rank among vaults in the same protocol (1 = best), based on CAGR

avg_utilisation: Optional[float]

Average utilisation over the period (lending vaults only, 0.0–1.0)

__init__(period, error_reason=None, period_start_at=None, period_end_at=None, share_price_start=None, share_price_end=None, raw_samples=0, samples_start_at=None, samples_end_at=None, daily_samples=0, returns_gross=None, returns_net=None, cagr_gross=None, cagr_net=None, volatility=None, sharpe=None, max_drawdown=None, tvl_start=None, tvl_end=None, tvl_low=None, tvl_high=None, ranking_overall=None, ranking_chain=None, ranking_protocol=None, avg_utilisation=None)
Parameters
Return type

None