Run hold, an LP range and a hedge through real hourly prices, and see how each fared along the way.
How the test works
Prices are finished hourly closes, stamped at the end of each hour. Between closes the price moves in a straight line, so swings inside an hour are not seen.
Fees accrue on the starting LP capital, only while the path is inside the range.
Hold keeps the LP's opening mix of asset and USD. The hedge's short is sized once from the LP's exposure at the start, from the same total capital.
Funding is charged on the opening size. The short is liquidated, for good, when its equity reaches zero. Maintenance margin, execution costs, slippage, compounding and rebalancing are left out.
The deepest drop is measured at closes, over the whole period. Gaps in the history are bridged in a straight line.
