Run hold, an LP range and a hedge through a real stretch of hourly prices, and watch how each fared along the way, not only at the end.
How the test works
Prices are finished hourly closes, stamped at the end of each hour. Between closes the price is taken to move 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. Gaps in the history are bridged in a straight line; the dates shown are the history the API returned.
These are modelled results, not a rebuild of a real pool or account, and past paths do not predict future ones.