search

overlay-market / overlay-risk

Risk metrics for various data streams
MIT License
13 stars 4 forks source link

Discrepancies in outputs of influx_metrics.py #16

Open deepsp94 opened 3 years ago

deepsp94 commented 3 years ago

I've compared values at the same time (or nearest time) between each of our (@mikeyrf's and mine) ovl_metrics buckets.

Some problematic pairs: ALPHA/WETH RUNE/WETH CRV/WETH WETH/DAI WETH/USDC

I noticed that value at risk for these pairs is nearly the same until a point of time and then deviates by a huge percentage after that point. In these cases, when I switch over to 'mu' on the filter, i see that value_x (@mikeyrf) and value_y (@deepsp94) deviate at the aforementioned point of time but are close together before and after.

You can see the diff percentage between our VaR values goes from 0 to around 25 and then 35 image

This happens at the same time when, for some reason, our mu values suddenly diverge by a lot and then snap back image

deepsp94 commented 3 years ago

Attaching the excel with these charts bucket_comparison.xlsx