Unleashing the Robot 🤖

Dear owls,

10 days ago, the DG2 process for iRobot was paused in order to understand a technical issue that was discovered in the toolchain used to build this complex product.

A short update was provided last Monday during our weekly stand-up, as well as during the Product WG call.

The week-end approaching I thought it would be important to take some time again to go through the details, and above all the progress being made to finally unleash the Robot :mechanical_arm:

1/ Flashback : what happened ?

While extracting the “average” and “losers” portfolio performance from the latest backtest data, some incoherences prevented clarifying this important point raised by @JosephKnecht.

Indeed, after reprocessing an old dataset from May, multiple different results came out across the 800-ish assets of which average return and downside volatility are tracked on a daily basis.

The initial investigation revealed that the length of the datasets provided by a long time reference API had changed randomly for several assets. After digging a bit more, it appeared that the beginning of the available price history would also be delayed by a couple of days to several weeks in comparison with the data available from CoinGecko. The variation in dataset length would simply be additional bits of history added on a random basis.

2/ What consequences did this have and what has been done so far to rectifiy the situation ?

While this issue has got a minor impact on the ranking of the oldest assets, the missing bits of history have introduced a bias in the calculation of the Sortino ratio for the “youngest” tokens. This has prevented their integration in the list of potential candidates for iRobot, such that the draft compositions used for backtesting or liquidity analysis would not match with the original methodology anymore.

At this point, it was decided to pause the DG2 process in order to re-build confidence in the whole toolchain, and deliver transparent / unbiased data to the community before the vote.

To achieve this, the whole data processing suite has been rebuilt and automated nearly from scratch. Most importantly, it is now based on data directly imported from CoinGecko (for the analytic geeks out there who would like to have a look at the tool, please DM me in Discord).

The old dataset from May, which led to this discovery, has been re-processed again. For the same asset tracked over the same period of time, it was checked that the new suite is delivering identical results to the old one.

This part of the investigation was concluded by drafting a new composition as of 1st May, and checking the differences with the original backtest. It was found that, among 15 underlyings, the new composition would retain 10 of the old one and introduce 5 new tokens with subsequent variations in weights.

It is worth mentioning that this new result reinforces my confidence in the methodology’s ability to identify strong candidates, but I will do my best to support this with more data in a future post.

3/ What’s next ?

While the backtest could simply be run again based on this latest composition, it’s also important to mention that automating access to the CoinGecko price history for any token significantly extends the universe of “processable” candidates.

This is exactly the reason why it was planned to give this a try before launch… Even if the experience has been more painful than expected, now that the most difficult has been done I think it makes sense to focus on the integration of this extended universe to :

  • Draft the final iRobot composition
  • Pick the most relevant selection to backtest again from May onwards.

We can reasonably expect that this will require at least one more week of work, but of course further updates will follow along the way. As usual, any question or comment, don’t hesitate to get in touch here or in Discord !



Thanks for the updates @Monportefeuille ! Impressed by your thoroughness


Dear all,

As mentioned during today’s PWG call, the toolchain that has been rebuilt in the last couple of weeks has started delivering results, and it’s a great pleasure to finally unveil a new draft composition for iRobot that uses its full potential :

The list of candidate tokens has been extended to 1429 (and counting …), which has opened the doors to more recent DeFi projects like Tokemak, dYdX or Convex Finance as well as metaverse / NFT highlights Yield Guild Games or Superrare. Besides these new entrants, 8 former components are still part of the selection, even though their respective weights have been re-evaluated.

Several additional comments :

  • A lot of potential candidates have been excluded thanks to the pool liquidity threshold of $4m that has always been considered as minimum limit. The backtest data show that this is a crucial help to onboard solid components and avoid quickly fading hypes.
  • Some components have seen their weight capped to 5%, as per the additional criteria on pools concentrating “only” $4 to $7m liquidity.
  • Thanks to this extended database, it should be possible to limit the overlaps between iRobot and other Index Coop products to 3 or 4 identical tokens. Besides diversification, this will also avoid vampirizing liquidity from the smallest pools.
  • 7 projects have been dismissed due to the absence or poor results of security audits, or due to code reviews still ongoing. 4 projects have been discarded due to their price and liquidity history not exceeding a month. For these reasons and due to the ongoing market dynamics, this composition is subject to change again before launch.

What’s next :

  • The price history of these 1429 tokens has been re-processed all the way back to 1st May, this week’s remaining challenge is to put backtest results together again (including the loser’s portfolio which “caused” all this trouble @JosephKnecht :nerd_face:).
  • We’re still on target to proceed with DG2 before Halloween !


1 Like