clean_returns

Documentation for eth_defi.research.wrangle_vault_prices.clean_returns function.

clean_returns(rows, prices_df, logger=<built-in function print>, outlier_threshold=0.5, display=<function <lambda>>, returns_col='returns_1h')

Clean returns data by removing rows with NaN or infinite values.

  • In returns data we have outliers that are likely not real returns, or one-time events that cannot repeat.

    • Floating point errors: [Share price may jumps wildly when a vault TVL is near zero](https://x.com/0xSEM/status/1914748782102630455)

    • Bugs: Vault share price method to estimate returns does not work for a particular airdrop

    • Airdrops: Vault gets an irregular rewards that will not repeat, and thus are not good to estimate the future performance

  • We clean returns by doing an assumptions - Daily returns higher than static outlier - Daily TVL max does not make sense - Daily TVL min does not make sense - Daily TVL % below lifetime average TVL

Parameters
Return type

pandas.DataFrame