DeFi risk analysis: a static stop-loss stress test on one day of hourly ETH data
Live: summer-fi-risk-analysis.vercel.app
This is an independent portfolio case study. A small Python model replays 24 hourly ETH price and gas observations for 5 August 2024 against static stop-loss buffers. It uses illustrative Aave V3 and Morpho parameters. A Next.js page lets a reader change the market, entry LTV and buffer and see the outcome. The repository is not affiliated with Summer.fi, Aave or Morpho.
Results
All numbers come from data/aug_5_crash_data.csv and reports/sweep_results.csv.
- Scenario. ETH goes from 2,910 at 00:00 to a 2,120 low at 06:00 and closes at 2,450 (-27.1% to the low, -15.8% at the close). Peak gas is 681.4 Gwei at 08:00.
- Sweep. 50 static runs: 2 protocols x 5 entry LTVs (0.60 to 0.80) x 5 buffers (2% to 12%).
- Aave V3 parameters. 21 runs end in a stop-loss exit and 4 in liquidation.
- Morpho parameters. 12 runs end in a stop-loss exit, 6 in liquidation and 7 stay active.
- Reading the result. A wider buffer turns a liquidation into a stop-loss exit at the same entry LTV. The sweep shows this only for this one day of data.
How it works
scripts/risk_model.py holds a DeFiRiskModel. At each hourly row it computes LTV as debt / (collateral x price). It checks the liquidation threshold first, then the stop-loss trigger (threshold minus buffer). Gas does not change LTV. It adds slippage (0.1% + gas/100 x 0.5%, capped at 5%) and a fixed 300,000-gas cost to the modeled exit value. Only a static strategy exists. web-showcase/src/app/riskModel.ts mirrors the model for the interactive page, and tests/test_ts_parity.py checks that both give the same status, trigger hour and exit values. notebooks/aug5_analysis.ipynb plots the data and the sweep, with its executed output committed.
Run it
Needs Python 3.14 (the version tested; pandas==3.1.0 needs 3.11 or newer) and Node 22.18 or newer (the parity test runs the TypeScript model with Node's built-in type stripping). No network or keys are needed after install.
python3 -m venv .venv && . .venv/bin/activate
pip install -r requirements.txt
python -m pytest tests # 13 tests passed on 2026-10-24
python scripts/risk_model.py --combined-sweep # rewrites reports/sweep_results.csv (identical to the committed file)
python scripts/risk_model.py --protocol AaveV3 --ltv 0.70 --buffer 0.05
jupyter nbconvert --to notebook --execute notebooks/aug5_analysis.ipynb --stdout > /dev/null
cd web-showcase
npm ci
npm run lint && npm run build
npm run dev
Repository layout
data/: the 24-row hourly price and gas CSV.scripts/: the Python risk model and command-line entry point, plus the Node helper the parity test calls.tests/: 13 pytest tests: the Python model, and its agreement with the TypeScript model.notebooks/: plots of the data and the sweep.reports/: the sweep CSV and a written backtest report.web-showcase/: the Next.js case-study page and docs viewer.
Documentation
Sources
The CSV is described as a "supplied scenario". Its source is not recorded in this repository, and I have not checked it against on-chain or exchange data. Treat the prices and gas values as illustrative inputs, not as a market record.
Scope and limits
- Illustrative heuristic model. It is not a forecast, a valuation, or a liquidation simulator for live markets.
- One day, 24 hourly rows, one collateral asset. Hourly data cannot show whether a stop-loss would have executed before a breach within the hour, so liquidation is checked first.
- Protocol thresholds (0.825 for Aave V3, 0.945 for Morpho) and penalties (5% and 1%) are fixed parameters, not read from the live protocols. Check them before relying on any result.
- The web model is a separate TypeScript port.
tests/test_ts_parity.py compares it with the Python model on the 50-run sweep grid and four off-grid inputs. It does not prove the two agree on every input.
- The notebook's committed output (three charts) was executed on 2026-10-24 with the pinned requirements. It is not re-run in CI.
- Not verified: the data source, the parameter values against current protocol configuration, and the pages at
/docs.
License
MIT, see LICENSE. It covers this project's code, not the supplied scenario data, whose source is uncited.
Part of Rahil Bhavan's projects.
