Rebalancing Data

This repository collects methodology notebooks and utilities for designing and backtesting cryptocurrency indices. The project centres around Phuture index methodologies and stores historical rebalancing calculations.

Contents

• Index folders (AEX/, BEX/, CAI/, etc.) – each folder contains a methodology_template.ipynb or dated notebooks that detail the rules and the monthly rebalancing for a specific index.
• methodology.py – core library providing MethodologyBase and MethodologyProd classes for gathering market data, applying eligibility rules and computing asset weights.
• backtester.py – script for evaluating index performance and rebalancing schedules.
• db_funcs.py – SQLite helper functions used to persist benchmarking and liquidity data.
• abis.py – contract ABIs used for on‑chain interactions.
• Pipfile / Pipfile.lock – Python dependencies (requires Python 3.13+).

Data is stored in (rebalancing_data_db.sqlite)

Installation

Use pipenv or pip to install the required packages. With pipenv:

pipenv install --dev

or with pip:

pip install -r <(pipenv lock -r)

Environment

Several API keys and endpoints are read from environment variables:

• CG_KEY – CoinGecko API key.
• ZEROEX_KEY – 0x API key used for slippage estimates.
• Blockchain RPC URLs such as ETHEREUM_INFURA_URL, AVALANCHE_INFURA_URL, POLYGON_INFURA_URL, etc.

Set these variables before running the notebooks or scripts.

Usage

The notebooks demonstrate how to instantiate a MethodologyProd object, fetch market data and generate the final weights. The backtester.py module can simulate rebalancing strategies and compare them against benchmarks:

from backtester import BackTester

# Example asset weights
weights = {"bitcoin": 0.5, "ethereum": 0.5}
bench = ["bitcoin"]

bt = BackTester(weights, bench)
fig, values, returns = bt.simulate_with_rebalancing(30, liquidity_discount=0)
fig.show()

The outputs include performance charts and cumulative returns for the chosen rebalancing window.

License

This project is distributed under the terms of the GNU General Public License v3.0. See the LICENSE file for details.