JLP delta-neutral strategy - backtest input dataset
Window: 2026-01-17 .. 2026-03-30 (UTC). All series parsed from public on-chain state / public venue APIs.
- jlp_pool_metrics.csv: pool AUM (contract accounting), JLP supply, NAV (virtual) price
- jlp_open_interest.csv: trader open interest per asset, USD
- oracle_prices.csv: SOL/BTC/ETH oracle prices
- rates/: hedge venue funding & borrow/lend rate histories (Hyperliquid funding, Kamino lending)
Sufficient, with formula (1) of the paper, to reproduce the idealized simulation (Figure 1).
Contact: see app.vega-finance.tech
