Backtesting Appendix (DC)

Dual Currency

The legend below indicates the historical incidence of conversion or no conversion during a 27 day period.

• Dark green: No conversion occurs.

• Light green: Conversion occurs but no impact to net P&L.

• Light gray: Conversion occurs and the impact to net P&L (due to diluted upside) is less than median.

• Dark gray: Conversion occurs and the impact to net P&L (due to diluted upside) is more than median.

The median P&L impact due to diluted upside is calculated and noted beside the red boxes above the probability bar chart. The median P&L gain can be found next to the green boxes above the bar chart.

stETH Dragon

stETH Dragon has a 59% probability of no conversion (backtesting data Jan 2023 - Jan 2024).

stETH Elephant

stETH Elephant has a 66% probability of no conversion (backtesting data Jan 2023 - Jan 2024).

stETH Whale

stETH Whale has a 88% probability of no conversion (backtesting data Jan 2023 - Jan 2024).

ETH Dragon

ETH Dragon has a 61% probability of no conversion (backtesting data Jan 2023 - Jan 2024).

ETH Elephant

ETH Elephant has a 69% probability of no conversion (backtesting data Jan 2023 - Jan 2024).

ETH Whale

ETH Whale has a 92% probability of no conversion (backtesting data Jan 2023 - Jan 2024).

USDC Dragon

USDC Dragon has a 82% probability of no conversion (backtesting data Jan 2023 - Jan 2024).

USDC Elephant

USDC Elephant has a 95% probability of no conversion (backtesting data Jan 2023 - Jan 2024).

USDT Dragon

USDT Dragon has a 82% probability of no conversion (backtesting data Jan 2023 - Jan 2024).

USDT Elephant

USDT Elephant has a 95% probability of no conversion (backtesting data Jan 2023 - Jan 2024).

WBTC Dragon

WBTC Dragon has a 52% probability of no conversion (backtesting data Jan 2023 - Jan 2024).

WBTC Elephant

WBTC Elephant has a 64% probability of no conversion (backtesting data Jan 2023 - Jan 2024).

DAI Dragon

DAI Elephant has a 82% probability of no conversion (backtesting data Jan 2023 - Jan 2024).

DAI Elephant

DAI Elephant has a 95% probability of no conversion (backtesting data Jan 2023 - Jan 2024).