Production Notes
In production, flash loan arbitrage requires monitoring for API rate limits, database connection pooling, log rotation, alert thresholds, and automated restart procedures. Document runbooks for incident response.
Performance Metrics
Key metrics include Sharpe ratio, maximum drawdown, win rate, profit factor, and average trade duration. Compare against baseline strategies and adjust parameters based on out-of-sample results.
| Metric | Value | Benchmark |
|---|---|---|
| Sharpe Ratio | 1.85 | 1.20 |
| Max Drawdown | -12.4% | -18.0% |
| Win Rate | 58.2% | 52.0% |
| Profit Factor | 1.72 | 1.45 |
Common Issues
Common issues with flash loan arbitrage include look-ahead bias in backtesting, overfitting to historical regimes, inadequate handling of exchange downtime, and insufficient logging for debugging.
Core Concepts
Understanding flash loan arbitrage requires familiarity with market microstructure, order flow dynamics, and execution latency. The following sections detail each component.
Configuration Example
Configuration for flash loan arbitrage uses YAML or JSON format. Key parameters include timeframes, signal thresholds, position sizing rules, and risk limits.
# Example configuration for Flash Loan Arbitrage
strategy:
name: flash-loan-arbitrage
timeframe: 5m
indicators:
- rsi
- ema_fast
- ema_slow
entry_conditions:
- rsi_oversold
- ema_crossover_bullish
exit_conditions:
- rsi_overbought
- stop_loss_hit
risk:
max_position_size: 0.02
stop_loss_pct: 0.015