Building Stablecoin Portfolio Rebalancer: The Enzyme Finance Integration That Optimized My $200K Portfolio

// Core Enzyme Finance vault setup for stablecoin rebalancing
import { utils } from 'ethers';
import { EnzymeAdapter, PolicyManager, FeeManager } from '@enzymefinance/protocol';

class StablecoinRebalancerVault {
  constructor(config) {
    this.enzymeAdapter = new EnzymeAdapter(config.enzymeConfig);
    this.web3 = config.web3Provider;
    this.vaultAddress = config.vaultAddress;
    
    // Supported stablecoin protocols
    this.protocols = {
      aave: {
        address: '0x7Fc66500c84A76Ad7e9c93437bFc5Ac33E2DDaE9',
        adapter: 'AaveAdapter',
        minAllocation: 0.05, // 5% minimum
        maxAllocation: 0.40  // 40% maximum
      },
      compound: {
        address: '0xc00e94Cb662C3520282E6f5717214004A7f26888',
        adapter: 'CompoundAdapter',
        minAllocation: 0.05,
        maxAllocation: 0.35
      },
      curve: {
        address: '0xD533a949740bb3306d119CC777fa900bA034cd52',
        adapter: 'CurveAdapter',
        minAllocation: 0.10,
        maxAllocation: 0.30
      },
      yearn: {
        address: '0x0bc529c00C6401aEF6D220BE8C6Ea1667F6Ad93e',
        adapter: 'YearnVaultV2Adapter',
        minAllocation: 0.05,
        maxAllocation: 0.25
      },
      convex: {
        address: '0x4e3FBD56CD56c3e72c1403e103b45Db9da5B9D2B',
        adapter: 'ConvexCurveAdapter',
        minAllocation: 0.02,
        maxAllocation: 0.20
      }
    };
    
    // Rebalancing parameters
    this.rebalanceConfig = {
      targetDeviation: 0.05, // Rebalance if allocation deviates >5%
      yieldThreshold: 0.02,  // 2% yield difference triggers rebalance
      maxGasPrice: 100e9,    // 100 gwei max
      minRebalanceInterval: 86400, // 24 hours minimum between rebalances
      emergencyRebalanceThreshold: 0.15 // 15% deviation triggers emergency rebalance
    };
    
    this.currentAllocations = new Map();
    this.targetAllocations = new Map();
    this.performanceMetrics = {
      totalValue: 0,
      totalYield: 0,
      rebalanceCount: 0,
      gasSpent: 0
    };
  }

  // Initialize the vault with optimal policies
  async initializeVault() {
    const policies = await this.createOptimalPolicies();
    const fees = await this.createFeeStructure();
    
    const vaultConfig = {
      denominationAsset: '0xA0b86a33E6417c7178d1b65C0f8E5b2B6B6D6cEC', // USDC
      policies: policies,
      fees: fees,
      fundName: 'Optimized Stablecoin Yield Vault',
      fundSymbol: 'OSYV'
    };
    
    const vault = await this.enzymeAdapter.createVault(vaultConfig);
    this.vaultAddress = vault.address;
    
    console.log(`✅ Vault created: ${this.vaultAddress}`);
    
    // Set up initial allocations
    await this.setInitialAllocations();
    
    return vault;
  }

  async createOptimalPolicies() {
    return [
      // Asset whitelist - only stablecoins
      {
        type: 'AssetWhitelist',
        settings: {
          assets: [
            '0xA0b86a33E6417c7178d1b65C0f8E5b2B6B6D6cEC', // USDC
            '0xdAC17F958D2ee523a2206206994597C13D831ec7', // USDT
            '0x6B175474E89094C44Da98b954EedeAC495271d0F', // DAI
            '0x853d955aCEf822Db058eb8505911ED77F175b99e'  // FRAX
          ]
        }
      },
      // Maximum position limits
      {
        type: 'MaxConcentration',
        settings: {
          maxConcentration: utils.parseEther('0.40') // 40% max in any protocol
        }
      },
      // Minimum/maximum position sizes
      {
        type: 'MinMaxInvestment',
        settings: {
          minInvestmentAmount: utils.parseEther('1000'),  // $1K minimum
          maxInvestmentAmount: utils.parseEther('500000') // $500K maximum
        }
      },
      // Gas price limit
      {
        type: 'MaxGasPrice',
        settings: {
          maxGasPrice: this.rebalanceConfig.maxGasPrice
        }
      }
    ];
  }

  async createFeeStructure() {
    return [
      // Management fee: 1% annually
      {
        type: 'ManagementFee',
        settings: {
          rate: utils.parseEther('0.01') // 1%
        }
      },
      // Performance fee: 10% on profits above 5% APY
      {
        type: 'PerformanceFee',
        settings: {
          rate: utils.parseEther('0.10'), // 10%
          period: 31536000, // 1 year
          crystallizationPeriod: 2592000 // 30 days
        }
      }
    ];
  }
}

// Advanced allocation optimization algorithm
class AllocationOptimizer {
  constructor(rebalancer) {
    this.rebalancer = rebalancer;
    this.yieldTracker = new YieldTracker();
    this.riskAnalyzer = new RiskAnalyzer();
    this.gasOptimizer = new GasOptimizer();
  }

  async calculateOptimalAllocations() {
    // Get current yields from all protocols
    const yields = await this.getAllProtocolYields();
    
    // Get risk metrics for each protocol
    const risks = await this.getAllProtocolRisks();
    
    // Calculate risk-adjusted returns
    const riskAdjustedReturns = this.calculateRiskAdjustedReturns(yields, risks);
    
    // Apply constraints and optimization
    const optimizedAllocations = await this.optimizeAllocations(riskAdjustedReturns);
    
    return optimizedAllocations;
  }

  async getAllProtocolYields() {
    const yields = new Map();
    
    for (const [protocol, config] of Object.entries(this.rebalancer.protocols)) {
      try {
        const yield24h = await this.getProtocolYield(protocol);
        const yield7d = await this.getProtocolYieldHistorical(protocol, 7);
        const yield30d = await this.getProtocolYieldHistorical(protocol, 30);
        
        yields.set(protocol, {
          current: yield24h,
          average7d: yield7d,
          average30d: yield30d,
          volatility: this.calculateYieldVolatility(protocol),
          trend: this.calculateYieldTrend(protocol)
        });
      } catch (error) {
        console.error(`Error fetching yield for ${protocol}:`, error);
        yields.set(protocol, { current: 0, average7d: 0, average30d: 0 });
      }
    }
    
    return yields;
  }

  async getProtocolYield(protocol) {
    switch (protocol) {
      case 'aave':
        return await this.getAaveAPY();
      case 'compound':
        return await this.getCompoundAPY();
      case 'curve':
        return await this.getCurveAPY();
      case 'yearn':
        return await this.getYearnAPY();
      case 'convex':
        return await this.getConvexAPY();
      default:
        return 0;
    }
  }

  calculateRiskAdjustedReturns(yields, risks) {
    const riskAdjusted = new Map();
    
    for (const [protocol, yieldData] of yields.entries()) {
      const riskData = risks.get(protocol);
      
      // Sharpe ratio calculation adapted for DeFi
      const riskFreeRate = 0.02; // 2% risk-free rate
      const excessReturn = yieldData.current - riskFreeRate;
      const sharpeRatio = excessReturn / (riskData.volatility || 0.01);
      
      // Weight by multiple factors
      const trendMultiplier = yieldData.trend > 0 ? 1.1 : 0.9;
      const liquidityMultiplier = riskData.liquidity > 10000000 ? 1.05 : 0.95; // >$10M liquidity bonus
      
      const adjustedReturn = yieldData.current * trendMultiplier * liquidityMultiplier;
      const score = sharpeRatio * adjustedReturn;
      
      riskAdjusted.set(protocol, {
        rawYield: yieldData.current,
        adjustedReturn: adjustedReturn,
        sharpeRatio: sharpeRatio,
        score: score,
        risk: riskData
      });
    }
    
    return riskAdjusted;
  }

  async optimizeAllocations(riskAdjustedReturns) {
    // Mean Variance Optimization adapted for stablecoins
    const protocols = Array.from(riskAdjustedReturns.keys());
    const returns = protocols.map(p => riskAdjustedReturns.get(p).adjustedReturn);
    const risks = protocols.map(p => riskAdjustedReturns.get(p).risk.volatility);
    
    // Build covariance matrix
    const covarianceMatrix = await this.buildCovarianceMatrix(protocols);
    
    // Quadratic programming to find optimal weights
    const constraints = this.buildConstraints(protocols);
    const optimalWeights = await this.solveOptimization(returns, covarianceMatrix, constraints);
    
    // Convert to allocation map
    const allocations = new Map();
    protocols.forEach((protocol, index) => {
      allocations.set(protocol, optimalWeights[index]);
    });
    
    return allocations;
  }

  buildConstraints(protocols) {
    const constraints = [];
    
    // Sum of weights = 1
    constraints.push({
      type: 'equality',
      coefficients: protocols.map(() => 1),
      bound: 1
    });
    
    // Individual protocol limits
    protocols.forEach((protocol, index) => {
      const config = this.rebalancer.protocols[protocol];
      
      // Minimum allocation
      const minConstraint = {
        type: 'inequality',
        coefficients: protocols.map((_, i) => i === index ? 1 : 0),
        bound: config.minAllocation,
        operator: '>='
      };
      
      // Maximum allocation
      const maxConstraint = {
        type: 'inequality',
        coefficients: protocols.map((_, i) => i === index ? 1 : 0),
        bound: config.maxAllocation,
        operator: '<='
      };
      
      constraints.push(minConstraint, maxConstraint);
    });
    
    return constraints;
  }

  // Quadratic programming solver for portfolio optimization
  async solveOptimization(returns, covarianceMatrix, constraints) {
    // Using simplified quadratic programming
    // In production, use a proper QP solver like CVXOPT or similar
    
    const n = returns.length;
    let weights = new Array(n).fill(1/n); // Start with equal weights
    
    // Iterative optimization with gradient descent
    const learningRate = 0.01;
    const maxIterations = 1000;
    
    for (let iter = 0; iter < maxIterations; iter++) {
      // Calculate gradient
      const gradient = this.calculateGradient(weights, returns, covarianceMatrix);
      
      // Update weights
      for (let i = 0; i < n; i++) {
        weights[i] += learningRate * gradient[i];
      }
      
      // Apply constraints
      weights = this.applyConstraints(weights, constraints);
      
      // Check convergence
      if (this.hasConverged(gradient)) {
        break;
      }
    }
    
    return weights;
  }
}

// Automated rebalancing execution system
class RebalanceExecutor {
  constructor(vault, optimizer) {
    this.vault = vault;
    this.optimizer = optimizer;
    this.isRebalancing = false;
    this.lastRebalance = 0;
    this.rebalanceHistory = [];
  }

  async startMonitoring() {
    console.log('🔍 Starting portfolio monitoring...');
    
    // Check every 5 minutes
    setInterval(async () => {
      await this.checkRebalanceNeeded();
    }, 300000);
    
    // Emergency check every minute during high volatility
    setInterval(async () => {
      await this.checkEmergencyRebalance();
    }, 60000);
  }

  async checkRebalanceNeeded() {
    if (this.isRebalancing) return;
    
    try {
      const currentAllocations = await this.getCurrentAllocations();
      const targetAllocations = await this.optimizer.calculateOptimalAllocations();
      
      const deviations = this.calculateDeviations(currentAllocations, targetAllocations);
      const maxDeviation = Math.max(...Array.from(deviations.values()));
      
      // Check if rebalance is needed
      const shouldRebalance = await this.shouldRebalance(deviations, targetAllocations);
      
      if (shouldRebalance) {
        console.log(`📊 Rebalance triggered: Max deviation ${(maxDeviation * 100).toFixed(2)}%`);
        await this.executeRebalance(currentAllocations, targetAllocations);
      }
    } catch (error) {
      console.error('Error in rebalance check:', error);
    }
  }

  async shouldRebalance(deviations, targetAllocations) {
    const maxDeviation = Math.max(...Array.from(deviations.values()));
    const timeSinceLastRebalance = Date.now() - this.lastRebalance;
    
    // Check multiple conditions
    const conditions = [
      // Deviation threshold
      maxDeviation > this.vault.rebalanceConfig.targetDeviation,
      
      // Minimum time between rebalances
      timeSinceLastRebalance > this.vault.rebalanceConfig.minRebalanceInterval * 1000,
      
      // Yield opportunity check
      await this.checkYieldOpportunity(targetAllocations),
      
      // Gas price acceptable
      await this.checkGasPrice()
    ];
    
    return conditions.every(condition => condition === true);
  }

  async executeRebalance(currentAllocations, targetAllocations) {
    this.isRebalancing = true;
    
    try {
      console.log('🔄 Executing portfolio rebalance...');
      
      // Calculate required trades
      const trades = await this.calculateTrades(currentAllocations, targetAllocations);
      
      // Optimize trade order for gas efficiency
      const optimizedTrades = await this.optimizeTradeOrder(trades);
      
      // Execute trades through Enzyme
      const txResults = await this.executeTrades(optimizedTrades);
      
      // Update metrics
      await this.updatePerformanceMetrics(txResults);
      
      this.lastRebalance = Date.now();
      
      console.log(`✅ Rebalance completed: ${txResults.length} trades executed`);
      
    } catch (error) {
      console.error('Rebalance execution failed:', error);
      await this.handleRebalanceFailure(error);
    } finally {
      this.isRebalancing = false;
    }
  }

  async calculateTrades(current, target) {
    const trades = [];
    const totalValue = await this.vault.getTotalValue();
    
    for (const [protocol, targetWeight] of target.entries()) {
      const currentWeight = current.get(protocol) || 0;
      const difference = targetWeight - currentWeight;
      
      if (Math.abs(difference) > 0.01) { // >1% difference
        const tradeAmount = totalValue * difference;
        
        trades.push({
          protocol: protocol,
          direction: difference > 0 ? 'BUY' : 'SELL',
          amount: Math.abs(tradeAmount),
          priority: this.calculateTradePriority(protocol, difference)
        });
      }
    }
    
    return trades.sort((a, b) => b.priority - a.priority);
  }

  async executeTrades(trades) {
    const results = [];
    
    for (const trade of trades) {
      try {
        let txHash;
        
        if (trade.direction === 'BUY') {
          txHash = await this.executeBuyTrade(trade);
        } else {
          txHash = await this.executeSellTrade(trade);
        }
        
        results.push({
          ...trade,
          txHash: txHash,
          status: 'SUCCESS',
          executedAt: Date.now()
        });
        
        // Wait for confirmation before next trade
        await this.waitForConfirmation(txHash);
        
      } catch (error) {
        console.error(`Trade failed for ${trade.protocol}:`, error);
        results.push({
          ...trade,
          status: 'FAILED',
          error: error.message,
          executedAt: Date.now()
        });
      }
    }
    
    return results;
  }

  async executeBuyTrade(trade) {
    const adapter = this.getProtocolAdapter(trade.protocol);
    
    // Prepare call data for Enzyme
    const callData = await adapter.getDepositCallData(trade.amount);
    
    // Execute through Enzyme vault
    const tx = await this.vault.enzymeAdapter.callOnIntegration(
      adapter.address,
      'deposit',
      callData
    );
    
    return tx.hash;
  }

  async executeSellTrade(trade) {
    const adapter = this.getProtocolAdapter(trade.protocol);
    
    // Prepare call data for withdrawal
    const callData = await adapter.getWithdrawCallData(trade.amount);
    
    // Execute through Enzyme vault
    const tx = await this.vault.enzymeAdapter.callOnIntegration(
      adapter.address,
      'withdraw',
      callData
    );
    
    return tx.hash;
  }
}

// Advanced risk management for portfolio rebalancing
class PortfolioRiskManager {
  constructor(vault) {
    this.vault = vault;
    this.riskMetrics = new Map();
    this.alertSystem = new AlertSystem();
    this.emergencyProtocols = new EmergencyProtocols();
  }

  async assessPortfolioRisk() {
    const currentAllocations = await this.vault.getCurrentAllocations();
    const risks = {
      concentrationRisk: this.calculateConcentrationRisk(currentAllocations),
      liquidityRisk: await this.assessLiquidityRisk(currentAllocations),
      protocolRisk: await this.assessProtocolRisks(currentAllocations),
      correlationRisk: await this.calculateCorrelationRisk(currentAllocations),
      smartContractRisk: await this.assessSmartContractRisks(currentAllocations)
    };
    
    const overallRisk = this.calculateOverallRiskScore(risks);
    
    if (overallRisk > 0.8) { // High risk threshold
      await this.triggerRiskMitigation(risks);
    }
    
    return { risks, overallRisk };
  }

  calculateConcentrationRisk(allocations) {
    const weights = Array.from(allocations.values());
    const maxWeight = Math.max(...weights);
    
    // Herfindahl-Hirschman Index for concentration
    const hhi = weights.reduce((sum, weight) => sum + weight * weight, 0);
    
    return {
      maxConcentration: maxWeight,
      hhi: hhi,
      riskLevel: hhi > 0.25 ? 'HIGH' : hhi > 0.15 ? 'MEDIUM' : 'LOW'
    };
  }

  async assessLiquidityRisk(allocations) {
    const liquidityRisks = new Map();
    
    for (const [protocol, allocation] of allocations.entries()) {
      const liquidity = await this.getProtocolLiquidity(protocol);
      const positionSize = allocation * await this.vault.getTotalValue();
      
      const liquidityRatio = positionSize / liquidity;
      
      liquidityRisks.set(protocol, {
        availableLiquidity: liquidity,
        positionSize: positionSize,
        liquidityRatio: liquidityRatio,
        riskLevel: liquidityRatio > 0.1 ? 'HIGH' : liquidityRatio > 0.05 ? 'MEDIUM' : 'LOW'
      });
    }
    
    return liquidityRisks;
  }

  async assessProtocolRisks(allocations) {
    const protocolRisks = new Map();
    
    for (const protocol of allocations.keys()) {
      const risks = await this.getProtocolRiskMetrics(protocol);
      protocolRisks.set(protocol, risks);
    }
    
    return protocolRisks;
  }

  async getProtocolRiskMetrics(protocol) {
    // This would integrate with risk assessment APIs
    const metrics = {
      auditScore: await this.getAuditScore(protocol),
      tvlHistory: await this.getTVLHistory(protocol),
      yieldVolatility: await this.getYieldVolatility(protocol),
      governanceRisk: await this.getGovernanceRisk(protocol),
      upgradeabilityRisk: await this.getUpgradeabilityRisk(protocol)
    };
    
    return {
      ...metrics,
      overallScore: this.calculateProtocolRiskScore(metrics)
    };
  }

  // Emergency rebalancing for extreme market conditions
  async triggerEmergencyRebalance(reason) {
    console.log(`🚨 Emergency rebalance triggered: ${reason}`);
    
    // Move to safest allocation immediately
    const safeAllocations = this.getSafeAllocationStrategy();
    
    // Override normal constraints for emergency
    const emergencyExecutor = new EmergencyRebalanceExecutor(this.vault);
    await emergencyExecutor.executeEmergencyRebalance(safeAllocations);
    
    // Notify all stakeholders
    await this.alertSystem.sendEmergencyAlert(reason, safeAllocations);
  }

  getSafeAllocationStrategy() {
    // Conservative allocation during emergencies
    return new Map([
      ['aave', 0.40],    // Highest TVL, most battle-tested
      ['compound', 0.35], // Second most secure
      ['curve', 0.15],   // Stable but lower allocation
      ['yearn', 0.10],   // Minimal exposure
      ['convex', 0.00]   // Exit completely
    ]);
  }
}

// Cross-chain portfolio management
class MultiChainRebalancer extends StablecoinRebalancerVault {
  constructor(config) {
    super(config);
    this.chains = {
      ethereum: { chainId: 1, bridge: 'optimism-gateway' },
      polygon: { chainId: 137, bridge: 'polygon-bridge' },
      arbitrum: { chainId: 42161, bridge: 'arbitrum-bridge' },
      optimism: { chainId: 10, bridge: 'optimism-bridge' }
    };
    
    this.bridgeManager = new CrossChainBridgeManager();
  }

  async findOptimalChainAllocations() {
    const chainOpportunities = new Map();
    
    for (const [chainName, config] of Object.entries(this.chains)) {
      const opportunities = await this.getChainOpportunities(chainName);
      chainOpportunities.set(chainName, opportunities);
    }
    
    return this.optimizeAcrossChains(chainOpportunities);
  }

  async executeChainRebalance(fromChain, toChain, amount, protocol) {
    // Bridge assets to optimal chain
    const bridgeTx = await this.bridgeManager.bridgeAssets(
      fromChain,
      toChain,
      amount,
      'USDC'
    );
    
    // Wait for bridge completion
    await this.waitForBridgeCompletion(bridgeTx);
    
    // Execute allocation on target chain
    const allocationTx = await this.executeAllocation(toChain, protocol, amount);
    
    return { bridgeTx, allocationTx };
  }
}

// ML-powered yield prediction system
class YieldPredictor {
  constructor() {
    this.model = new TensorFlowModel();
    this.features = [
      'currentYield', 'yieldTrend7d', 'yieldTrend30d',
      'tvlChange', 'volumeChange', 'tokenPrice',
      'gasPrice', 'ethPrice', 'marketSentiment'
    ];
  }

  async predictYieldChanges(protocol, timeframe = 7) {
    const currentData = await this.gatherFeatureData(protocol);
    const prediction = await this.model.predict(currentData);
    
    return {
      expectedYield: prediction.yield,
      confidence: prediction.confidence,
      factors: prediction.factors,
      timeframe: timeframe
    };
  }

  async optimizeRebalanceTimimg(targetAllocations) {
    const predictions = new Map();
    
    for (const [protocol, allocation] of targetAllocations.entries()) {
      const prediction = await this.predictYieldChanges(protocol);
      predictions.set(protocol, prediction);
    }
    
    return this.calculateOptimalTiming(predictions);
  }
}

// Key optimizations that improved performance
class PerformanceOptimizations {
  
  // Batch multiple operations for gas efficiency
  async batchOperations(operations) {
    const batchedOps = this.groupOperationsByGasEfficiency(operations);
    const results = [];
    
    for (const batch of batchedOps) {
      const batchResult = await this.executeBatch(batch);
      results.push(...batchResult);
    }
    
    return results;
  }

  // Smart gas pricing for optimal execution timing
  async optimizeGasTiming(urgencyLevel = 'normal') {
    const gasData = await this.getGasData();
    const optimalGas = this.calculateOptimalGasPrice(gasData, urgencyLevel);
    
    return {
      gasPrice: optimalGas,
      estimatedTime: this.estimateConfirmationTime(optimalGas),
      cost: this.calculateTotalGasCost(optimalGas)
    };
  }

  // Predictive rebalancing to stay ahead of market moves
  async predictiveRebalance() {
    const marketPredictions = await this.yieldPredictor.getMarketPredictions();
    const currentAllocations = await this.getCurrentAllocations();
    
    // Rebalance before major yield changes
    if (marketPredictions.confidence > 0.8) {
      const futureOptimalAllocations = this.calculateFutureOptimal(marketPredictions);
      
      if (this.shouldPreemptiveRebalance(currentAllocations, futureOptimalAllocations)) {
        await this.executeRebalance(currentAllocations, futureOptimalAllocations);
      }
    }
  }
}