DMA/FGI Portfolio Rules v1
Strategy specification for the DMA/FGI regime-aware portfolio allocator
Overview
Strategy ID: dma_fgi_portfolio_rules
Version: v1
Status: Backtest
Goal
Generate superior absolute and risk-adjusted returns by trading between three risk pillars — S&P 500 tokenized exposure, BTC/ETH, and stablecoins — in response to regime signals from the 200-day moving average (DMA) and Fear & Greed Index (FGI).
Assets
| Pillar | Asset | Venue |
|---|---|---|
| Equities | Ondo USDC (OUSG / USDY) | Ethereum |
| Crypto |   WBTC + WETH | Ethereum / Arbitrum |
| Stablecoins |   USDC + USDT | All supported chains |
Rules, in priority order
The engine evaluates each daily snapshot top-down and uses the first matching
rule. Exact thresholds, weights, and cooldowns are code-owned in
portfolio_rules/__init__.py rather than duplicated here.
- Cross-down exit — leave a risk asset and its peers when price crosses below its long-term trend.
- Cross-up equal-weight — restore equal-weight exposure across assets above trend after a cross-up.
- ETH/BTC ratio rotation — rotate the crypto leg when relative strength crosses its trend.
- ETH/BTC deviation DCA — incrementally lean toward the relatively cheap crypto asset when the ratio deviates far from its mean.
- DMA overextension DCA sell — trim overextended risk exposure gradually.
- FGI downshift DCA sell — reduce risk incrementally when greed unwinds.
Risk Limits
- Maximum single-pillar exposure: 70%
- Minimum stablecoin allocation: 10%
- Maximum single-asset concentration: 40%
- No leverage
- No derivatives
- No lending (only LP and governance staking)
Backtest costs
Backtest performance includes the configured execution-cost model. Live NAV and live execution-cost accounting remain pending with the on-chain pipeline.
- Network gas (estimated at time of execution)
- Slippage (estimated at 0.5% for liquidity above $100k, 1% otherwise)
- Protocol fees (Ondo: 0%, Morpho: variable, GMX: 0.02%)
Status boundary
These rules are validated by backtests. They are not a claim of live execution, public NAV accounting, automatic incident response, or an operating fallback policy.