DMA/FGI Portfolio Rules v1

Overview

Strategy ID: dma_fgi_portfolio_rules Version: v1 Start Date: 2024-12-02 Status: Live

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

Rebalance Rules

Signal Logic

• 200-DMA (BTC): Weekly close above/below 200-WMA triggers regime shift for the crypto pillar
• Fear & Greed Index: Daily FGI reading below 30 = fear (defensive), above 70 = greed (aggressive), 30–70 = neutral
• ETH/BTC Ratio: Cross of the 20-day EMA triggers crypto pillar rotation

Allocation Matrix

Rebalance Triggers

1. Weekly review: Every Monday at 00:00 UTC, evaluate all signals
2. Threshold breach: If any signal crosses its threshold by >5%, execute within 24h
3. Drift tolerance: If any position drifts >10% from target, rebalance immediately

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)

Cost Inclusions

All costs below are deducted from NAV before performance calculation:

• 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%)

Failure Conditions

• NAV drops >40% from peak → suspend trading, publish incident report
• Any single chain unavailable >72h → fallback to remaining chains
• Price oracle stale >1h → use last known price, flag in daily snapshot

Changelog