How does the ETH RSI 60/40 Crossover Set work?
The ETH RSI 60/40 Crossover Set implements a crossover strategy on the ETH Relative Strength Index oscillator indicator. Learn more about RSI and other oscillators here.
On a high level, if the ETH daily RSI falls below support at 40 in an existing uptrend (price loses momentum), ETHRSI6040 rebalances ETH into cash (USDC) and if the ETH RSI breaks above resistance at 60 in an existing downtrend (price regains momentum), ETHRSI6040 rebalances back into ETH. ETHRSI6040 uses the daily RSI which means there is no confirmation period for rebalance signals. See the chart below:
Why use the RSI?
RSI is one of the most popular trading indicators to determine when to enter and exit positions by measuring price velocity and momentum of past periods.
Advanced traders typically use RSIs and moving averages in combination to create more accurate entry and exit points for trades.
How does the Set perform?
Disclaimer: The content below is for informational purposes only, you should not construe any such information or other material as legal, tax, investment, financial, or other advice. The content below is provided for educational purposes only, and not indicative of future performance. None of the following should be interpreted as investment advice. The tools used below follow a predefined set of parameters and aren’t actively managed by Set Labs Inc.
This chart below compares the hypothetical performance of holding the ETHRSI6040 Set against holding ETH over the last 3 years, assuming a slippage rate of 1% during each rebalance. The model shows ETHRSI6040 would have outperformed over the given historical time period and underperformed in the bull market of 2017 and the last 6 months.
The chart below illustrates the ETH that would have been accumulated using the ETHRSI6040 Set following the same assumptions above.
It’s important to keep in mind the the charts above are based on a number of assumptions and are only meant for illustrative purposes. As always, past performance is not indicative of future performance.
These charts use generated ETH hourly data sourced from Gemini. In production, the ETHRSI6040 Set rebalances based on MakerDAO’s ETH price feed, which may output different results. If you’d like to play around with the data yourself (and tweak the parameters), feel free to fork the spreadsheet here.
How is RSI calculated on TokenSets?
The ETH RSI is calculated using the on-chain MakerDAO ETH price for the past 14 days at 7:00 pm UTC each day. Therefore, the RSI only updates once every 24 hours. Link to technical documentation of the RSI oracle here.
What are the additional criteria needed to trigger a rebalance?
The RSI updates once every 24 hours, so a rebalance is kicked off approximately the same time each day if conditions are satisfied. Rebalances for this Set take ~30min to settle. There is no confirmation period unlike moving average Sets.
How long does the rebalance take to complete?
Rebalances for the ETHRSI6040 take approximately 30 minutes to complete. Price drift is on average <1% over the course of 2 hours based on historical MakerDAO ETH price data. Learn more about Set rebalances here and our TWAP Rebalancing feature here.
View the ETH RSI 60/40 Crossover Set.