How does the ETH 20 Day MA Crossover Yield Set work?
The ETH 20 Day MA Crossover Yield Set implements a crossover strategy on the ETH 20 day moving average indicator. Learn more about moving averages and crossover strategies here.
On a high level, the Set functions similarly to the ETH 20 Day MA Crossover Set. Learn more about details under the hood for ETH20SMACO here. However, if the price of ETH falls below the 20 day simple moving average, ETHMACOAPY will rebalance into cash (cUSDC) and earn interest on Compound. Learn more about cUSDC and cTokens here.
The rebalance criteria for the ETHMACOAPY Set includes a minimum interval of 48 hours between rebalances and a confirmation period of 2 hours after the initial price-indicator crossover to reduce false positive signals. If the signal at the time of the initial crossover (e.g. price > moving average) matches the signal after 2 hours, then the Set will kickoff a rebalance. If the initial signal fails to match the signal after 4 hours, then the rebalance expires and another crossover must occur.
This is in contrast to the ETH20SMACO Set which has a minimum interval of 96 hours between rebalances and a confirmation period of 6 hours after the initial price-indicator crossover.
See the chart below:
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 ETHMACOAPY Set against holding ETH over the last 3 years, assuming a slippage rate of 0.7% during each rebalance (historical rebalance slippage has been lower). The model shows ETHMACOAPY would have outperformed over the given historical time period and underperformed in the bull market of 2017.
The chart below illustrates the ETH that would have been accumulated using the ETHMACOAPY 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 ETHMACOAPY 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 the 20 SMA calculated on TokenSets?
The 20 SMA indicator is calculated by averaging the on-chain MakerDAO ETH price for the past 20 days at approximately 3:00 am UTC each day. Link to technical documentation of the SMA oracle here.
How long does the rebalance take to complete?
Rebalances for the ETHMACOAPY 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.
View the ETH 20 Day MA Crossover Yield Set.