SanX: actively traded index based on crypto-native metrics

Index overview

SANX Index is supposed to track DeFi tokens which are weighted by market capitalization. Assets' inclusions and removals are based on the Santiment Oracle Network signals.

Rebalance Policy

1. MVRV Signal-based rebalancing

   SANX assets inclusions and removals are based on MVRV 30d opportunity/danger zone signals provided via Santiment Oracle.

   1. Repeating signals

      Assets are added once their MVRV metric crosses the opportunity zone and removed in case of the danger zone signal. We respond on the first signal fired.

2. Assets' shares in the portfolio (marketcap based)

   The portfolio is rebalanced when a new asset is added to the index due to buy-signal. Portfolio assets are weighted according to the market capitalization.

3. Assets' removal

   Assets are removed from the index after the MVRV danger zone crossing. The whole asset position is removed from the index by exchanging it into the other assets in the portfolio having shares based on market capitalization.

4. Assets' inclusion

   When a buy-signal is fired for the asset that can be added to the index the portfolio is sold and on the next step is bought again into the same set of assets plus the new one.

5. Governance

   1. Red button

   2. Delay

      The index exchanges are done in several days after actual entering of the opportunity or danger zone - the period of signals calculation and verification.

Signals

1. Signals' definition

   1. Signal is an event that occurs in a certain point in time.

   2. Signal could be linked to an asset or/and to a metric that describes that asset.

2. MVRV-signals methodology

   MVRV signals are supposed to track asset danger (overvaluing) and opportunity (undervaluing) zones based on the MVRV metrics. MVRV spikes/dips coincide with the price local maxima and minima while the MVRV metric itself aims at relative stationarity. The zones entering calculation is based on the previous local extrema.

   1. Defining the extrema

      • Maxima

        The historical spikes are defined by combining the events when current MVRV value is above the 2-month mean value by more than 1.8 of 2-month std and this current value is a maximum in the local neighborhood of 1 month.

      • Minima

        The historical dips are defined by combining the events when current MVRV value is below the 2-month mean value by more than 1.5 of 2-month std and this current value is a minimum in the local neighborhood of 1 month.

   2. Defining the MVRV signals

      The median value among the previous MVRV most significant spikes (dips) is considered as the upper (lower) threshold. While this value is above the upper threshold the danger zone signals are firing. And while the value is below the lower threshold - the opportunity signals are fired.