On-Chain Macro
ON-CHAIN MACRO
Use on-chain indicators (stablecoin inflow, derivatives OI, L2 capital flow, exchange reserves) to drive mid-frequency long/short on BTC/ETH/SOL — treating on-chain data as a leading edge over traditional macro.
Transparency
Strategy alpha is executed entirely off-chain; the protocol receives only a totalAssets signal from the reporter. Capital boundaries remain enforced by the on-chain vault and capBps, but the strategy behaviour itself is opaque.
The integrator has self-reported a transparency tier; community verification is not yet complete. Treat this assessment as preliminary.
Factor model and CEX derivatives accounts live off-chain; position-commitment scheme upgrade in progress.
Rating
QUANTITATIVE METRICS
HUMAN REVIEW (1-5)
High-vol sleeve; pairs well with KellyPolicy covariance constraint.
Traditional macro reads CPI, PMI, oil prices; On-Chain Macro reads one layer deeper — stablecoin net inflow, perpetuals OI accumulation, exchange reserve changes, L2 capital flow. These are real-time signals about "where money is going", giving direction 1–2 weeks earlier than monthly macro indicators. This strategy turns those indicators into multi-factor mid-frequency long/short, concentrated on BTC/ETH/SOL to avoid small-cap liquidity traps.
Signals
ON-CHAIN SIGNALSStablecoin net inflow (Glassnode/Dune) · derivatives OI/funding shift · exchange reserves · L2 flow · ETF net flow
Sizing
POSITION SIZINGBlack-Litterman framework with on-chain factors as posterior; fractional Kelly cap f*/4, per-name ≤ 50% sleeve.
Risk bounds
RISK BOUNDSTotal leverage ≤ 2x · day -5% full liquidation · month -15% governance review · derivatives perps-only, no options
| POLICY | FIT | SUGGESTED WEIGHT (BPS) | NOTES |
|---|---|---|---|
| KellyPolicy | ★ Recommended | 1500–3000 | High-vol sleeve · fractional Kelly required |
| ThreePoolPolicy | △ Caution | 1000–2000 | DD may break fixed-dividend continuity |
| Vendor Policy | ○ Mountable | Custom | Suits regime-switching covariance policies |
On-Chain Macro is a typical Allocation Engine high-vol adapter. It requires the Risk Layer's EmergencyController to be active (once the monthly -15% threshold trips, the DAO reviews continuation). totalAssets() is reported every 4 hours by the off-chain system — a higher cadence than daily tick.
OnChainMacroStrategy.sol mirrors ActiveAlpha but requires a higher reporter cadence. The skeleton reserves an epoch-aware interface to extend toward a 4-hour reporting window. Real off-chain integration (Binance/OKX perpetuals + Hyperliquid) is built by the integrator.
For funds in setup: On-Chain Macro is not a main sleeve — its drawdown profile collides with any "stable dividend" promise. But as a 10–25% high-vol sleeve under KellyPolicy's covariance constraint, it materially lifts the portfolio geometric mean. This is one of F* Reference Fund's experimental configurations.
Backtest
NAV trajectory (1 year)
2025-06-01 → 2026-06-01Drawdown
Simulator
This simulator uses synthetic backtest data and is not investment advice; actual performance may differ materially.
Skeleton contract · undeployed · on-chain signal + CEX-derivatives execution adapter shell