sigma_btc30
Sigma BTC (vol-target 30)
Volatility target on cbBTC/USDC — allocation breathes with realised vol.
Sigma BTC is a dynamic strategy: instead of fixed weights, it recomputes ω = clamp((σ_target − σ_riskless) / (σ_risky − σ_riskless), floor, cap) on every rebalance trigger. When BTC vol is low, the portfolio drifts toward the cap (100% cbBTC); when vol is high, toward the floor (30% cbBTC, 70% USDC).
The idea: a vol-targeting sleeve is cyclically inverse to crypto sentiment — ω rises in calm uptrends and falls in volatile crashes. Floor=30% means: even under stress, conviction-hold is preserved; cap=100% means: in calm bull phases, the position is fully long.
Trigger logic: ω is recomputed every 90 days (quarterly) OR whenever |Δσ_smoothed| ≥ 15pp. Per-asset backtest 2022-2026: target=0.30/floor=0.30 lifts Sharpe from 0.49 to 0.67 (+38%) and Calmar from 0.47 to 0.60 (+26%) versus the default 0.55/0.50.
Risk profile
Dynamic allocation
ω varies between floor and cap based on realised 90d vol
Floor (min. CBBTC)
30% CBBTC
+ 70% USDC
Cap (max. CBBTC)
100% CBBTC
+ 0% USDC
ω = clamp((σ_target − σ_riskless) / (σ_risky − σ_riskless), floor, cap)
When vol is low, allocation drifts toward the cap; when vol is high, toward the floor. ω is only recomputed on trigger — quarterly (every 90 days) or when vol has moved ≥ 15 percentage points (pp) since the last trigger. Example: σ_old=65% → σ today=82% gives 17pp and fires a trigger. Between triggers the allocation drifts freely with the price — no additional drift rebalancing.
Live backtest and current signal
The Sigma engine runs live with daily 90d-vol updates. The research page shows the current signal, the historical allocation curve and all KPIs for BTC, ETH, SOL and XRP.
Open research pageWhere this strategy fits
- Automatically de-risks during high-vol regimes
- Floor=30% preserves conviction-hold even in crashes
- Live engine + backtest available on the research page
- Dedicated Safe + isolated Roles permissions from the Balanced vault
Things you should know
- More complex than static strategies — behaviour varies by vol regime
- In calm bull phases, cap=100% can reduce drawdown protection to zero
- Maximum backtest drawdown 2022-2026 despite tuning is -42% (BTC bear)
- Between triggers the allocation drifts freely with the BTC price — no micro-corrections, ω only resets on the next Sigma trigger