Multiple Moving Average Set Token

Tokenize a smart contract managed multiple moving average crossover trading strategy with Set Protocol V2 and Uniswap V3 oracles.

Installing Dependencies

Node

npm install @openzeppelin/contracts@3.1.0

npm install @setprotocol/set-protocol-v2

npm install @setprotocol/index-coop-contracts

npm install @uniswap/v3-core

Implementation Details

Contract Architecture

The Indicator contract utilizes a Uniswap V3 Pool as an on-chain oracle.

The Manager contract has two key functions for the Keeper

• getIndicatorIsChanged(), which can be called for free and checks if the Indicator signal has changed since the last rebalance
• rebalance(), which can only be called by the Keeper and utilizes the Trade Module to change the allocation of the Set Token

The Keeper can be set to periodically call getIndicatorIsChanged() for free, and subsequently call rebalance() if the indicator signal has changed.

Multiple Moving Average Crossover Indicator

Consider two groups of moving averages: S, a group of n short term moving averages and L, a group of m long term moving averages.

S = [S1, S2, ..., Sn]

L = [L1, L2, ..., Lm]

An indicator MMA() can be constructed as follows

• bullish if min(S) > max(L)
• bearish if max(S) < min(L)
• uncertain otherwise

The uncertain case, when the short term and long term groups of moving averages overlap, can be considered either bullish (risk-on) or bearish (risk-off) depending on manager preference.

Uniswap V3 Oracles

This indicator uses a Uniswap V3 pool as on-chain oracle by deriving the arithmetic mean tick over an interval and using that as a moving average. The arithmetic mean tick over a given interval is derived with values stored in the tick accumulator.

Trading Strategy

With a risk-on asset (ex: $ETH) and a risk-off asset (ex: $USDC) the trading strategy is as follows

• hold $ETH when MMA() using the Uniswap V3 ETHUSDC pool is bullish
• hold $USDC when MMA() using the Uniswap V3 ETHUSDC pool is bearish or uncertain

Future Work

• Place calls to tradeModule in a more optimal way (reduce slippage)
• Gas optimization in indicator
• Add Aave/Compound lending (wrapModule) to manager

Acknowledgements

• Set Protocol V2: [GitHub]
• Uniswap V3: [GitHub] [Oracle Documentation]