Introducing the BTC RSI Crossover Yield Set on TokenSets

The BTCRSIAPY is now live on TokenSets

Anthony Sassano

Published in

Set Labs

4 min readJun 23, 2020

Introduction

Today, we’re excited to announce the launch of the BTC RSI Crossover Yield Set (BTCRSIAPY) on TokenSets! This is the first new RoboSet launch since we enabled chunked rebalances via the TWAP mechanism!

This Set implements a crossover strategy on the BTC/USD RSI indicator. Learn more about the simple relative strength index and how it is calculated here.

Key Points

You can now mint the BTCRSIAPY on TokenSets
The RSI is currently below 55 and the Set is sitting in 100% cUSDC
You can buy the Set using WBTC, ETH, USDC, DAI and LINK
Join our Discord channel to chat with fellow community members

How the BTC RSI Crossover Yield Set Works

The BTC RSI Crossover Yield Set implements a crossover strategy on the BTC Relative Strength Index oscillator indicator. Learn more about RSI and other oscillators here.

When the RSI falls below support at 45, BTCRSIAPY will rebalance into cash (cUSDC) and earn interest on Compound. When the RSI breaches resistance at 55, BTCRSIAPY will rebalance in WBTC.

How the Set Performs

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 BTCRSIAPY Set against holding BTC over the last 3 years, assuming a slippage rate of 0.8% (historical slippage for WBTC have been lower) during each rebalance. The model shows BTCRSIAPY would have outperformed over the given historical time period and underperformed in the bull market of 2017. The Set historically has tracked BTC performance closely while reducing max drawdown risk.

The chart below illustrates the BTC that would have been accumulated using the BTCRSIAPY 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 BTC hourly data sourced from Gemini. In production, the BTCRSIAPY Set rebalances based on MakerDAO’s BTC 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 the RSI is Calculated on TokenSets

The ETH RSI is calculated using the on-chain MakerDAO BTC price for the past 14 days at 6:00 pm UTC each day. Therefore, the RSI only updates once every 24 hours. It is important to note, Sets on TokenSets use the Simple RSI which is different from the Smoothed RSI on TradingView and some other platforms.

Criteria to Trigger a Rebalance

The RSI updates once every 24 hours, so a rebalance is kicked off approximately the same time each day if conditions are satisfied. Rebalances for this Set take 10–30 minutes to settle. There is no confirmation period unlike moving average Sets.

Rebalances for the BTCRSIAPY take approximately 10–30 minutes to complete depending on the size of the market cap. Learn more about Set rebalances here and our TWAP Rebalancing feature here.

Getting Your BTC Onto Ethereum

The BTCRSIAPY Set uses Wrapped Bitcoin (WBTC) and there are a few ways you can transform your BTC into WBTC:

Use the WBTC Cafe — powered by RenVM
Swap BTC for WBTC on CoinList (KYC required)
Trade your other assets for WBTC on a DEX

Note that this isn’t a requirement — if you already have ETH, USDC, DAI or LINK on Ethereum you can purchase the BTCRSIAPY Set using those assets and the Set Protocol system will automatically trade it for WBTC (or cUSDC) and issue you your Set.

Conclusion

The BTCRSIAPY Set is currently positioned in cUSDC and is available to buy on TokenSets.

If you have an idea for a strategy that you’d like to see on TokenSets, please don’t hesitate to reach out to us.

Developers interested in working with us can also reach out to our friendly team by emailing us at hello@setprotocol.com or by joining our Discord channel.

Learn more about Set and join our community