Signals, sizing, cadence — how the desk actually decides when to trade.
The technical companion to the Counterfoil whitepaper: the five signal inputs the desk reads across all four strategy sleeves, the vol-anchored position-sizing framework that keeps every sleeve inside its drawdown and leverage caps, and the published rebalancing cadence every sleeve trades on. Every figure here is sourced from the same static mandate modules the per-strategy pages and /risk-metrics render — so the cadence column on this page stays byte-for-byte aligned with the cadence card on /strategies/<slug>.
What lives here
- Five signal inputs the desk reads — on-chain flows, derivatives funding, ETF creation/redemption tape, validator/MEV signals, macro prints.
- Position-sizing rules — vol-anchored gross, per-sleeve caps, single-trade VaR, plus a shared cross-sleeve risk budget that auto-tightens on drawdown.
- Rebalancing cadence per sleeve — the published twice-daily 00:30 / 12:30 UTC window, plus the intraday risk-pass trigger and which sleeves consume which signals.
- An allocator-brief CTA routing to the desk inbox directly.
Five signal inputs · vol-anchored sizing · published twice-daily cadence · one shared risk budget.
Signals
Five signal inputs the desk reads across every sleeve.
An allocator diligence question answered here: what does the desk actually look at to decide whether to trade? Each input below is read live, fed into one or more sleeves, and audited at the daily 16:00 UTC reconciliation.
01 · On-chain flows
Exchange inflow and outflow reads across BTC / ETH / SOL (spot + top-3 venue wallets), plus the open-interest and funding-rate delta on the cross-margin perps the desk quotes. Feeds the directional overlay sizing and the published risk-budget auto-tightener whenever realised flow diverges from the published flow band.
02 · Derivatives funding
Perp funding, basis term structure, and OI-weighted skew across the listed-margin venues the desk quotes. Drives the BTC and stable & basis sleeves' gross / net band positioning and the ETH LST-vs-perp basis read that anchors the staking-spread sleeve.
03 · ETF creation / redemption tape
Daily creation / redemption prints for the listed BTC and ETH ETFs (IBIT, FBTC, ETHE, EETH), plus the same-day AP/authorized-participant flow that prices the redeem-vs-trade arbitrage. Feeds the BTC sleeve's directional overlay off real primary-market flow, not secondary quoting.
04 · Validator / MEV signals
Validator entry / exit queue length, staking yield, and the rolling MEV-flow distribution on ETH (and the SOL equivalent on its validator set). Feeds the ETH long-short sleeve's staking-spread carry and the SOL sleeve's high-beta position sizing.
05 · Macro prints
Scheduled macro prints (CPI, FOMC, payrolls), the DXY / US10Y rolling delta, and the cross-asset risk-on / risk-off read into BTC and alts. Used as a regime filter — never a trade trigger — and logged in the daily memo so the desk's macro read is auditable.
Position sizing
Vol-anchored sizing, per-sleeve caps, one shared risk budget.
Every sleeve is sized off realised volatility and runs inside published drawdown / leverage / single-trade VaR caps. A breach in one sleeve consumes headroom from the shared budget — so the desk tightens across the book, not just on the next trade.
Vol-anchored gross sizing
Every sleeve's gross band is expressed in NAV multiples and sized off the realised volatility of the underlying, not funding print. When realised 1-day VaR approaches 60% of the published single-trade cap, the position auto-tightens across the sleeve so the desk tightens across the book, not just on the next trade.
Per-sleeve drawdown / leverage / VaR caps
Each sleeve carries its own published drawdown cap (BTC 8.0% / ETH 6.0% / SOL 9.0% / Stable & basis 2.0%), a hard leverage ceiling in NAV multiples (BTC 2.0× / ETH 2.0× / SOL 2.0× / Stable & basis 3.0×), and a single-trade VaR (0.75% / 0.60% / 0.90% / 0.25% — 1d, 95%). The caps are mirrored on /strategies/<slug>, on /risk-metrics, and in the whitepaper.
One shared cross-sleeve risk budget
All four sleeves draw from a single shared risk budget. A breach in one sleeve consumes headroom from every other sleeve: a drawdown cap hit on the BTC sleeve is automatically binding on the ETH, SOL, and Stable & basis sleeves. The same budget is rendered on /risk-metrics against the published VaR ceiling.
Rebalancing cadence
Published rebalancing cadence, per sleeve.
The CADENCE / GROSS / NET columns below are sourced from the same static mandate modules /strategies/<slug> imports — so an allocator can re-derive the cadence from the per-strategy page byte-for-byte.
| Sleeve | Gross · NAV × | Net · NAV × | Cadence | Rebalance schedule · published per-strategy mandate |
|---|---|---|---|---|
btc-long-shortBTC long-short basis | 1.2–1.8× | -0.2–0.6× | Twice-daily inventory pass | 00:30 and 12:30 UTC, plus an intraday risk pass whenever realised 1-day VaR breaches 60% of the single-trade cap or any sleeve approaches 60% of its drawdown slot. |
eth-long-shortETH long-short basis | 1.2–1.8× | 0.0–0.4× | Twice-daily inventory pass | 00:30 and 12:30 UTC, plus an intraday risk pass whenever realised 1-day VaR breaches 60% of the single-trade cap or the alt-L1 sleeve approaches 60% of its drawdown slot. |
solSOL momentum + carry | 1.0–1.5× | -0.3–0.5× | Daily inventory pass | 00:30 UTC, plus an intraday risk pass whenever realised 1-day VaR breaches 60% of the single-trade cap or the high-beta sleeve approaches 60% of its drawdown slot. |
stablecoin-yieldStable & basis basket | 2.0–3.0× | -0.1–0.1× | Twice-daily inventory pass | 00:30 and 12:30 UTC, plus an intraday risk pass whenever realised 1-day VaR breaches 60% of the single-trade cap or the basis basket approaches 60% of its drawdown slot. |
| All four sleeves share the published twice-daily 00:30 / 12:30 UTC rebalance window (SOL runs 00:30 UTC daily). The intraday risk pass trips whenever realised 1-day VaR breaches 60% of any single-trade cap OR any sleeve approaches 60% of its drawdown slot. | ||||
Speak with the desk
Want the same data the desk trades on?
The allocator brief bundles the published signal catalogue, the sizing framework shown above, the per-sleeve cadence table, and the most recent signed daily PnL manifest — sent before any pitch conversation.