Crypto#338tier 2experimental liveNew

`defi tvl protocol concentration`

cadence: Dailydata: lowlong onlyshort onlylong short

2022

Cong, L. W., Li, Y., Wang, N. (2022). "Tokenomics: Dynamic Adoption and Valuation." Review of Financial Studies, 34(3), 1105-1155 (extended with concentration leg).

Read the paper →

What it checks

When DeFi capital concentrates into a few protocols (rising HHI), the system is fragile and crypto-stocks underperform.

Mechanism

Herfindahl across DeFi protocols (eth-chain, Aave, Uniswap) captures capital concentration risk. Spikes precede systemic fragility — Adrian-Brunnermeier 2016 channel — and crypto-proxy equities tend to drift down 10-20d after a concentration shock.

No production champion data for this family yet. Stats appear once the discovery pipeline promotes at least one strategy with this family tag, or once a multi-family blend that includes it earns a champion slot.

Signal rule

HHI 30d z >= +1.5 → SHORT crypto-proxy basket; z <= -1.5 → LONG; hold 10/20d.

Data dependencies

daily_prices
Adjusted-close OHLCV for every US-listed ticker; primary price feed.
defi_tvl
Worker data table — see services/worker schema.

Expected edge

Paper alpha: 50-200 bps
Paper window: T+0 to T+20d

50-200 bps over 10-20d.

Example tickers where this is likely to fire

MSTR COIN MARA RIOT CLSK

Illustrative only — the signal fires based on the live data, not a fixed list.

Related families

defi tvl correlationCrypto

DeFi TVL proxies for adoption velocity; spikes lead crypto-financials 5-20d.

stablecoin supply x btc longCrypto

Stablecoin supply growth is the cleanest leading indicator of crypto-adoption velocity. We proxy via aggregate DeFiLlama TVL (eth + aave + uniswap) — dominated by USD-pegged collateral at scale. Public-equity crypto proxies (MSTR, COIN, MARA, RIOT, CLSK) re-rate with a 5-15d lag.

crypto proxy basket longCrypto

AND-gate composite: only fires when adoption is rising (TVL z >= +0.5) AND systemic concentration risk is NOT building (HHI z < +1). Filters the Terra/UST-style false positives where adoption rises in parallel with fragility.

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defi tvl protocol concentration