The pipeline — five deterministic steps
Eligible universe
Start from every scored vault, keep only those that clear the chosen tier’s hard
gates — minimum Atlas Score, minimum TVL, minimum audit count and track record, an
allowed asset class, and a permitted withdrawal speed. A vault that misses any single
gate is never considered.
Return and risk inputs
For each survivor the Engine reads two numbers from public data: current APY as
expected return, and the historical variance of that APY — extended to a covariance
across vaults, with statistical shrinkage to steady thin histories — as risk. No
private inputs, no forecasts.
Mean-variance optimization
Solve for the mix of vaults with the best expected return for the risk taken. A
single risk-aversion dial, λ, set by the user’s risk score, decides how hard the mix
leans toward yield versus away from volatility.
Policy constraints
The raw optimum is held inside the tier’s guardrails — caps per vault, per protocol,
and per chain, a floor under each position, and a tighter cap on vaults with little
history. Concentration is trimmed proportionally until every cap holds.
When a candidate set has too little history for the covariance step to be trustworthy,
the Engine falls back to a simpler, equally deterministic diversification rule rather
than optimize on noise — and the result is labelled when that happens.