The pipeline — five deterministic steps
1
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.
2
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.
3
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.
4
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.
5
Final allocation
A set of positions with explicit percentages that sum to the full amount. Same inputs
in, same portfolio out — every time.
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.