Inverse MACO

artifacts/index.ts

@@ -4,6 +4,7 @@ export { ETHDaiRebalancingManager } from './ts/ETHDaiRebalancingManager';
 export { EMAOracle } from './ts/EMAOracle';
 export { FeedFactory } from './ts/FeedFactory';
 export { HistoricalPriceFeed } from './ts/HistoricalPriceFeed';
+export { InverseMACOStrategyManager } from './ts/InverseMACOStrategyManager';
 export { LegacyMakerOracleAdapter } from './ts/LegacyMakerOracleAdapter';
 export { LinearizedEMATimeSeriesFeed } from './ts/LinearizedEMATimeSeriesFeed';
 export { LinearizedPriceDataSource } from './ts/LinearizedPriceDataSource';
@@ -26,6 +27,7 @@ export {
 	EMAOracleContract,
 	FeedFactoryContract,
 	HistoricalPriceFeedContract,
+	InverseMACOStrategyManagerContract,
 	LegacyMakerOracleAdapterContract,
 	LinkedListLibraryMockContract,
 	LinearizedEMATimeSeriesFeedContract,

contracts/managers/InverseMACOStrategyManager.sol

@@ -0,0 +1,106 @@
+/*
+    Copyright 2019 Set Labs Inc.
+
+    Licensed under the Apache License, Version 2.0 (the "License");
+    you may not use this file except in compliance with the License.
+    You may obtain a copy of the License at
+
+    http://www.apache.org/licenses/LICENSE-2.0
+
+    Unless required by applicable law or agreed to in writing, software
+    distributed under the License is distributed on an "AS IS" BASIS,
+    WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+    See the License for the specific language governing permissions and
+    limitations under the License.
+*/
+
+pragma solidity 0.5.7;
+pragma experimental "ABIEncoderV2";
+
+import { IOracle } from "../meta-oracles/interfaces/IOracle.sol";
+import { IMetaOracleV2 } from "../meta-oracles/interfaces/IMetaOracleV2.sol";
+import { MACOStrategyManagerV2 } from "./MACOStrategyManagerV2.sol";
+
+
+/**
+ * @title InverseMACOStrategyManager
+ * @author Set Protocol
+ * 
+ * Instead of going bullish when the price crosses above the moving average, the Set flips to the
+ * stable asset and vice versa in a bearish market.
+ */
+contract InverseMACOStrategyManager is MACOStrategyManagerV2 {
+    /*
+     * InverseMACOStrategyManager constructor.
+     *
+     * @param  _coreAddress                         The address of the Core contract
+     * @param  _movingAveragePriceFeed              The address of MA price feed
+     * @param  _riskAssetOracle                     The address of risk asset oracle
+     * @param  _stableAssetAddress                  The address of the stable asset contract
+     * @param  _riskAssetAddress                    The address of the risk asset contract
+     * @param  _collateralAddresses                 The addresses of collateral Sets [stableCollateral,
+     *                                              riskCollateral]
+     * @param  _setTokenFactory                     The address of the SetTokenFactory
+     * @param  _auctionLibrary                      The address of auction price curve to use in rebalance
+     * @param  _movingAverageDays                   The amount of days to use in moving average calculation
+     * @param  _auctionTimeToPivot                  The amount of time until pivot reached in rebalance
+     * @param  _crossoverConfirmationBounds         The minimum and maximum time in seconds confirm confirmation
+     *                                                can be called after the last initial crossover confirmation
+     */
+    constructor(
+        address _coreAddress,
+        IMetaOracleV2 _movingAveragePriceFeed,
+        IOracle _riskAssetOracle,
+        address _stableAssetAddress,
+        address _riskAssetAddress,
+        address[2] memory _collateralAddresses,
+        address _setTokenFactory,
+        address _auctionLibrary,
+        uint256 _movingAverageDays,
+        uint256 _auctionTimeToPivot,
+        uint256[2] memory _crossoverConfirmationBounds
+    )
+        public
+        MACOStrategyManagerV2(
+            _coreAddress,
+            _movingAveragePriceFeed,
+            _riskAssetOracle,
+            _stableAssetAddress,
+            _riskAssetAddress,
+            _collateralAddresses,
+            _setTokenFactory,
+            _auctionLibrary,
+            _movingAverageDays,
+            _auctionTimeToPivot,
+            _crossoverConfirmationBounds
+        )
+    {}
+
+    /*
+     * Check to make sure that the necessary price changes have occured to allow a rebalance.
+     *
+     * @param  _riskAssetPrice          Current risk asset price as found on oracle
+     * @param  _movingAveragePrice      Current MA price from Meta Oracle
+     */
+    function checkPriceTriggerMet(
+        uint256 _riskAssetPrice,
+        uint256 _movingAveragePrice
+    )
+        internal
+        view
+    {
+        if (usingRiskCollateral()) {
+            // If currently holding risk asset (riskOn) check to see if price is above MA, otherwise revert.
+            require(
+                _movingAveragePrice < _riskAssetPrice,
+                "InverseMACOStrategyManager.checkPriceTriggerMet: Risk asset price must be above moving average price"
+            );
+        } else {
+            // If currently holding stable asset (not riskOn) check to see if price is below MA, otherwise revert.
+            require(
+                _movingAveragePrice > _riskAssetPrice,
+                "InverseMACOStrategyManager.checkPriceTriggerMet: Risk asset price must be below moving average price"
+            );
+        }        
+    }
+}