TRUSS

The math

CPPI in full. This is the product. Everything else is plumbing.

Formula

C = V − F
E = min(m × C, V)
S = V − E

V is position value. F is the floor. m is the multiplier. E is risky exposure. S is the SGOV leg.

Worked example

Deposit $10,000 · floor 90% · m = 4

  • C = 10,000 − 9,000 = 1,000
  • E = 4 × 1,000 = 4,000 NVDA
  • S = 6,000 SGOV
NVDA
SGOV
NVDA $4,000SGOV $6,000

After NVDA falls 10%

Position is worth $9,600. Cushion shrinks. Target risky drops to $2,400. Exposure contracts as the floor approaches. That is the whole point.

NVDA
SGOV
NVDA $2,400SGOV $7,200

Survivable gap

25%

1/m at the shipped multiplier. Shown on deposit, not buried.

Default m

4

Worst measured NVDA overnight gap 7.28% permits m < 13.7. We stay far below.

Hard ceiling

8

allocate() throws above this until gap history is recomputed on 12+ months.