Scoring Model & Methodology
How we calculate depeg risk scores for each token
Risk Tiers
Each token receives a score from 0-100 based on weighted risk signals. The score maps to a tier:
Critical
≥ 80
Severe depeg risk
Warning
≥ 60
Elevated risk
Watch
≥ 40
Monitor closely
OK
< 35
Low risk
Feature Weights
The final score is a weighted sum of normalized risk signals (each 0-1). Weights sum to 90%, leaving room for future features.
Price Deviation (5m)35%
How far current price is from peg. Normalized: 5% deviation = max score.
Slippage ($100k)20%
Estimated slippage for a $100k trade. Higher = lower liquidity.
Persistence (50bp, 60m)20%
Minutes spent >0.5% off peg in the last hour.
Persistence (100bp, 60m)15%
Minutes spent >1% off peg in the last hour.
Volatility BurstNEW10%
Detects sudden spikes in price volatility. Triggers when recent vol > 2x baseline.
Velocity & Momentum ScoringNEW
Beyond the base score, we track how quickly risk is changing. Rapidly rising scores get boosted for earlier warnings.
📈Velocity
Rate of score change (points/tick). Positive = worsening risk.
🚀Acceleration
Change in velocity. Helps detect rapidly accelerating depegs.
âš¡Momentum Boost
Up to +15 points added when velocity exceeds threshold.
Token Type Adjustments
Different token types have different expected behaviors. The model adjusts for this:
Standard$0.99 – $1.01
Traditional stablecoins pegged to fiat. Any deviation is penalized.
Yield$1.00 – $1.35
Yield-bearing tokens (sUSDe, sfrxUSD). Trading above peg up to 35% is expected.
RWA$1.00 – $1.10
T-Bill backed tokens (BUIDL, mTBILL). NAV appreciates slowly with yields.
Gold±5% of spot
XAU-pegged tokens (PAXG, XAUT). 5% spread allowed before penalizing.
Example Calculation
Token: USDC on Ethereum
Price: $0.985
Peg: $1.00
Deviation: 1.5%
1. Price Deviation: 1.5% / 5% = 0.30
2. Slippage 100k: 80bps / 200bps = 0.40
3. Persistence 50bp: 45min / 60min = 0.75
4. Persistence 100bp: 30min / 60min = 0.50
5. Volatility Burst: No burst detected = 0.00
Score = (0.30 × 30%) + (0.40 × 20%) + (0.75 × 18%) + (0.50 × 12%) + (0.00 × 10%)
Score = 9.0 + 8.0 + 13.5 + 6.0 + 0.0 = 36.5 → 37
Tier: OK (below 40 threshold)
Score = 9.0 + 8.0 + 13.5 + 6.0 + 0.0 = 36.5 → 37
Tier: OK (below 40 threshold)
Hysteresis & State Machine
To prevent alert fatigue, tier transitions require sustained conditions:
- Upgrade to Critical: 1 tick above threshold
- Upgrade to Warning: 2 consecutive ticks above threshold
- Upgrade to Watch: 2 consecutive ticks above threshold
- Downgrade to OK: 2 consecutive ticks below clear threshold
Data Sources
Bitquery
Primary DEX trade data, VWAP pricing, volume metrics
0x API
Liquidity depth and slippage estimation
DeFiLlama
Price sanity check and fallback pricing