Predictive Intelligence. Backtested Across Market Cycles.
Vallejo analyses order-book depth, on-chain activity and macroeconomic signals in real time to support calm, systematic digital asset allocation — with drawdown control built in from the start.
Designed for cautious allocators. Non-custodial analytics, out-of-sample validation, and transparent assumptions on every model.
Drawdown comparison — model-moderated vs unmanaged
Illustrative structure. Historical simulation with slippage and fee assumptions applied.
Market context
Volatility rewards discipline, not reaction.
Many private investors recognise the long-term relevance of digital assets but remain concerned about sharp drawdowns and emotionally driven timing. Vallejo provides a systematic alternative.
Speculative trading relies on narrative and momentum. Prices move quickly, liquidity thins without warning, and decisions made under pressure tend to compound losses. For family offices and treasury managers, that approach is difficult to govern and harder to report.
Our platform replaces impulse with process. It ingests large volumes of market, on-chain and macro data in real time, detects shifts in market regime, and translates those signals into tailored allocation recommendations with explicit risk bounds.
Exposure behaviour under stress — structural illustration
Lower bar indicates reduced exposure during high-volatility regimes, as directed by predictive risk signals rather than manual intervention.
- Ingest: order-book depth, funding rates, on-chain flows, macro indicators.
- Interpret: regime detection classifies trend, stress and liquidity conditions.
- Recommend: allocation ranges with rebalancing thresholds and guardrails.
Backtesting methodology
Empirical validation before any allocation view.
Every Vallejo model is evaluated against multi-cycle history before it informs a recommendation. We document assumptions, test outside the training window, and account for real-world frictions.
Historical data ingestion
Multi-cycle spot, derivatives, on-chain telemetry and macro series cleaned, time-aligned and versioned for auditability.
Drawdown stress testing
Strategies are run through prior liquidity shocks and prolonged bear phases to assess drawdown depth and recovery structure.
Regime detection
Predictive models classify risk-on, transitional and stressed regimes in real time to moderate exposure automatically.
Rebalancing guidance
Tailored allocation ranges, threshold-based rebalancing and execution guardrails adapted to your mandate.
Decision architecture
Instruments built to reduce downside uncertainty.
Vallejo is a decision-optimisation platform for investment teams. It does not take custody. It analyses, explains and recommends — you retain execution control.
Real-time risk exposure radar
Consolidate portfolio-level exposure, concentration and liquidity signals in one governed view, updated as market conditions change.
- Inputs: venue depth, volatility surfaces, stablecoin flows, macro releases
- Latency: streaming intraday updates with daily governance summary
- Output: exposure score, regime flag and suggested tolerance band
Current regime: Transitional — exposure moderated, rebalancing thresholds tightened.
Scenario simulation
Test allocation changes against historical stress analogues before committing capital.
- Drawdown and recovery path comparison
- Turnover, cost and slippage estimates
- Exportable summaries for investment committees
Automated execution guardrails
Pre-set limits keep implementation aligned with mandate, even in fast markets.
- Position, venue and turnover constraints
- Alerts on regime change or limit breach
- Full log for reporting and oversight
About Vallejo
Analytical rigour for long-term allocators.
Vallejo was developed to give cautious investors a calmer way to evaluate digital assets: structured data, documented methods and recommendations that respect capital preservation.
- Quantitative team focused on risk modelling, not promotion
- Transparent documentation of data sources and limitations
- Workflows suited to private investors, family offices and treasury functions
Calibrated portfolio models
Choose the risk posture that fits your mandate.
Three illustrative frameworks show how Vallejo tailors recommendations. Final weightings are set with you, based on horizon, liquidity needs and drawdown tolerance. Historical behaviour informs design; it does not promise future outcomes.
| Attribute | Capital Preservation | Balanced Asymmetric Growth | Institutional Alpha |
|---|---|---|---|
| Objective | Low-volatility bias, high liquidity, emphasis on drawdown mitigation. | Regime-adaptive weighting across majors with measured satellite exposure. | Multi-signal quantitative allocation for diversified mandates. |
| Rebalancing frequency | Threshold-based, typically monthly review. | Threshold-based with fortnightly regime check. | Continuous monitoring with weekly governance review. |
| Drawdown tolerance | Conservative; exposure reduced early in stressed regimes. | Moderate; partial de-risking with defined re-entry rules. | Defined by mandate; active hedging overlays where permitted. |
| Data inputs | Liquidity, volatility, stablecoin flows, macro rates. | Plus funding, open interest, on-chain momentum. | Full stack plus cross-venue microstructure and factor signals. |
| Recommended horizon | 12 months and above. | 24 months and above. | 36 months and above, committee oversight. |
Governance
Due diligence, welcomed.
Vallejo operates as a non-custodial analytics provider. Your assets remain with your chosen custodians and venues. We provide the intelligence layer — models, rationale and audit trails — so your advisers can scrutinise every recommendation.
We maintain UK regulatory awareness, clear data-processing records and plain-English model cards describing scope, limits and known failure modes.
How does Vallejo prevent overfitting in backtests?
We separate training and testing periods, use walk-forward validation, limit parameter complexity and require stability across regimes. Results include transaction costs and slippage, and fragile calibrations are rejected even if headline figures appear attractive.
Do you take custody or execute trades?
No. Vallejo is non-custodial. Recommendations and guardrails are delivered to you or via your existing execution setup. You approve thresholds, retain sign-off and keep full control of funds and keys.
How do models react to black-swan liquidity events?
Regime detection is designed to recognise dislocation — widening spreads, thinning depth and abnormal funding — and to recommend reduced exposure and wider execution limits. No model can foresee every event, so guardrails default to caution and every anomaly is logged for review.
Can this integrate with our reporting workflows?
Yes. Summaries, exposure logs and scenario outputs export in formats suited to private-client reporting, family-office administration and treasury oversight. We support scheduled briefings and committee-ready documentation.
Private briefing
Examine the models before you allocate a pound.
Request access to the historical backtest sandbox or arrange a private platform walkthrough with our analytics team. Measured, documented and without obligation.
Prefer to read first? Review platform advantages or see why investors choose Vallejo.
Capital at risk. Digital assets are volatile and may fall as well as rise. Past simulated performance does not indicate future results. Vallejo provides analytics and does not offer regulated investment advice. Consider independent advice where appropriate.