Methodology Research
The primary research behind the DLI: backtests, validation studies, and design decisions — including the alternatives we tested and rejected, with the statistics that killed them. Published as-is from our internal notes.
Notes are published in English. 中文/日本語/한국어 summaries appear on each note.
How the DLI composite is built: CISS-style quadratic aggregation, the net-liquidity flow spine, funding-stress override, and the full validation record against NFCI/STLFSI — including every rejected alternative.
Why price-feedback indicators (VIX, dollar index, real yields) moved from 10-year z-scores to 2-year rolling percentile ranks: the underlying flows scaled 7-14x since 2008, breaking stable-distribution assumptions. Superseded by the CISS engine; kept as the historical record.
Why the original 30/30/20/20 group weights produced a forward-return INVERTED signal (SPX Δavg −1.20%, p<0.001) and how the weight sweep across SPX/QQQ/IWM/TLT/HYG selected 85/5/5/5. Superseded by the CISS engine; kept as the historical record.