流動性緩和≤ P20
SPX 20D Avg+2.1%SPX Win Rate68%BTC 20D Avg+5.4%BTC Win Rate63%
歴史的にリスク資産のパフォーマンスは全般的に好調ですが、ボラティリティは依然として大きい場合があります。
Research Framework
The DLI Liquidity Score synthesizes structural data from the Federal Reserve system and capital markets through a four-stage quantitative pipeline:
Direct integration with FRED, US Treasury Fiscal Data, and NY Fed Markets APIs — automated ingestion with cross-frequency alignment
Robust z-scores via 10-year rolling median and MAD (Median Absolute Deviation) — resilient to outliers and structural breaks, winsorized to [-4, +4]
The 10 scoring indicators are classified into 4 transmission tiers: Policy/Reserves, Funding/Plumbing, Credit/Intermediation, and Risk/Price, then equal-weighted within each tier.
Supply-side weighted 60%, price feedback 40% — regime classified via rolling 5-year percentile thresholds that adapt across macro cycles
The site tracks 12 indicators. The DLI score uses 10 core indicators grouped into 4 tiers. Supply-side (Policy + Funding) carries 60% total weight so the score reflects liquidity substance rather than sentiment.
追跡対象の2指標（ネット流動性とM2）は参考情報として提供されており、DLI総合スコアには含まれません。
| Tier | Weight | Indicator | Tightening Signal |
|---|---|---|---|
| 政策 / 準備金 | 30% | FRB 総資産 | ↓ Falling = Tighter liquidity |
| TGA 残高 | ↑ Rising = Tighter liquidity | ||
| ON RRP 残高 | ↑ Rising = Tighter liquidity | ||
| 資金調達 / 配管 | 30% | SOFR-IORB | ↑ Rising = Tighter liquidity |
| SRF 利用額 | ↑ Rising = Tighter liquidity | ||
| 信用 / 仲介 | 20% | 現金バッファー | ↓ Falling = Tighter liquidity |
| HY スプレッド | ↑ Rising = Tighter liquidity | ||
| リスク / 価格 | 20% | VIX 指数 | ↑ Rising = Tighter liquidity |
| ドル指数 | ↑ Rising = Tighter liquidity | ||
| 10Y 実質利回り | ↑ Rising = Tighter liquidity |
The DLI Score uses adaptive rolling 5-year percentile thresholds to classify liquidity into four tiers, keeping signals stable and comparable across macro cycles.
| Percentile | Liquidity Condition | Risk Bias (Secondary) | Interpretation |
|---|---|---|---|
| ≤ P20 | Abundant | Risk-seeking tilt | Extremely loose liquidity — strongly favorable for risk assets |
| P20 – P50 | Supportive | Mild risk-seeking tilt | Conditions still positive but moderating — monitor momentum shifts |
| P50 – P80 | Restrictive | Mild defensive tilt | Conditions tightening — risk assets face moderate headwinds |
| ≥ P80 | Tight | Defensive tilt | Significantly tight liquidity — risk assets face strong headwinds |
This section checks directional consistency between DLI liquidity states and subsequent asset behavior. It is not a direct return-forecasting model.
1) State First
Read liquidity state from percentile bands: supportive / neutral / tight.
2) Then Statistics
Check 20-trading-day average return and win rate under that state.
3) Validation, Not Signal
Use as model interpretability evidence, not as a standalone trading instruction.
歴史的にリスク資産のパフォーマンスは全般的に好調ですが、ボラティリティは依然として大きい場合があります。
方向性は弱く、他のマクロ変数の影響をより受けやすくなります。
歴史的にリスク資産への下押し圧力がより強く、ドローダウンの確率が高くなります。
* Sample window: 2020-2025; method: conditional 20-trading-day distributions grouped by DLI state. Historical results do not guarantee future outcomes.
This site is for informational and educational purposes only. It does not constitute financial advice. All data comes from public sources; we do not guarantee completeness or timeliness. Investment decisions should be based on personal research and professional consultation.