유동성 완화≤ P20
SPX 20D Avg+2.1%SPX Win Rate68%BTC 20D Avg+5.4%BTC Win Rate63%
역사적으로 위험자산의 전반적 성과가 더 강하지만 변동성은 여전히 클 수 있습니다.
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.
추적 대상 2개 지표(순유동성 및 M2)는 참고용으로 제공되며 DLI 종합 점수에는 포함되지 않습니다.
| Tier | Weight | Indicator | Tightening Signal |
|---|---|---|---|
| 정책 / 준비금 | 30% | Fed 총자산 | ↓ Falling = Tighter liquidity |
| TGA 잔액 | ↑ Rising = Tighter liquidity | ||
| ON RRP 잔액 | ↑ Rising = Tighter liquidity | ||
| 자금조달 / 배관 | 30% | SOFR-IORB 스프레드 | ↑ Rising = Tighter liquidity |
| SRF 이용량 | ↑ Rising = Tighter liquidity | ||
| 신용 / 중개 | 20% | 현금 버퍼 | ↓ Falling = Tighter liquidity |
| HY 신용 스프레드 | ↑ Rising = Tighter liquidity | ||
| 리스크 / 가격 | 20% | VIX 변동성 | ↑ Rising = Tighter liquidity |
| 달러 인덱스 | ↑ Rising = Tighter liquidity | ||
| 10Y 실질금리 | ↑ 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.
역사적으로 위험자산의 전반적 성과가 더 강하지만 변동성은 여전히 클 수 있습니다.
방향성이 약하며 다른 거시 변수에 더 민감합니다.
역사적으로 위험자산에 대한 하방 압력이 더 강하며 하락 확률이 높습니다.
* 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.