Methodology — Macro Regime
How we measure, normalize, and weight 18+ macro components.
🧮 Composite Score (0-100)
The composite score is the weighted sum of 6 tier scores. Each tier yields 0-100, then they feed into the composite by spec-weight:
- 💧 Liquidity — 30%
- 🏦 Financial Conditions — 20%
- 🎲 Risk Appetite — 15%
- 🪙 Crypto Liquidity — 10%
- 📈 Business Cycle — 15%
- 📊 Inflation & Real Rates — 10%
Each component is linearly normalized (or inverted) to 0-100 depending on whether higher values are bullish or bearish. Example: VIX high → bad for risk assets → low score. Fed Net Liquidity high → good → high score.
The composite score determines the regime label (risk_off < 30 / neutral 30-50 / risk_on_leaning 50-70 / risk_on > 70). The 2D matrix quadrant axis combines the two most important sub-scores: Liquidity (Tier 1+2 weighted) on Y, Cycle (Tier 5) on X.
💧 Liquidity— 30% weight
7 components
Fed Net Liquidity
Fed Net Liquidity = Fed Balance Sheet minus Treasury General Account minus Reverse Repo. Measures liquidity actually circulating in the banking system. Rising = more available for risk assets, falling = less.
Source: FRED (WALCL − WTREGEN − RRPONTSYD)
Fed-Bilanzsumme (WALCL)
Fed Balance Sheet (WALCL): total assets held by the Federal Reserve. Grows during Quantitative Easing, shrinks during Quantitative Tightening. Direct indicator of monetary policy direction.
Source: FRED Series WALCL · FRED →
Treasury General Account
Treasury General Account (TGA): the US Treasury's bank account at the Fed. A rising TGA drains liquidity from the banking system, a falling TGA injects it.
Source: FRED Series WTREGEN · FRED →
Reverse Repo (RRP)
Reverse Repo Facility: money market funds park cash short-term at the Fed against Treasuries. High RRP = idle cash, low RRP = capital seeking riskier investments.
Source: FRED Series RRPONTSYD · FRED →
Fed Funds Rate
Federal Funds Rate: the overnight rate between US banks, the Fed's primary monetary policy instrument. Higher rate = more expensive money = brake on risk assets.
Source: FRED Series FEDFUNDS · FRED →
Global M2 YoY
Global M2 Year-over-Year: global broad money supply (US + EU + China + JP) year-over-year. When it grows faster than GDP, excess liquidity flows into asset markets.
Source: Aggregat aus mehreren Zentralbank-Statistiken (Phase B: Scrape geplant)
Fed Cuts Priced
Number of rate cuts priced in by Fed Funds Futures for the next 12 months. More expected cuts = market expects more expansionary policy = bullish for risk assets.
Source: CME FedWatch Tool (Phase B: Scrape geplant)
🏦 Financial Conditions— 20% weight
2 components
Chicago NFCI
Chicago Fed National Financial Conditions Index: 105 variables across money market, bond market, equities, FX, banking. Negative = loose financial conditions, positive = tight.
Source: FRED Series NFCI · FRED →
Goldman Sachs FCI
Goldman Sachs Financial Conditions Index: weighted composite of risk-free rate, equity performance, credit spreads, FX. 100 = neutral, higher = more restrictive. Wall Street standard.
Source: Goldman Sachs Research (Phase B: Scrape geplant)
🎲 Risk Appetite— 15% weight
4 components
VIX
CBOE Volatility Index: implied 30-day S&P 500 volatility from options prices. <12 = complacency, 12-20 = normal, 20-30 = nervous, >30 = panic.
Source: FRED Series VIXCLS · FRED →
High-Yield Credit Spread
High-Yield Credit Spread (BAMLH0A0HYM2): yield premium of US junk bonds over Treasuries in basis points. Low spreads = risk-on, wide spreads = risk-off or recession fear.
Source: FRED Series BAMLH0A0HYM2 · FRED →
US-Dollar-Index (DXY)
US Dollar Index (DXY): USD rate against basket of EUR, JPY, GBP, CAD, CHF, SEK. Strongly rising DXY drains liquidity from risk assets worldwide (dollar funding stress).
Source: FRED Series DTWEXBGS · FRED →
MOVE Index
ICE BofA MOVE Index: implied volatility of US Treasury options — the "VIX for bonds". High MOVE = rate uncertainty, often a precursor to equity stress.
Source: ICE BofA (Phase B: Scrape geplant)
🪙 Crypto Liquidity— 10% weight
2 components
Stablecoin MCap 30d-Veränderung
Change in total stablecoin market cap (USDT + USDC + DAI + ...) over 30 days in USD. Growing stables = fresh fiat capital flowing into the crypto system.
Source: DefiLlama (Phase B: API geplant)
BTC ETF Netflow 30d
Cumulative net flow into Spot Bitcoin ETFs (BlackRock IBIT, Fidelity FBTC, ...) over the last 30 days. Persistently positive = structural demand, persistently negative = distribution.
Source: Farside Investors (Phase B: Scrape geplant)
📈 Business Cycle— 15% weight
5 components
OECD Composite Leading Indicator
OECD Composite Leading Indicator USA: leading indicator for 6-9-month business cycle. >100 = above trend (expansion), <100 = below trend (contraction). Turning points typically visible ~6 months before GDP turns.
Source: FRED Series USALOLITOAASTSAM · FRED →
Consumer Confidence Index
OECD Consumer Confidence Index USA: sentiment of US consumers. >100 = optimistic, <100 = pessimistic. Driver of consumer spending (70% of US GDP).
Source: FRED Series CSCICP03USM665S · FRED →
Industrieproduktion YoY
US Industrial Production year-over-year: output of US manufacturing, mining, and utility sectors. Contracting = real-economy weakness, expanding = expansion.
Source: FRED Series INDPRO · FRED →
Initial Jobless Claims (4w avg)
Initial Jobless Claims (4-week average): weekly first-time US unemployment claims. Rising = labor market deteriorating, falling/low = robust. Very early business-cycle indicator.
Source: FRED Series ICSA · FRED →
Yield Curve 10y-2y
Yield Curve Spread (10-Year minus 2-Year US Treasury): classic recession indicator. Inversion (negative) preceded every US recession since 1970, with a 12-24 month lead time.
Source: FRED Series T10Y2Y · FRED →
📊 Inflation & Real Rates— 10% weight
2 components
Breakeven Inflation 10y
10-Year Breakeven Inflation Rate: market-implied US inflation expectation over 10 years from TIPS spread. Anchored (~2%) = Fed credible, rising = inflation concern returning.
Source: FRED Series T10YIE · FRED →
10-Year Real Yield
10-Year Real Yield (TIPS): inflation-adjusted 10-year Treasury yield. High real yield = cash/bonds attractive, bad competition for risk assets. Negative = TINA for equities/crypto.
Source: FRED Series DFII10 · FRED →
⚠ Disclaimer & Limitations
- The composite score is a snapshot analysis from publicly available macro data — not a forecast, not a trading recommendation.
- Data staleness: FRED series update at different cadences (daily to monthly). Stale components are flagged in the snapshot.
- Weights are heuristically chosen and re-calibrated when backtest evidence warrants. Last re-calibration: Spec v0.3 (2026-05).
- Phase-B components (Global M2, GS FCI, MOVE, Fed Cuts Priced, Stablecoin MCap, ETF Netflow) are currently placeholders — scrapes pending.