liquidity composite short
What it checks
When credit spreads and bank funding stress all spike together, high-beta risk-on stocks tend to crack 1-3 weeks later.
Mechanism
Systemic-liquidity stress regimes (TED + IG + HY spreads composite) precede sustained risk-off equity drawdowns by 5-20 trading days.
Signal rule
Composite z(TED + IG + HY spread 30d-roll, vs 5y) >= 1.5 -> SHORT high-beta basket T+1; hold 21/42/63d.
Data dependencies
daily_pricesAdjusted-close OHLCV for every US-listed ticker; primary price feed.
fred_macroWorker data table — see services/worker schema.
Expected edge
- Paper alpha
- -3 to -8% over 42d
- Paper window
- 21/42/63d
Adrian et al 2019; -3 to -8% over 42d on regime-shift signal.
Example tickers where this is likely to fire
Illustrative only — the signal fires based on the live data, not a fixed list.
Related families
credit spread shockMacroGilchrist-Zakrajsek 2012 AER show the excess-bond-premium component of credit spreads predicts equity returns at 1-3mo horizons with R² up to 12%. We use raw BAA-10Y (Moody's BAA corp minus 10Y Treasury) from FRED as the cheap proxy. Widening shock = risk-off pressure (short high-beta names with downtrend); sharp compression = risk-on regime (long beta names with uptrend).
vol of vol signalMacro21-day realized vol of VIX; when high → defensive bias on momentum families.
Explore liquidity composite short on alphactor.ai
See which tickers this family is currently firing on, with live signals and rankings.