现阶段美元作为事实上的全球锚定货币，让美联储决策必然影响全球。择时策略引入美联储美联邦财政部数据可以很好的有效择时。

美联储总资产 WALCL

Assets: Total Assets: Total Assets (Less Eliminations from Consolidation): Wednesday Level (WALCL) | FRED | St. Louis Fed (stlouisfed.org)

财政部余额 WTREGEN

Liabilities and Capital: Liabilities: Deposits with F.R. Banks, Other Than Reserve Balances: U.S. Treasury, General Account: Week Average (WTREGEN) | FRED | St. Louis Fed (stlouisfed.org)

逆回购数额 RRPONTSYD

Overnight Reverse Repurchase Agreements: Treasury Securities Sold by the Federal Reserve in the Temporary Open Market Operations (RRPONTSYD) | FRED | St. Louis Fed (stlouisfed.org)

流动性就可以用 WALCL-WTREGEN-RRPONTSYD 计算。

我粗略回测了下，有效性比国债1年期10年期比值变化有效得多。

流动性上，btc qqq应声而涨，随后癌股就跟。流动性下，btc qqq自由落体，癌股尤其是小盘就跟下。