Auto-generated. This article is rebuilt from app/signals/config/signal_definitions.json by scripts/build_signals_kb.py. Edit the registry entry and re-run the script — do not edit this file directly.

OFR FSI — Funding

What it is

OFR FSI — Funding — registry key ofr_fsi_funding.

Funding-market subindex of the OFR Financial Stress Index (free financialresearch.gov fsi.csv). Now a LEVEL leg of the drawdown-risk lens (compute_drawdown_risk, +1 orientation, weight 1.5 — the highest forward-drawdown IC, ~0.278, of any component tested in the screen) — a transparency/coverage funding-stress leg, NOT a health-score, alignment, or banded scoring component. On current live data the composite still does NOT beat VIX-alone; the validated heavy leg remains net_gex_rank.

Data-pyramid tier

T0 — Raw input. This metric sits at the raw input layer of the platform’s six-tier data pyramid (T0 raw inputs → T5 actionable read). The tier reflects how far the value is from a raw measurement — not how strongly it is validated. Abstraction and validation are separate axes: a higher tier is not a claim of stronger evidence.

Horizon & validation

Horizon: 40-60d — the window this metric’s measured skill speaks to. A horizon stamp is an evidence claim, not a trading signal.

Evidence: Macro drawdown-lens leg: forward-maxdd correlation grows with horizon and peaks at 40-60d (breakeven_10y +0.28@20d -> +0.42@60d; ofr_fsi_funding ~+0.278, highest tested). FAILS clean walk-forward (single 2022 bear, in-sample; RT-3 falsifier open). Weak - ships labeled, never as a standalone forecast.

Source

Source module: ofr
Data source: back_fillable

Fetched directly from app/sources/ofr.py; see source code for the upstream API call and any provider-specific handling.

How it’s computed

Fetched directly from the ofr source; see app/sources/ofr.py for the upstream API call.

Where it surfaces

• API field: stress.ofr_fsi_funding on GET /api/v1/signals/latest
• Surface: daily_signals row (daily-cadence persistence)
• Surface: /signals/history time series
• Surface: /signals/sparklines (UI sparklines)

Health-score / alignment role

Data carrier — no implication, no health-score contribution.

Persisted for downstream consumers (sparklines, base-rate matcher, calibration substrate) but does not classify into BULLISH / NEUTRAL / BEARISH and does not contribute to the 0-100 health score.

Release cadence

• Publishes: daily
• Approximate time (ET): 08:30
• Lag days: 2

OFR Financial Stress Index daily CSV (financialresearch.gov); daily T-2, latest-row read.

See also

• /kb/api/get-signals-latest — API endpoint that serves this field.