The Silk - 2026-04-24

Market Situation

Interest Rates ↗

short-end anchored by Fed but long-end drifting higher on growth/inflation expectations; rising 10Y creates headwind for duration-sensitive equities

Financial →

broad rally intact but daily weakness emerging; MSFT selloff (-4.0% 1d) signals rotation risk within mega-caps; IWM at alert level suggests small-cap participation may be peaking

Commodity →

industrial metals surging on EV/AI demand narrative while energy weakens; lithium at statistical extreme with highest mean-reversion probability

Currency ↗

dollar weakening against EUR and commodity currencies (AUD +1.5%, BRL +4.0% 30d); CNY strength at watch level reflects capital inflows or policy support; weak dollar supports commodity rally

Crypto ↗

strong uptrend but no sigma alert triggered; momentum aligned with risk-on regime but vulnerable to equity correction spillover

Signals

1 Critical

4 Alert

2 Watch

Click row for details

Asset	Price	Z-Score	Window	Level	Trade
ALB	$215.62	+3.79σ	60d	critical	SHORT
AMD	$305.33	+2.94σ	60d	alert	LONG
PDBC	$17.35	+2.28σ	252d	alert	LONG
NVDA	$199.64	+2.07σ	252d	alert	LONG
IWM	$275.52	+2.05σ	252d	alert	LONG
CNY=X	$6.82	-1.84σ	252d	watch	SHORT
TSM	$382.66	+1.83σ	252d	watch	LONG

Risk & Metrics

Rolling Sharpe

1m 3.29 | 3m -0.32 | 12m n/a

Rolling Volatility

1m 24.3% | 3m 28.2% | 12m n/a

Drawdown

Current -13.7% | Max -26.5%

ENB

6.35 (assets: 19)

Regime Probability

Low-Vol 33% | High-Vol 17% | Trend 49% | Mean-Rev 1%

Current: trend (49%)

Performance Scorecard

Core Forecast

Backtest (1042d):541/1358, 40% [37%-42%], +374.7%

In Sample (63d):32/73, 44% [33%-55%], +50.1%

Recent (8d):5/10, 50% [24%-76%], +13.0%

Brier Score:0.272 FAIL (threshold: 0.25)

Commodity OOS

Backtest (2089d):3868/8555, 45% [44%-46%], +280.4%

In Sample (70d):75/157, 48% [40%-56%], -1.4%

Recent (6d):10/12, 83% [55%-95%], +13.7%

Brier Score:0.255 FAIL (threshold: 0.25)