The Silk - 2026-04-26

Market Situation

Interest Rates ↘

market pricing gradual easing cycle; 2Y leading decline suggests front-end rate cut expectations firming while long end anchored by persistent inflation prints (CPI +1.1% 1m)

Financial →

AI semiconductor complex at statistical extremes; broad indices extended but not yet at CRITICAL; Russell 2000 lagging (5d -0.3%) signals narrowing breadth

Commodity →

bifurcated commodity picture: battery/tech metals surging while energy weakening; gold at $4817 (-3.7% 30d) losing safe-haven bid as risk appetite dominates

Currency ↗

dollar weakening against EUR and CNY; CNY strengthening may reflect capital inflows or policy support; JPY carry trade persists at extreme levels

Crypto →

tracking risk-on equity sentiment but showing 1d weakness; no CRITICAL signals but correlated to AI/tech euphoria cycle

Signals

3 Critical

3 Alert

2 Watch

Click row for details

Asset	Price	Z-Score	Window	Level	Trade
AMD *	$347.81	+3.99σ	252d	critical	SHORT
ALB *	$215.62	+3.79σ	60d	critical	SHORT
NVDA	$208.27	+3.06σ	252d	critical	SHORT
TSM *	$402.46	+2.57σ	60d	alert	LONG
PDBC	$17.35	+2.27σ	252d	alert	LONG
IWM	$276.65	+2.10σ	252d	alert	LONG
CNY=X *	$6.84	-1.69σ	252d	watch	SHORT
MSFT	$424.62	+1.57σ	30d	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 (65d):33/74, 45% [34%-56%], +50.9%

Recent (8d):4/8, 50% [22%-78%], +14.1%

Brier Score:0.279 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)