The Silk - 2026-04-28

Market Situation

Interest Rates →

short-end anchored by Fed at 3.64% while long-end drifts higher on term premium; steepening bias pressures growth multiples over 30d horizon

Financial →

AI/semiconductor complex at statistical extremes; IWM +2.11σ (+12.0% 30d) shows broad participation but all at elevated reversion risk per calibrated data [77% mean reversion within 6d, n=1686]

Commodity →

bifurcated commodity market with EV/battery metals surging while energy weakens

Currency ↗

mild USD strength near-term against EUR, CNY weakness notable (WATCH signal) suggesting capital outflow or policy divergence; JPY remains weak

Crypto ↗

losing short-term momentum despite positive 30d trend; diverging from risk-on equity narrative suggesting crypto-specific headwinds or rotation into equities

Signals

3 Critical

3 Alert

2 Watch

Click row for details

Asset	Price	Z-Score	Window	Level	Trade
NVDA	$216.61	+3.90σ	252d	critical	SHORT
ALB	$215.62	+3.79σ	60d	critical	SHORT
AMD	$334.63	+3.49σ	252d	critical	SHORT
TSM	$404.98	+2.51σ	60d	alert	LONG
PDBC	$17.35	+2.26σ	252d	alert	LONG
IWM	$277.14	+2.11σ	252d	alert	LONG
CNY=X	$6.84	-1.69σ	252d	watch	SHORT
^IRX *	$3.59	-1.59σ	30d	watch	SHORT

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 (67d):37/80, 46% [36%-57%], +83.2%

Recent (8d):6/9, 67% [35%-88%], +39.1%

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)