The Silk - 2026-05-06

Market Situation

Interest Rates ↗

term premium rising modestly; fed funds 3.64% unchanged suggests market pricing no near-term cuts; steepening supports growth/reflation but rising long rates pressure duration-sensitive assets

Financial ↗

broad equity rally with semiconductor leadership at statistical extremes; mean reversion base rate 77% [n=1686] for 2σ+ signals; breadth momentum -2 and contracting warns of narrowing participation

Commodity ↗

bifurcated: energy collapsing while metals/battery materials surge; broad commodity index +5.9% 30d masks extreme dispersion

Currency ↗

broad USD weakness supporting commodity and EM currencies; AUD +5.1%, NZD +4.5%, BRL +4.6% 30d confirm risk-on FX positioning; CNY strength at WATCH level suggests policy-driven yuan support

Crypto ↗

steady uptrend without extreme sigma signals; tracking risk-on equity correlation; no ALERT/CRITICAL signals suggest trend continuation within normal volatility bands

Signals

1 Critical

2 Alert

2 Watch

Click row for details

Asset	Price	Z-Score	Window	Level	Trade
AMD	$355.26	+3.34σ	252d	critical	SHORT
PDBC	$18.59	+2.44σ	252d	alert	LONG
IWM	$282.56	+2.32σ	252d	alert	LONG
TSM	$394.41	+1.86σ	252d	watch	LONG
CNY=X	$6.83	-1.62σ	252d	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 (75d):46/99, 46% [37%-56%], +62.8%

Recent (8d):6/12, 50% [25%-75%], -3.8%

Brier Score:0.284 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)