The Silk Risk Dashboard
2026-05-18 04:28 · v1.0
WIDE CONFIDENCE
Market Situation
Interest Rates→
rising term premium pressures long-duration equity valuations; fed funds at 3.64% unchanged suggests Fed on hold while long end reprices fiscal/inflation risk
Financial→
mean reversion probability elevated at 77% [n=1686]; AMD -5.7% 1d after +52.4% 30d run shows early reversion signs
Commodity↗
real rate rise dominating safe-haven bid; natgas +12.9% 30d seasonal strength
Currency→
USD strengthening broadly; commodity currencies (AUD -0.3%, NZD -1.1%, BRL -1.0% 30d) weakening despite commodity strength signals risk-off undertone
Crypto↘
underperforming risk assets despite equity rally; correlation breakdown with tech suggests crypto-specific headwinds (regulatory, ETF flow deceleration); no sigma signals active
Commodity Sectors
Metals→
Gold pullback -1.68σ/30d; Cu +1.60σ/252d up. Mixed signals, USD strength caps upside
Energies↗
NatGas alert +2.19σ/30d; WTI +1.92σ/252d. Broad energy strength, URA weak -1.58σ
Ags↗
Wheat alert +2.50σ/252d leads; Corn +1.55σ, Beans +1.54σ. Broad ag rally
Softs↘
Coffee sharp selloff -2.55σ/30d alert; Sugar neutral. Sector under pressure
Commodity Currencies
AUD→
Marginal strength z30=+0.06; near neutral, metals mixed provide no catalyst
CAD↘
Weakening z30=-0.35 despite energy rally; divergence from crude strength
NZD→
No data available; direction indeterminate
BRL↘
Sharp weakness z30=-1.10; coffee collapse and soft sector drag weigh heavily
Crypto
USDT→
+$7.0M inflow, negligible 0.004% change
USDC→
-$33.9M outflow, -0.044% supply contraction
USDS→
No meaningful change
DAI→
+$2.2M inflow, +0.047% modest mint
USD1↗
+$34M surge, +0.75% largest mover today
Signals
3
Critical
6
Alert
9
Watch
Click row for details
| Asset | Class | Entry | Current | Z-Score | Window | Level | Trade |
|---|---|---|---|---|---|---|---|
| NVDA | equity | $206.97 | $225.32 | +3.42σ | 252d | critical | SHORT |
| AMD | equity | $424.10 | $424.10 | +3.27σ | 252d | critical | SHORT |
| SOXL | equity | $164.18 | $164.18 | +3.24σ | 252d | critical | SHORT |
| PDBC | equity | $15.92 | $18.61 | +2.12σ | 252d | alert | LONG |
| TSM | equity | $370.54 | $404.35 | +1.85σ | 252d | watch | LONG |
| CNY=X | equity | $6.79 | $6.79 | -1.82σ | 252d | watch | SHORT |
| IWM | equity | $271.94 | $277.60 | +1.79σ | 252d | watch | LONG |
| KC=F | commodity | $274.90 | $274.90 | -2.55σ | 30d | alert | SHORT |
| ZW=F * | commodity | $653.00 | $653.00 | +2.50σ | 252d | alert | LONG |
| NG=F | commodity | $3.02 | $3.02 | +2.19σ | 30d | alert | LONG |
| PDBC | commodity | $15.92 | $18.61 | +2.12σ | 252d | alert | LONG |
| CL=F * | commodity | $102.37 | $102.37 | +1.92σ | 252d | watch | LONG |
| GC=F * | commodity | $4,537.90 | $4,537.90 | -1.68σ | 30d | watch | SHORT |
| HG=F | commodity | $6.28 | $6.28 | +1.60σ | 252d | watch | LONG |
| URA * | commodity | $49.93 | $49.93 | -1.58σ | 30d | watch | SHORT |
| ZC=F | commodity | $465.75 | $465.75 | +1.55σ | 252d | watch | LONG |
| ZS=F * | commodity | $1,194.75 | $1,194.75 | +1.54σ | 252d | watch | LONG |
| ETH-USD | crypto | $2,113.33 | $2,113.33 | -2.78σ | 30d | alert | SHORT |
| ALB | commodity | $213.69 | $179.27 | — | — | held | HELD |
| CORN | commodity | $18.67 | $18.58 | — | — | held | HELD |
| CPER | commodity | $39.21 | $37.80 | — | — | held | HELD |
| MSFT | equity | $417.54 | $418.50 | — | — | held | HELD |
| REMX | commodity | $108.72 | $97.03 | — | — | held | HELD |
| SLV | commodity | $77.20 | $68.52 | — | — | held | HELD |
| SOYB | commodity | $25.05 | $25.10 | — | — | held | HELD |
| UNG | commodity | $11.10 | $11.57 | — | — | held | HELD |
| USO | commodity | $140.77 | $150.00 | — | — | held | HELD |
| WEAT | commodity | $24.36 | $24.97 | — | — | held | HELD |
| AVAX-USD | crypto | $9.90 | $9.08 | — | — | held | HELD |
| LINK-USD | crypto | $10.53 | $9.42 | — | — | held | HELD |
| DOT-USD | crypto | $1.40 | $1.23 | — | — | held | HELD |
| SOL-USD | crypto | $93.90 | $84.25 | — | — | held | HELD |
| ADA-USD | crypto | $0.27 | $0.25 | — | — | held | HELD |
Risk
Core
$324 · 4d
exposure $14,185 · 4 positions · σ 11.0% annual (21d realized)
P&L +$891.84
Commodities
$3,009 · 4d
exposure $59,498 · 10 positions · σ 24.4% annual (21d realized)
P&L +$3,065.72
Crypto
$5 · 4d
exposure $118 · 5 positions · σ 22.4% annual (21d realized)
P&L -$12.09
Geopolitical Risk
0.42 stable
Tensions in the Middle East and Eastern Europe persist but show signs of diplomatic containment; recent backchannel talks and absence of major kinetic incidents limit near-term spillovers to commodities, FX, and risk assets.
Middle East medium
Iran proxy militia clashes with US-aligned forces in Syria
oilrisk_assets
CL=F, GLD
horizon: 14d
Eastern Europe high
Russia-Ukraine ceasefire talks encounter procedural delays
natgasrates
NG=F
horizon: 21d
South China Sea low
Chinese naval maneuvers near Philippine EEZ
fxrisk_assets
USDJPY=X
horizon: 30d
Top tail risk medium high
Major cyber attack on European LNG terminals attributed to state actor
Invalidate if: Rapid diplomatic breakthroughs and mutual de-escalatory statements from Moscow and Kyiv
Metrics
Core (Equity)
Rolling Sharpe
1m -3.23 | 3m 2.97 | 12m n/a
Rolling Volatility
1m 20.3% | 3m 22.5% | 12m n/a
Drawdown
Current -6.3% | Max -22.3%
ENB
4.28 (assets: 20)
Regime Probability
Low-Vol 37% | High-Vol 13% | Trend 49% | Mean-Rev 1%
Current: trend (49%)
Commodities
Rolling Sharpe
1m -0.72 | 3m -0.27 | 12m 1.89
Rolling Volatility
1m 35.2% | 3m 45.9% | 12m 42.3%
Drawdown
Current -22.2% | Max -54.9%
ENB
3.01 (assets: 13)
Regime Probability
Low-Vol 23% | High-Vol 27% | Trend 42% | Mean-Rev 8%
Current: trend (42%)
Crypto
Rolling Sharpe
1m 4.53 | 3m 2.35 | 12m 1.97
Rolling Volatility
1m 45.0% | 3m 59.7% | 12m 74.3%
Drawdown
Current -0.5% | Max -96.1%
ENB
7.49 (assets: 8)
Regime Probability
Low-Vol 40% | High-Vol 10% | Trend 32% | Mean-Rev 18%
Current: low_vol (40%)
Combined
Rolling Sharpe
1m -0.62 | 3m 3.81 | 12m 2.23
Rolling Volatility
1m 17.9% | 3m 22.7% | 12m 49.6%
Drawdown
Current -1.9% | Max -88.4%
ENB
10.95 (assets: 36)
Regime Probability
Low-Vol 40% | High-Vol 10% | Trend 46% | Mean-Rev 4%
Current: trend (46%)
Performance Scorecard
Core Forecast
| Window | Wins/Total | Rate | Return | Stats Coverage |
|---|---|---|---|---|
| Backtest (1042d) | 574/1292 | 44% [42%-47%] | +359.7% | Longs only |
| Out of Sample (87d) | 52/103 | 50% [41%-60%] | +53.4% | Longs only |
| Recent (7d) | 1/5 | 20% [4%-62%] | -4.0% | Longs only |
| Brier Score | 0.292 FAIL (threshold: 0.25) | Longs only | ||
Commodity OOS
| Window | Wins/Total | Rate | Return | Stats Coverage |
|---|---|---|---|---|
| Backtest (2089d) | 2274/4959 | 46% [44%-47%] | +183.7% | Longs only |
| Out of Sample (104d) | 73/132 | 55% [47%-64%] | +23.3% | Longs only |
| Brier Score | 0.247 PASS (threshold: 0.25) | Longs only | ||
Crypto OOS
| Window | Wins/Total | Rate | Return | Stats Coverage |
|---|---|---|---|---|
| Out of Sample (79d) | 46/101 | 46% [36%-55%] | +52.8% | Longs only |
| Recent (8d) | 3/18 | 17% [6%-39%] | -12.4% | Longs only |
| Brier Score | 0.257 FAIL (threshold: 0.25) | Longs only | ||
Combined
| Window | Wins/Total | Rate | Return | Stats Coverage |
|---|---|---|---|---|
| Backtest (2089d) | 2848/6251 | 46% [44%-47%] | +220.1% | Longs only |
| Out of Sample (104d) | 171/336 | 51% [46%-56%] | +41.4% | Longs only |
| Recent (8d) | 4/23 | 17% [7%-37%] | -10.6% | Longs only |
| Brier Score | 0.256 FAIL (threshold: 0.25) | Longs only | ||