The Silk - 2026-05-22

Market Situation

Interest Rates↗

term premium expanding as long end reprices higher, MOVE index +14.1% 30d signals rate volatility despite equity calm

Financial↗

semiconductor-led rally at statistical extremes, breadth narrowing as only 4 of 9 signals are UP

Commodity↗

energy complex weakening while agricultural commodities firm on supply concerns

Currency→

dollar showing mixed strength, weakening vs CNY but firming vs EUR, commodity currencies (AUD, CAD, NZD) all slightly negative 30d

Crypto↗

range-bound with slight negative drift, no significant sigma signal, decoupled from equity rally

Commodity Sectors

Metals→

Lithium -1.85σ/30d falling; Copper +1.65σ/252d rising; mixed signals

Energies↗

NatGas +1.70σ/30d, WTI +1.62σ/252d rising; Uranium -1.69σ/30d drag

Ags↗

Wheat +2.51σ/252d alert breakout; Soybeans +1.55σ, Corn +1.51σ all up

Softs↘

Coffee -2.06σ/60d alert selloff; Sugar quiet near neutral

Commodity Currencies

AUD↘

Mild weakness z30=-0.45; soft despite metals support

CAD↘

Sharp weakness z30=-1.46; diverging from rising energy prices

NZD→

No data available; direction indeterminate

BRL↘

Moderate weakness z30=-0.66; soft amid ag strength divergence

Crypto

USDT↘

-$114M outflow (-0.06%); mild redemption pressure

USDC↗

+$703M inflow (+0.92%); dominant capital magnet today

USDS→

Flat at ~$0B; no meaningful activity

DAI↘

-$26M outflow (-0.57%); continued deleverage

USD1↗

+$90M inflow (+1.92%); fastest relative growth

Signals

1 Critical

5 Alert

14 Watch

Click row for details

Show held positions

Asset	Class	Entry	Current	Z-Score	Window	Level	Trade
AMD	equity	$449.59	$449.59	+3.27σ	252d	critical	SHORT
SOXX	equity	$519.73	$524.71	+2.82σ	252d	alert	LONG
NVDA	equity	$219.51	$219.51	+2.62σ	252d	alert	LONG
IWM	equity	$282.49	$282.49	+2.06σ	252d	alert	LONG
ALB *	equity	$169.90	$169.90	-1.85σ	30d	watch	SHORT
PDBC	equity	$18.31	$18.31	+1.85σ	252d	watch	LONG
TSM	equity	$407.15	$407.15	+1.84σ	252d	watch	LONG
EURUSD=X	equity	$1.16	$1.16	-1.74σ	30d	watch	SHORT
CNY=X	equity	$6.80	$6.80	-1.63σ	252d	watch	SHORT
ZW=F *	commodity	$661.00	$661.00	+2.51σ	252d	alert	LONG
KC=F	commodity	$272.50	$272.50	-2.06σ	60d	alert	SHORT
ALB *	commodity	$169.90	$169.90	-1.85σ	30d	watch	SHORT
PDBC	commodity	$18.31	$18.31	+1.85σ	252d	watch	LONG
NG=F	commodity	$3.04	$3.04	+1.70σ	30d	watch	LONG
URA *	commodity	$48.86	$48.86	-1.69σ	30d	watch	SHORT
HG=F	commodity	$6.34	$6.34	+1.65σ	252d	watch	LONG
CL=F *	commodity	$98.94	$98.94	+1.62σ	252d	watch	LONG
ZS=F *	commodity	$1,199.25	$1,199.25	+1.55σ	252d	watch	LONG
ZC=F *	commodity	$465.75	$465.75	+1.51σ	252d	watch	LONG
ETH-USD	crypto	$2,124.77	$2,124.77	-1.71σ	30d	watch	SHORT
CORN	commodity	$18.34	$18.37	—	—	held	HELD
CPER	commodity	$38.62	$38.58	—	—	held	HELD
SOYB	commodity	$25.13	$25.11	—	—	held	HELD
UNG	commodity	$11.16	$11.16	—	—	held	HELD
USO	commodity	$141.39	$141.60	—	—	held	HELD
WEAT	commodity	$24.58	$24.64	—	—	held	HELD
AVAX-USD	crypto	$9.90	$9.52	—	—	held	HELD
SOL-USD	crypto	$93.90	$87.17	—	—	held	HELD
ADA-USD	crypto	$0.27	$0.25	—	—	held	HELD

Risk

Core

$11 · 4d

exposure $520 · 1 position · σ 10.3% annual (21d realized)

P&L +$15.20

Commodities

$3,453 · 4d

exposure $75,977 · 6 positions · σ 21.9% annual (21d realized)

P&L +$63.33

Crypto

$0 · 4d

exposure $10 · 3 positions · σ 20.0% annual (21d realized)

P&L -$0.38

Geopolitical Risk

0.47 stable

Ongoing state tensions in Eastern Europe, the Middle East and Indo-Pacific are offset by visible diplomatic channels and economic fatigue on all sides, producing contained volatility primarily affecting energy and safe-haven assets over the next 7-30 days.

Eastern Europe medium

Russia-Ukraine artillery exchanges near Kharkiv amid intermittent ceasefire talks

natgasrisk_assets

NG=F, GLD

horizon: 14d

Middle East medium

Israeli strikes on Iranian assets in Syria with Tehran signaling restrained response

oilrisk_assets

CL=F, GLD

horizon: 21d

Indo-Pacific medium

Elevated Chinese air incursions near Taiwan coinciding with US naval transit

fxrisk_assets

USDJPY=X

horizon: 10d

Top tail risk low severe

Rapid escalation closing Strait of Hormuz from direct Iran-Israel clash

Invalidate if: High-level US-Iran backchannel diplomacy or Saudi mediation produces verifiable de-escalation measures

Finance View — Three Sheets

Neutral — leaning risk-on

Cash Flow 0 neutral

2/5 signals agreeing

CF-1 CF-2 CF-3 CF-4 CF-5

CF-1 USD direction (DXY proxy) -0.64

EURUSD=X: z=-2.35; USDJPY=X: z=+0.64; CNY=X: z=-0.13

Income +1 risk-on

3/5 signals agreeing

I-1 I-2 I-3 I-4 I-5

I-2 IWM/SPY ratio (small-cap appetite) -1.00

IWM/SPY: z21=-2.31

Balance Sheet 0 neutral

2/5 signals agreeing

B-1 B-2 B-3 B-4 B-5 B-6

B-3 Real yields z-score -1.00

real_yield_10y: latest=2.13, z=+2.87

Pending signals (not in vote): B-6

V-2 (5d SPY forward, 2022-01-03 → 2025-12-31, 1003d): risk_on_high PASS risk_off_high FAIL disagreement FAIL neutral FAIL

Panel shows regime call only — does NOT tilt strategy sizing (V-3 disagreement-as-drawdown predictor failed). See docs/research/finance_view_validation_2022-2025.md.

Sleeve Ledger — Money Management

MM Policy v1.0 effective 2026-05-21

Account paper

NAV$100,000

Deployable$60,000(reserve 40%)

Drawdown+0.00%

As of2026-05-21

Sleeve	Target	Buffer	Admission cap
silk_commodity_etf	40%	+5pp	$27,000
silk_commodity_futures	40%	+5pp	$27,000
silk_crypto	20%	+5pp	$15,000
silk_equity	40%	+5pp	$27,000

Per-trade risk: 0.50% of deployable Sizing mode: risk-sizing Admission: off (default)

MM policy vv1.0 is the active production schema since 2026-05-21. Pre-2026-05-21 OOS / trade-log / backtest data is preserved unmodified — equity-curve rows are tagged pre_v1.0 for dates before policy lock. Source: docs/research/money_management_hybrid.md + docs/2026-05-21_sleeves_status.md.

Metrics

Core (Equity)

Rolling Sharpe

1m 3.63 | 3m 4.55 | 12m n/a

Rolling Volatility

1m 27.5% | 3m 24.3% | 12m n/a

Drawdown

Current 0.0% | Max -22.3%

ENB

4.79 (assets: 20)

Regime Probability

Low-Vol 25% | High-Vol 25% | 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 6.54 | 3m 5.89 | 12m 2.29

Rolling Volatility

1m 24.2% | 3m 22.9% | 12m 49.6%

Drawdown

Current 0.0% | Max -88.4%

ENB

8.94 (assets: 36)

Regime Probability

Low-Vol 38% | High-Vol 12% | Trend 49% | Mean-Rev 1%

Current: trend (49%)

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 (91d)	60/117	51% [42%-60%]	+105.4%	Longs only
Recent (7d)	6/10	60% [31%-83%]	+32.5%	Longs only
Brier Score	0.293 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 (108d)	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 (83d)	46/103	45% [35%-54%]	+29.5%	Longs only
Recent (8d)	0/2	0% [0%-66%]	-15.2%	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 (108d)	179/352	51% [46%-56%]	+52.4%	Longs only
Recent (8d)	6/12	50% [25%-75%]	+24.6%	Longs only
Brier Score	0.257 FAIL (threshold: 0.25)			Longs only