The Silk - 2026-05-25

Market Situation

Interest Rates↘

term premium repricing pressures duration-sensitive assets; MOVE index +15.8% 30d signals elevated rates volatility despite equity VIX compression

Financial↗

semiconductor complex at statistical extremes with mean-reversion probability 77% [n=1686]; broad indices positive but breadth contracting (-4pp momentum)

Commodity↘

energy weakness dominates; copper strength signals industrial demand intact; lithium in sustained downtrend

Currency↗

dollar showing modest strength against EUR but weakening vs CNY; JPY carry trade stable at elevated levels

Crypto↘

range-bound with slight negative drift; no sigma signals active; correlation to risk assets muted

Commodity Sectors

Metals→

Lithium -1.69σ/30d declining; Copper +1.63σ/252d rising; mixed signals

Energies↘

Uranium -1.59σ/30d under pressure; Oil & Gas lack breakout signals

Ags↗

Wheat +2.11σ/252d alert breakout leads sector higher

Softs↘

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

Commodity Currencies

AUD↘

z30=-0.66 mild weakness; commodity demand softening

CAD↘

z30=-1.79 notable weakness; energy drag weighing on CAD

NZD→

No z-score data available; direction indeterminate

BRL↘

z30=-0.71 modest weakness; ag strength not yet supportive

Crypto

USDT→

Lost $87.9M (-0.046%); minor contraction

USDC↘

Shed $125.8M (-0.164%); largest outflow today

USDS→

Flat at ~$0B; no meaningful activity

DAI↗

Added $17.2M (+0.375%); sole notable inflow

USD1→

Steady at $4.8B; no change detected

Signals

1 Critical

5 Alert

9 Watch

Click row for details

Show held positions

Asset	Class	Entry	Current	Z-Score	Window	Level	Trade
AMD	equity	$467.51	$467.51	+3.40σ	252d	critical	SHORT
SOXX *	equity	$519.73	$537.33	+2.91σ	252d	alert	LONG
NVDA	equity	$215.33	$215.33	+2.23σ	252d	alert	LONG
IWM *	equity	$285.12	$285.12	+2.21σ	252d	alert	LONG
PDBC	equity	$18.20	$18.20	+1.76σ	252d	watch	LONG
TSM	equity	$404.52	$404.52	+1.76σ	252d	watch	LONG
EURUSD=X *	equity	$1.16	$1.16	-1.74σ	30d	watch	SHORT
ALB	equity	$171.58	$171.58	-1.69σ	30d	watch	SHORT
CNY=X	equity	$6.80	$6.80	-1.59σ	252d	watch	SHORT
ZW=F	commodity	$646.25	$646.25	+2.11σ	252d	alert	LONG
KC=F	commodity	$272.50	$272.50	-2.06σ	60d	alert	SHORT
PDBC	commodity	$18.20	$18.20	+1.76σ	252d	watch	LONG
ALB	commodity	$171.58	$171.58	-1.69σ	30d	watch	SHORT
HG=F	commodity	$6.34	$6.34	+1.63σ	252d	watch	LONG
URA	commodity	$48.96	$48.96	-1.59σ	30d	watch	SHORT
CORN	commodity	$18.34	$18.36	—	—	held	HELD
CPER	commodity	$38.62	$38.92	—	—	held	HELD
SOYB	commodity	$25.13	$25.06	—	—	held	HELD
WEAT	commodity	$24.58	$24.55	—	—	held	HELD
AVAX-USD	crypto	$9.90	$9.40	—	—	held	HELD
ADA-USD	crypto	$0.27	$0.24	—	—	held	HELD

Risk

Core

$11 · 4d

exposure $520 · 1 position · σ 10.2% annual (21d realized)

P&L +$17.60

Commodities

$2,744 · 4d

exposure $60,100 · 4 positions · σ 22.0% annual (21d realized)

P&L +$72.88

Crypto

$0 · 4d

exposure $10 · 2 positions · σ 21.8% annual (21d realized)

P&L -$0.51

Geopolitical Risk

0.48 stable

Tensions persist in Ukraine and the Middle East with risks to energy and safe-haven flows, but recent diplomatic backchannels and absence of major breaches in the last 30 days suggest contained spillovers to commodities, FX, and risk assets over the next 7-30 days.

Eastern Europe medium

Russian strikes on Ukrainian energy grid amid stalled ceasefire talks

oilnatgasrisk_assets

CL=F, NG=F, GLD

horizon: 14d

Middle East high

Iranian proxy militia clashes with Israeli forces near Golan Heights

oilgoldfx

CL=F, GLD, USDJPY=X

horizon: 10d

East Asia medium

Chinese naval patrols intensified near Taiwan amid US defense talks

fxrisk_assets

USDJPY=X, EURUSD=X

horizon: 21d

Top tail risk low severe

Direct Russia-NATO kinetic incident over Ukraine airspace

Invalidate if: Renewed high-level talks mediated by non-aligned states produce verifiable ceasefire framework within 14 days

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

Drift sizing tilt (equity + crypto only; commodity unaffected) 1× No drift tilt — (CF+0, BS+0) — not in the validated cells

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 3.01 | 3m 4.94 | 12m n/a

Rolling Volatility

1m 27.9% | 3m 24.2% | 12m n/a

Drawdown

Current -0.1% | Max -22.3%

ENB

4.50 (assets: 21)

Regime Probability

Low-Vol 24% | High-Vol 26% | 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 5.59 | 3m 6.16 | 12m 2.35

Rolling Volatility

1m 24.7% | 3m 22.7% | 12m 49.2%

Drawdown

Current -0.1% | Max -88.4%

ENB

8.34 (assets: 37)

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 (94d)	60/117	51% [42%-60%]	+105.4%	Longs only
Recent (7d)	2/6	33% [10%-70%]	+0.3%	Longs only
Brier Score	0.294 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 (111d)	73/133	55% [46%-63%]	+20.4%	Longs only
Recent (8d)	0/1	0% [0%-79%]	-2.4%	Longs only
Brier Score	0.247 PASS (threshold: 0.25)			Longs only

Crypto OOS

Window	Wins/Total	Rate	Return	Stats Coverage
Out of Sample (86d)	46/103	45% [35%-54%]	+29.5%	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 (111d)	179/353	51% [46%-56%]	+51.2%	Longs only
Recent (8d)	2/7	29% [8%-64%]	-0.1%	Longs only
Brier Score	0.257 FAIL (threshold: 0.25)			Longs only