The Silk - 2026-05-26

Market Situation

Interest Rates→

falling yields supporting equities

Financial↗

extended rally in semis and small caps at statistical extremes

Commodity↘

energy weakness with lithium at extremes for mean reversion

Currency→

mild USD bid amid geo risks

Crypto↗

consolidation with neutral momentum

Commodity Sectors

Metals↗

Copper +1.78σ/252d leading upside; Lithium -1.69σ/30d offsetting. USD weak supports

Energies↘

Uranium -1.59σ/30d dragging sector; Oil & NatGas lack breakout signals

Ags↗

Wheat +1.94σ/252d watch-level breakout; Soybeans & Corn subdued

Softs↘

Coffee -1.97σ/60d sharp pullback dominates; Sugar neutral near baseline

Commodity Currencies

AUD→

Mild weakness z30=-0.23; no significant stress vs USD

CAD↘

CAD z30=-1.69 notable weakening; diverging from firm crude prices

NZD→

No z-score data available; direction indeterminate

BRL↘

BRL z30=-0.71 moderate softness; broad EM commodity FX under pressure

Crypto

USDT→

Flat at $189.4B; negligible +$0.5M inflow

USDC↘

Dominant outflow: -$204.2M (-0.27%) from $76.3B

USDS→

No meaningful activity; supply near zero

DAI→

Slight mint: +$2.2M (+0.05%) on $4.59B base

USD1↘

Notable redemption: -$20M (-0.42%) from $4.78B

Signals

1 Critical

3 Alert

10 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	$558.83	$537.33	+2.91σ	252d	alert	LONG
NVDA	equity	$215.59	$215.33	+2.23σ	252d	alert	LONG
IWM	equity	$288.91	$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
ALB *	equity	$171.58	$171.58	-1.69σ	30d	watch	SHORT
CNY=X	equity	$6.79	$6.79	-1.64σ	252d	watch	SHORT
KC=F	commodity	$272.35	$272.35	-1.97σ	60d	watch	SHORT
ZW=F *	commodity	$640.00	$640.00	+1.94σ	252d	watch	LONG
HG=F	commodity	$6.43	$6.43	+1.78σ	252d	watch	LONG
PDBC	commodity	$18.20	$18.20	+1.76σ	252d	watch	LONG
ALB *	commodity	$171.58	$171.58	-1.69σ	30d	watch	SHORT
URA *	commodity	$48.96	$48.96	-1.59σ	30d	watch	SHORT
CORN	commodity	$18.31	$18.28	—	—	held	HELD
CPER	commodity	$38.91	$38.99	—	—	held	HELD
SOYB	commodity	$25.06	$25.02	—	—	held	HELD
UNG	commodity	$11.15	$11.15	—	—	held	HELD
USO	commodity	$136.30	$136.41	—	—	held	HELD
WEAT	commodity	$24.44	$24.42	—	—	held	HELD
AVAX-USD	crypto	$9.90	$9.35	—	—	held	HELD
ADA-USD	crypto	$0.27	$0.24	—	—	held	HELD

Risk

Core

$858 · 4d

exposure $40,981 · 3 positions · σ 10.1% annual (21d realized)

P&L +$47.69

Commodities

$6,227 · 4d

exposure $134,088 · 6 positions · σ 22.4% annual (21d realized)

P&L +$35.61

Crypto

$0 · 4d

exposure $10 · 2 positions · σ 21.2% annual (21d realized)

P&L -$0.55

Geopolitical Risk

0.53 escalating

Tensions across the Middle East, Eastern Europe, and Indo-Pacific are gradually escalating with proxy actions and military posturing, supporting elevated oil, gold, and safe-haven FX flows while weighing on risk sentiment; active diplomatic channels however offer clear off-ramps within the 7-30 day window.

Middle East medium

Iranian proxy militias intensify strikes on Israeli and US-linked targets prompting retaliatory actions

oilrisk_assets

CL=F, GLD

horizon: 14d

Eastern Europe high

Russian incremental advances in eastern Ukraine amid continued Western arms support and stalled talks

natgasrates

NG=F, EURUSD=X

horizon: 21d

Indo-Pacific medium

Chinese naval drills encircle Taiwan while South China Sea incidents with Philippines rise

fxrisk_assets

USDJPY=X, GLD

horizon: 10d

Top tail risk medium high

Major cyber or hybrid attack by Russia on European energy infrastructure provoking NATO Article 5 response

Invalidate if: Observable progress on prisoner exchanges and backchannel diplomacy remains sustained without incidents

Hotspot calibration: 1/1 hits (100%), Brier 0.202 — horizons resolved on affected_assets vs predicted market_channels

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 3.48 | 3m 5.33 | 12m n/a

Rolling Volatility

1m 27.5% | 3m 23.7% | 12m n/a

Drawdown

Current -0.1% | Max -22.3%

ENB

4.27 (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 5.90 | 3m 6.63 | 12m 2.35

Rolling Volatility

1m 24.5% | 3m 22.2% | 12m 49.2%

Drawdown

Current -0.1% | Max -88.4%

ENB

8.21 (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 (95d)	65/124	52% [44%-61%]	+175.1%	Longs only
Recent (7d)	5/8	62% [31%-86%]	+53.9%	Longs only
Brier Score	0.295 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 (112d)	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 (87d)	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 (112d)	184/360	51% [46%-56%]	+76.3%	Longs only
Recent (8d)	5/9	56% [27%-81%]	+47.6%	Longs only
Brier Score	0.257 FAIL (threshold: 0.25)			Longs only