The Silk Risk Dashboard
2026-05-28 05:59 · v1.0
MEDIUM CONFIDENCE
Market Situation
Interest Rates→
10Y at 4.48% (+3.0% 30d), 2Y at 3.58% (flat 30d), curve steepening to +90bp market spread — term premium rising as CPI runs hot (+0.6% m/m) while Fed holds at 3.64%; MOVE at 70.90 (-13.0% 5d) signals rates vol compression but rising long end pressures duration-sensitive assets
Financial↗
narrow rally concentrated in semiconductors
Commodity→
mixed with industrial metals strong but energy and precious metals weakening
Currency→
dollar broadly stable with modest CNY appreciation reflecting trade flow normalization; commodity currencies mixed (AUD flat, CAD -1.3% 30d, BRL -1.3% 30d)
Crypto↘
Bitcoin $73,398 (-1.3% 1d, -4.7% 5d, -8.3% 30d) — sustained weakness below recent highs, no sigma alert but trending down; risk-off rotation from crypto to equities evident in divergence from Nasdaq (+9.8% 30d)
Commodity Sectors
Metals↗
Copper +1.78σ/252d watch; Gold, Silver firm on weakening USD; broad bid
Energies→
Crude PDS 0.56 leads but no σ breakouts; gas & uranium subdued
Ags↗
Wheat +1.94σ/252d watch driving sector; corn neutral, beans steady
Softs↘
Coffee -1.89σ/60d pullback watch; sugar flat at PDS 0.50
Commodity Currencies
AUD→
Near neutral z30=-0.15; mild weakness, no strong signal
CAD↘
z30=-1.67 notable weakness vs USD despite firm crude
NZD→
No z-score data available; direction indeterminate
BRL↘
z30=-1.46 weakening; diverging from commodity strength
Crypto
USDT↘
-$153M outflow leads stablecoin drain (-0.08%)
USDC↘
-$143M outflow, second largest bleed (-0.19%)
USDS→
Flat, negligible change
DAI↘
-$20M outflow, steepest % drop at -0.44%
USD1↘
-$4.4M minor outflow (-0.09%)
Signals
2
Critical
5
Alert
10
Watch
Click row for details
| Asset | Class | Entry | Current | Z-Score | Window | Level | Trade |
|---|---|---|---|---|---|---|---|
| AMD | equity | $495.54 | $495.54 | +3.51σ | 252d | critical | SHORT |
| SOXX | equity | $563.98 | $563.98 | +3.10σ | 252d | critical | SHORT |
| IWM | equity | $290.37 | $290.37 | +2.48σ | 252d | alert | LONG |
| TSM | equity | $422.73 | $422.73 | +2.09σ | 252d | alert | LONG |
| NVDA | equity | $212.17 | $212.60 | +1.95σ | 252d | watch | LONG |
| CNY=X | equity | $6.79 | $6.79 | -1.68σ | 252d | watch | SHORT |
| PDBC | equity | $17.91 | $17.91 | +1.60σ | 252d | watch | LONG |
| ZW=F | commodity | $640.00 | $640.00 | +1.94σ | 252d | watch | LONG |
| KC=F * | commodity | $272.05 | $272.05 | -1.89σ | 60d | watch | SHORT |
| HG=F | commodity | $6.43 | $6.43 | +1.78σ | 252d | watch | LONG |
| PDBC | commodity | $17.91 | $17.91 | +1.60σ | 252d | watch | LONG |
| BTC-USD * | crypto | $73,427.99 | $73,427.99 | -2.16σ | 30d | alert | SHORT |
| ETH-USD * | crypto | $1,991.14 | $1,991.14 | -2.09σ | 60d | alert | SHORT |
| XRP-USD | crypto | $1.30 | $1.30 | -2.03σ | 30d | alert | SHORT |
| ADA-USD * | crypto | $0.27 | $0.23 | -1.87σ | 60d | watch | SHORT |
| LINK-USD * | crypto | $8.90 | $8.90 | -1.58σ | 30d | watch | SHORT |
| AVAX-USD * | crypto | $9.90 | $8.86 | -1.52σ | 30d | watch | SHORT |
| CORN | commodity | $18.27 | $18.22 | — | — | held | HELD |
| CPER | commodity | $38.98 | $38.52 | — | — | held | HELD |
| SOYB | commodity | $24.98 | $24.93 | — | — | held | HELD |
| UNG | commodity | $11.15 | $11.22 | — | — | held | HELD |
| WEAT | commodity | $24.45 | $23.98 | — | — | held | HELD |
Risk
Core
$81 · 4d
exposure $3,819 · 1 position · σ 10.2% annual (21d realized)
P&L -$0.41
Commodities
$7,979 · 4d
exposure $164,879 · 5 positions · σ 23.4% annual (21d realized)
P&L -$1,830.13
Crypto
$0 · 4d
exposure $10 · 2 positions · σ 22.1% annual (21d realized)
P&L -$1.05
Geopolitical Risk
0.35 deescalating
Geopolitical tensions show de-escalation signals, particularly advancing Russia-Ukraine ceasefire talks and US-mediated restraint calls in the Middle East, offsetting residual naval incidents in the South China Sea. Near-term market impacts are expected to remain limited, with stable commodity flows and only modest volatility in FX and risk assets.
Eastern Europe medium
Russia-Ukraine ceasefire negotiations advance under third-party mediation amid battlefield stalemate
natgasoilrisk_assets
NG=F, CL=F
horizon: 21d
Middle East high
Limited Israel-Iran proxy exchanges with active US and EU diplomatic mediation to contain spread
oilratesrisk_assets
CL=F, GLD
horizon: 14d
South China Sea medium
Routine Chinese naval drills prompt US freedom-of-navigation operations with no direct clashes
fxrisk_assets
USDJPY=X
horizon: 30d
Top tail risk low severe
Sudden breakdown in Ukraine talks triggering renewed Russian offensive and energy sanctions
Invalidate if: Observable mutual troop withdrawals, binding interim agreements, or independent verification of sustained ceasefire
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
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
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
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 6.65 | 3m 5.20 | 12m n/a
Rolling Volatility
1m 24.6% | 3m 23.2% | 12m n/a
Drawdown
Current -0.3% | Max -22.3%
ENB
4.01 (assets: 21)
Regime Probability
Low-Vol 30% | High-Vol 20% | 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 7.15 | 3m 6.90 | 12m 2.25
Rolling Volatility
1m 23.9% | 3m 21.6% | 12m 49.0%
Drawdown
Current -0.3% | Max -88.4%
ENB
7.68 (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 (97d) | 67/128 | 52% [44%-61%] | +176.3% | Longs only |
| Recent (7d) | 4/8 | 50% [22%-78%] | +6.0% | 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 (114d) | 73/136 | 54% [45%-62%] | +11.6% | Longs only |
| Recent (8d) | 0/4 | 0% [0%-49%] | -9.5% | Longs only |
| Brier Score | 0.248 PASS (threshold: 0.25) | Longs only | ||
Crypto OOS
| Window | Wins/Total | Rate | Return | Stats Coverage |
|---|---|---|---|---|
| Out of Sample (1369d) | 109/234 | 47% [40%-53%] | +51.2% | Longs only |
| Brier Score | 0.254 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 (1369d) | 249/498 | 50% [46%-54%] | +72.5% | Longs only |
| Recent (8d) | 4/12 | 33% [14%-61%] | +0.8% | Longs only |
| Brier Score | 0.258 FAIL (threshold: 0.25) | Longs only | ||