The Silk Risk Dashboard
2026-06-01 04:32 · v1.0
MEDIUM CONFIDENCE
Market Situation
Interest Rates↗
modest steepening reflects market pricing stable policy with rising term premium; MOVE index compression (-10.5% 5d) suggests rates volatility fading
Financial↗
broad equity rally led by technology (+20.1% 30d); AMD at +3.50σ CRITICAL after +53.1% 30d, SOXX at +2.99σ ALERT — semiconductor crowding at statistical extremes with mean-reversion base rate 77% [n=1686]; MSFT +5.4% 1d surge adds momentum but narrows leadership
Commodity→
bifurcated: industrial metals and natgas strong, energy and ags weak; coffee -8.0% 30d, corn -5.8% 30d suggest demand softening
Currency↗
USD broadly firm against EUR and JPY but weakening vs CNY; CNY strength may reflect capital inflows or policy support; NZD/USD +1.7% 30d strongest commodity currency
Crypto↘
significant underperformance vs equities; 30d drawdown amid risk-on equity environment suggests crypto-specific headwinds (regulatory, positioning, or liquidity rotation into AI/semis)
Commodity Sectors
Metals↗
Copper leads sector higher with +1.69σ watch level.
Energies↗
Natural Gas triggers upside alert at +2.26σ.
Ags↘
Corn faces downward pressure with -1.94σ watch level.
Softs↘
Coffee drops sharply, triggering a -2.10σ downside alert.
Commodity Currencies
AUD↗
AUD strengthening slightly with +0.19σ.
CAD↘
CAD weakening against USD with -1.22σ.
NZD→
No significant data available; neutral.
BRL↘
BRL showing weakness with -0.88σ.
Crypto
USDT↘
Shrank by $236.2M (-0.126%)
USDC↗
Grew by $68.9M (+0.091%)
USDS→
No change, flat at $0.00B
DAI↗
Grew by $14.1M (+0.308%)
USD1↘
Shrank by $9.1M (-0.192%)
Signals
1
Critical
5
Alert
9
Watch
Click row for details
| Asset | Class | Entry | Current | Z-Score | Window | Level | Trade |
|---|---|---|---|---|---|---|---|
| AMD | equity | $516.10 | $516.10 | +3.50σ | 252d | critical | SHORT |
| SOXX | equity | $569.08 | $569.08 | +2.99σ | 252d | alert | LONG |
| IWM | equity | $290.53 | $290.43 | +2.41σ | 252d | alert | LONG |
| TSM | equity | $418.45 | $418.45 | +1.96σ | 252d | watch | LONG |
| NVDA | equity | $211.14 | $211.14 | +1.77σ | 252d | watch | LONG |
| CNY=X | equity | $6.78 | $6.78 | -1.69σ | 252d | watch | SHORT |
| NG=F | commodity | $3.34 | $3.34 | +2.26σ | 60d | alert | LONG |
| KC=F * | commodity | $265.90 | $265.90 | -2.10σ | 60d | alert | SHORT |
| ZC=F * | commodity | $446.50 | $446.50 | -1.94σ | 30d | watch | SHORT |
| HG=F | commodity | $6.43 | $6.43 | +1.69σ | 252d | watch | LONG |
| ETH-USD * | crypto | $1,982.66 | $1,982.66 | -2.00σ | 60d | alert | SHORT |
| BTC-USD * | crypto | $72,635.74 | $72,635.74 | -1.84σ | 30d | watch | SHORT |
| DOT-USD * | crypto | $1.17 | $1.17 | -1.81σ | 60d | watch | SHORT |
| ADA-USD * | crypto | $0.27 | $0.23 | -1.79σ | 60d | watch | SHORT |
| XRP-USD * | crypto | $1.30 | $1.30 | -1.71σ | 60d | watch | SHORT |
| CORN | commodity | $18.27 | $18.02 | — | — | held | HELD |
| CPER | commodity | $38.98 | $39.90 | — | — | held | HELD |
| SOYB | commodity | $24.98 | $25.18 | — | — | held | HELD |
| UNG | commodity | $11.15 | $12.08 | — | — | held | HELD |
| WEAT | commodity | $24.45 | $23.45 | — | — | held | HELD |
| AVAX-USD | crypto | $9.90 | $8.85 | — | — | held | HELD |
Risk
Core
$302 · 4d
exposure $14,801 · 1 position · σ 9.8% annual (21d realized)
P&L -$15.83
Commodities
$7,399 · 4d
exposure $165,041 · 5 positions · σ 21.6% annual (21d realized)
P&L +$162.48
Crypto
$0 · 4d
exposure $10 · 2 positions · σ 20.5% annual (21d realized)
P&L -$1.05
Geopolitical Risk
0.38 stable
Core flashpoints in the Middle East, Eastern Europe, and East Asia exhibit restrained military activity and diplomatic signaling as of June 2026, containing near-term disruption risks to energy supply and risk sentiment. Commodity upside remains possible from intermittent disruptions, but de-escalatory economic incentives appear to dominate.
Middle East medium
Iran-Israel proxy conflicts in Syria and Lebanon show restrained activity following recent exchanges
oilrisk_assets
CL=F, GLD
horizon: 14d
Eastern Europe high
Stalemate in Ukraine-Russia conflict with both sides signaling openness to negotiations
natgasoil
NG=F, CL=F
horizon: 30d
East Asia low
Increased Chinese naval presence in South China Sea raising concerns for trade routes
fxrisk_assets
USDJPY=X
horizon: 10d
Top tail risk medium high
Major Russian offensive in Ukraine triggering broader energy sanctions
Invalidate if: Announcement of high-level peace summit between conflicting parties
Hotspot calibration: 3/4 hits (75%), Brier 0.193 — 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 10.67 | 3m 4.84 | 12m n/a
Rolling Volatility
1m 20.5% | 3m 23.1% | 12m n/a
Drawdown
Current -0.9% | Max -22.3%
ENB
3.87 (assets: 21)
Regime Probability
Low-Vol 36% | High-Vol 14% | 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 10.67 | 3m 6.01 | 12m 2.38
Rolling Volatility
1m 20.5% | 3m 21.2% | 12m 48.7%
Drawdown
Current -0.9% | Max -88.4%
ENB
6.61 (assets: 37)
Regime Probability
Low-Vol 39% | High-Vol 11% | 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 (101d) | 68/129 | 53% [44%-61%] | +178.6% | Longs only |
| Recent (7d) | 3/6 | 50% [19%-81%] | -4.5% | Longs only |
| OOS Sharpe | 1.56 (annualized, trade-level) | 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 (118d) | 74/138 | 54% [45%-62%] | +10.3% | Longs only |
| Recent (8d) | 1/3 | 33% [6%-79%] | -3.4% | Longs only |
| OOS Sharpe | 0.59 (annualized, trade-level) | Longs only | ||
Crypto OOS
| Window | Wins/Total | Rate | Return | Stats Coverage |
|---|---|---|---|---|
| Out of Sample (1373d) | 109/234 | 47% [40%-53%] | +51.2% | Longs only |
| OOS Sharpe | 0.07 (annualized, trade-level) | Longs only | ||
Combined
| Window | Wins/Total | Rate | Return | Stats Coverage |
|---|---|---|---|---|
| Backtest (2089d) | 2848/6251 | 46% [44%-47%] | +220.1% | Longs only |
| Out of Sample (1373d) | 251/501 | 50% [46%-54%] | +72.7% | Longs only |
| Recent (8d) | 4/9 | 44% [19%-73%] | -4.1% | Longs only |
| OOS Sharpe | 0.60 (annualized, trade-level) | Longs only | ||