The Silk Risk Dashboard

2026-08-20 04:36 · v1.0
MEDIUM CONFIDENCE

Market Panels — 2-day forecast

Interest Rates↘62%
10Y yields at +1.61σ WATCH above mean with normal curve and stable geo-risk transmission
2-day forecastYields likely to revert lower over next 2 sessions if no hot NFP or CPI surprise; base rate for mean reversion at these levels is 77% [n=1686].
Watch
  • 10Y yield drops below 4.55%
  • 2s/10s spread widens more than 5bp
  • MOVE index falls below 70
28% [n=67] Brier 0.313
Financial↘59%
SPY/IWM at +1.57-1.73σ WATCH and XLE +2.41σ ALERT with breadth momentum contracting at -10
2-day forecastEquities likely to see mild mean-reversion pullback over next 2 sessions if VIX rises above 16 or breadth stays negative; anchor 77% reversion rate [n=1686] for 2σ+.
Watch
  • SPY closes below 765
  • XLE fails to hold above 2.0σ
  • VIX rises above 16.5
28% [n=67] Brier 0.296
Commodity→55%
Ag and energy commodities leading with low geo-risk transmission (score 0.42 stable) and no chokepoint confirmation
2-day forecastCommodities expected to consolidate with neutral bias over next 2 sessions unless China demand data or supply news confirms cascade; selective continuation possible at 55% base rate.
Watch
  • Crude holds above 87.50
  • Gold stays above 4520
  • Corn pulls back below 490
34% [n=67] Brier 0.292
Currency↗54%
EURUSD and commodity currencies firmer amid mild USD softening and stable rate differentials
2-day forecastUSD weakness likely to persist mildly over next 2 sessions if real-yield spreads do not widen; expect EURUSD to hold gains if DXY stays below recent highs.
Watch
  • EURUSD breaks above 1.175
  • USDJPY falls below 157.50
  • USDCNY holds below 6.75
27% [n=67] Brier 0.313
Crypto↗61%
BTC in mechanical LONG block per +0.883 20d USDC-vol correlation with no boundary today
2-day forecastLONG state expected to persist over next 2 sessions as block boundary is not hit and correlation sign remains positive; no intra-block change possible.
Watch
  • BTC holds above 71000
  • 20d correlation remains >0
  • No block boundary fires
27% [n=67] Brier 0.260

Market Situation

Interest Rates↘
10Y yields at +1.61σ WATCH above mean with normal curve and stable geo-risk transmission
Financial↘
SPY/IWM at +1.57-1.73σ WATCH and XLE +2.41σ ALERT with breadth momentum contracting at -10
Commodity→
Ag and energy commodities leading with low geo-risk transmission (score 0.42 stable) and no chokepoint confirmation
Currency↗
EURUSD and commodity currencies firmer amid mild USD softening and stable rate differentials
Crypto↗
BTC in mechanical LONG block per +0.883 20d USDC-vol correlation with no boundary today

Signals

0 Critical
1 Alert
3 Watch
Click row for details
Asset Class Entry Current Z-Score Window Level Trade
XLE equity $61.90 $63.58 +2.41σ 60d alert LONG
SPY equity $777.98 $769.06 +1.73σ 252d watch LONG
^TNX equity $4.65 $4.65 +1.61σ 252d watch LONG
IWM equity $303.08 $301.72 +1.57σ 252d watch LONG
MSFT equity $500.28 $484.15 — — held HELD
AVAX-USD crypto $9.90 $6.93 — — held HELD
ADA-USD crypto $0.27 $0.19 — — held HELD

Risk

Core
$1,786 · 4d
exposure $64,899 · 4 positions · σ 13.3% annual (21d realized)
P&L -$122.80
Commodities
n/a
no open positions
Crypto
$1 · 4d
exposure $10 · 2 positions · σ 32.0% annual (21d realized)
P&L -$2.98

Geopolitical Risk

0.42 stable

Middle East shadow conflicts and Ukraine stalemate show limited market coupling with oil and natgas curves remaining range-bound; independent flows and options skew indicate transmission coefficients stay low amid active diplomatic backchannels.

Middle East medium

Iran-Israel proxy clashes with sporadic Red Sea and Gulf shipping incidents

oilrisk_assets
CL=F, GLD
horizon: 21d
Eastern Europe high

Russia-Ukraine front-line attrition with winter energy posturing

natgasfx
NG=F, EURUSD=X
horizon: 30d
Indo-Pacific low

Chinese military drills around Taiwan coinciding with US naval transit

risk_assetsfx
USDJPY=X
horizon: 14d
Top tail risk medium high

Rapid escalation in Ukraine triggering European natgas supply cutoff

Invalidate if: Negotiated winter gas transit agreement is reached or satellite imagery confirms force drawdowns

Hotspot calibration: 216/289 hits (75%), Brier 0.233 — horizons resolved on affected_assets vs predicted market_channels

snapshot 2026-08-20

Finance View — Three Sheets

Neutral
Cash Flow 0 neutral
2/4 signals agreeing
CF-1 CF-2 CF-3 CF-4 CF-5
CF-1 USD direction (DXY proxy) +1.00
EURUSD=X: z=+2.24; USDJPY=X: z=-0.65; CNY=X: z=-2.78
Income 0 neutral
1/5 signals agreeing
I-1 I-2 I-3 I-4 I-5
I-5 Sector breadth (21d positive + defensive read) +1.00
5/6 positive 21d (pct=0.83); top=XLV (cyclical-led); XLV:+9.6%, XLE:+8.7%, XLP:+3.0%, XLF:+2.4%, XLK:+1.6%, XLU:-2.0%
Balance Sheet 0 neutral
1/4 signals agreeing
B-1 B-2 B-3 B-4 B-5 B-6
B-5 MOVE index z-score +0.82
^MOVE: z21=-1.23
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.

snapshot 2026-08-20

Sleeve Ledger — Money Management

MM Policy v1.1 effective 2026-06-10
NAV$100,000
Deployable$60,000(reserve 40%)
Drawdown+0.00%
As of2026-05-21
SleeveTargetBufferAdmission 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
silk_futures 10% +5pp $9,000
Per-trade risk: 0.50% of deployable Sizing mode: risk-sizing Admission: off (default)

MM policy vv1.1 is the active production schema since 2026-06-10. Pre-2026-06-10 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 -6.93 | 3m -2.89 | 12m n/a
Rolling Volatility
1m 12.6% | 3m 25.2% | 12m n/a
Drawdown
Current -24.8% | Max -25.0%
ENB
4.69 (assets: 31)
Regime Probability
Low-Vol 45% | High-Vol 5% | Trend 47% | Mean-Rev 3%
Current: trend (47%)

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 -6.93 | 3m -2.89 | 12m 2.44
Rolling Volatility
1m 12.6% | 3m 25.2% | 12m 34.3%
Drawdown
Current -24.8% | Max -88.4%
ENB
4.69 (assets: 46)
Regime Probability
Low-Vol 42% | High-Vol 8% | Trend 47% | Mean-Rev 3%
Current: trend (47%)

Performance Scorecard

Core Forecast

WindowWins/TotalRateReturnStats Coverage
Backtest (1042d)574/129244% [42%-47%]+359.7%Longs only
Out of Sample (191d)130/29544% [39%-50%]+72.5%Longs only
Recent (7d)3/1030% [11%-60%]-5.9%Longs only
OOS Sharpe0.56 (annualized, trade-level)Longs only

Commodity OOS

WindowWins/TotalRateReturnStats Coverage
Backtest (2089d)2274/495946% [44%-47%]+183.7%Longs only
Out of Sample (197d)75/14253% [45%-61%]+6.2%Longs only
OOS Sharpe0.51 (annualized, trade-level)Longs only

Crypto OOS

WindowWins/TotalRateReturnStats Coverage
Backtest (2396d)42/6961% [49%-72%]+821.2%Longs only

Combined

WindowWins/TotalRateReturnStats Coverage
Backtest (2396d)2890/632046% [45%-47%]+226.7%Longs only
Out of Sample (197d)205/43747% [42%-52%]+51.0%Longs only
Recent (7d)3/1030% [11%-60%]-5.9%Longs only
OOS Sharpe0.55 (annualized, trade-level)Longs only

Refresh prices

Prices update on demand. Run this command on the host that owns the FIIJ repo — it fetches live prices, writes the sidecar JSON, and pushes to git. Vercel rebuilds and the dashboard shows the new prices after a reload (~30s).

fiij refresh-prices

Behind the scenes: same code path the (now-disabled) cron called. Symbols are read from this dashboard's HTML; equity + commodity fetch via MarketDataFetcher, crypto via CryptoDataFetcher; output lands at briefs/dashboards/risk_dashboard_<date>_prices.json.