The Silk Risk Dashboard

2026-08-22 04:35 · v1.0
MEDIUM CONFIDENCE

Market Panels — 2-day forecast

Interest Rates↘68%
Yields at ALERT/WATCH sigma extremes (^TNX +1.98σ, TLT -2.07σ) with contracting breadth setting up mean reversion
2-day forecast10Y yields likely to decline over next 2 sessions if breadth momentum remains below -5, with 77% base rate for mean reversion within 6d on 2σ+ signals [n=1686]
Watch
  • breadth momentum stays < -5
  • VIX holds below 16.0
  • no NFP surprise >200k
28% [n=68] Brier 0.315
Financial↘70%
SPY +1.60σ and XLE +2.14σ amid 7-day bullish bias streak but -9 breadth momentum
2-day forecastEquities likely to mean-revert lower over next 2 sessions if direction ratio drops below 0.70, anchored to 77% historical reversion rate on 2σ+ signals [n=1686]
Watch
  • direction ratio <0.70
  • breadth momentum does not improve above -3
  • VIX rises >16.5
29% [n=68] Brier 0.294
Commodity↘65%
Energy and metals at extended levels (XLE +2.14σ, gold +14.3% 30d) with geo risk stable at 0.48 but flat freight rates
2-day forecastCommodity prices expected to revert modestly lower over next 2 sessions if crude holds below $88, consistent with 77% mean-reversion base rate [n=1686] on extended signals
Watch
  • crude stays below $88
  • no escalation in Strait of Hormuz
  • China demand prints miss estimates
35% [n=68] Brier 0.291
Currency→62%
FX pairs stable with minimal 1d moves and no central bank divergence triggering repricing
2-day forecastEUR/USD likely to remain neutral over next 2 sessions unless 10Y real yields shift >5bp, with low transmission from stable geo risk score
Watch
  • DXY move <0.3%
  • 10Y-2Y spread stable ±3bp
  • no ECB/Fed surprise signals
28% [n=68] Brier 0.312
Crypto↗78%
BTC block LONG with +0.945 20d USDC-volume correlation and no boundary today
2-day forecastLONG state expected to persist over next 2 sessions with correlation remaining >0.80 and no block boundary, per mechanical 20d rule
Watch
  • 20d corr stays >0
  • no block boundary fires
  • BTC holds above 76000
26% [n=68] Brier 0.261

Market Situation

Interest Rates↘
Yields at ALERT/WATCH sigma extremes (^TNX +1.98σ, TLT -2.07σ) with contracting breadth setting up mean reversion
Financial↘
SPY +1.60σ and XLE +2.14σ amid 7-day bullish bias streak but -9 breadth momentum
Commodity↘
Energy and metals at extended levels (XLE +2.14σ, gold +14.3% 30d) with geo risk stable at 0.48 but flat freight rates
Currency→
FX pairs stable with minimal 1d moves and no central bank divergence triggering repricing
Crypto↗
BTC block LONG with +0.945 20d USDC-volume correlation and no boundary today

Signals

0 Critical
2 Alert
2 Watch
Click row for details
Asset Class Entry Current Z-Score Window Level Trade
XLE * equity $61.90 $63.64 +2.14σ 60d alert LONG
TLT equity $82.05 $82.05 -2.07σ 252d alert SHORT
^TNX * equity $4.74 $4.74 +1.98σ 252d watch LONG
SPY * equity $765.72 $765.72 +1.60σ 252d watch LONG
IWM equity $303.05 $299.96 — — held HELD
MSFT equity $500.28 $483.24 — — held HELD
AVAX-USD crypto $9.90 $7.50 — — held HELD
ADA-USD crypto $0.27 $0.22 — — held HELD

Risk

Core
$1,275 · 4d
exposure $47,985 · 3 positions · σ 12.8% annual (21d realized)
P&L -$77.62
Commodities
n/a
no open positions
Crypto
$1 · 4d
exposure $10 · 2 positions · σ 39.0% annual (21d realized)
P&L -$2.40

Geopolitical Risk

0.48 stable

Contained but persistent state-level tensions in the Middle East and Eastern Europe maintain moderate transmission primarily into energy prices, while independent market data (flat vol term structures, stable freight rates) indicate limited second-order cascades into rates, FX, or broad risk assets over the 7-30 day horizon.

Persian Gulf medium

Iranian proxy incidents in Strait of Hormuz with US naval responses

oilrisk_assets
CL=F, GC=F, USDJPY=X
horizon: 12d
Eastern Europe high

Russian strikes on Ukrainian energy infrastructure ahead of winter

natgasoil
NG=F, CL=F, EURUSD=X
horizon: 25d
East Asia medium

Chinese military drills near Taiwan amid US arms transit

fxrisk_assetsrates
USDJPY=X, ZN=F, QQQ
horizon: 18d
Top tail risk low severe

Direct kinetic exchange between Iran and Israel disrupting 20% of global oil flows

Invalidate if: De-escalation via renewed backchannel diplomacy and observable drawdown of naval assets in Gulf

Hotspot calibration: 219/295 hits (74%), Brier 0.234 — horizons resolved on affected_assets vs predicted market_channels

snapshot 2026-08-22

Finance View — Three Sheets

Neutral
Cash Flow 0 neutral
2/4 signals agreeing
CF-1 CF-2 CF-3 CF-4 CF-5
CF-3 Commodity-currency breadth +1.00
AUDUSD=X: +2.98%; CADUSD=X: +2.33%; NZDUSD=X: +3.54%; BRLUSD=X: -0.77%
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:+8.2%, XLE:+7.2%, XLP:+3.3%, XLF:+3.0%, XLK:+2.7%, XLU:-7.4%
Balance Sheet 0 neutral
1/4 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=2.35, z=-2.32
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 2026-08-22

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 -7.83 | 3m -4.08 | 12m n/a
Rolling Volatility
1m 12.7% | 3m 23.6% | 12m n/a
Drawdown
Current -26.0% | Max -26.0%
ENB
4.77 (assets: 31)
Regime Probability
Low-Vol 45% | High-Vol 5% | Trend 45% | Mean-Rev 5%
Current: trend (45%)

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 -7.83 | 3m -4.08 | 12m 2.27
Rolling Volatility
1m 12.7% | 3m 23.6% | 12m 34.0%
Drawdown
Current -26.0% | Max -88.4%
ENB
4.77 (assets: 46)
Regime Probability
Low-Vol 42% | High-Vol 8% | Trend 45% | Mean-Rev 5%
Current: trend (45%)

Performance Scorecard

Core Forecast

WindowWins/TotalRateReturnStats Coverage
Backtest (1042d)574/129244% [42%-47%]+359.7%Longs only
Out of Sample (192d)131/30044% [38%-49%]+67.5%Longs only
Recent (7d)1/119% [2%-38%]-11.9%Longs only
OOS Sharpe0.54 (annualized, trade-level)Longs only

Commodity OOS

WindowWins/TotalRateReturnStats Coverage
Backtest (2089d)2274/495946% [44%-47%]+183.7%Longs only
Out of Sample (199d)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 (199d)206/44247% [42%-51%]+47.8%Longs only
Recent (7d)1/119% [2%-38%]-11.9%Longs only
OOS Sharpe0.53 (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.