The Silk Risk Dashboard

2026-08-24 04:36 · v1.0
MEDIUM CONFIDENCE

Market Panels — 2-day forecast

Interest Rates↘62%
Normal curve at +103bp with TNX +1.97σ and TLT -2.06σ sets up mean-reversion in long-end yields from elevated levels.
2-day forecast10y yields likely to consolidate or modestly decline over next 2 sessions toward mean if VIX holds below 17, triggering partial reversion from +1.97σ level while staying orderly per thesis.
Watch
  • 10y yield falls below 4.65
  • 2s/10s spread widens by 5bp
  • VIX remains under 17
28% [n=69] Brier 0.316
Financial↗57%
SPY at +1.59σ with contracting breadth and rotation toward healthcare/financials sets up selective advance without full multiple expansion.
2-day forecastEquities likely to edge higher over next 2 sessions via rotation if breadth momentum improves above -8, with financials and energy outperforming tech.
Watch
  • SPY holds above 760
  • XLE maintains +2σ status
  • VIX closes below 17
29% [n=69] Brier 0.295
Commodity↗61%
Strategic commodities at 30d highs (lithium +22.5%, gold +15.6%) with positive 7d slopes set up for firmness in selective reflation.
2-day forecastCommodity basket expected to hold firm or extend modestly over next 2 sessions if USD remains soft, with gold and corn leading if no supply shock reversal.
Watch
  • Gold stays above 4650
  • Corn futures +1.5%
  • Broad commodity index holds +0.3%
35% [n=69] Brier 0.290
Currency↘58%
Softening dollar (EURUSD +2.6% 30d) amid commodity strength and rate differentials sets up continuation of soft-dollar regime.
2-day forecastUSD likely to weaken modestly vs EUR and AUD over next 2 sessions if 10y real yields do not spike, supporting commodity currencies.
Watch
  • EURUSD breaks above 1.175
  • USDJPY holds below 160
  • Commodity currencies +0.4%
28% [n=69] Brier 0.312
Crypto↗72%
BTC 20d USDC-vol correlation +0.851 with mechanical LONG block (since 2026-08-09) sets up continued risk-on alignment.
2-day forecastLONG block via correlation rule expected to persist unchanged over next 2 sessions with no boundary hit, as long as correlation sign remains positive above 0.
Watch
  • BTC holds above 77000
  • 20d correlation >0.5
  • No block boundary crossed
28% [n=69] Brier 0.259

Market Situation

Interest Rates↘
Normal curve at +103bp with TNX +1.97σ and TLT -2.06σ sets up mean-reversion in long-end yields from elevated levels.
Financial↗
SPY at +1.59σ with contracting breadth and rotation toward healthcare/financials sets up selective advance without full multiple expansion.
Commodity↗
Strategic commodities at 30d highs (lithium +22.5%, gold +15.6%) with positive 7d slopes set up for firmness in selective reflation.
Currency↘
Softening dollar (EURUSD +2.6% 30d) amid commodity strength and rate differentials sets up continuation of soft-dollar regime.
Crypto↗
BTC 20d USDC-vol correlation +0.851 with mechanical LONG block (since 2026-08-09) sets up continued risk-on alignment.

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 -2.06σ 252d alert SHORT
^TNX equity $4.74 $4.74 +1.97σ 252d watch LONG
SPY equity $765.72 $765.72 +1.59σ 252d watch LONG
IWM equity $303.05 $299.70 — — held HELD
MSFT equity $500.28 $483.95 — — held HELD
AVAX-USD crypto $9.90 $7.55 — — 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 -$146.11
Commodities
n/a
no open positions
Crypto
$1 · 4d
exposure $10 · 2 positions · σ 38.9% annual (21d realized)
P&L -$2.36

Geopolitical Risk

0.38 stable

Geopolitical transmission remains limited and contained, with primary channels in energy commodities showing only modest risk premia amid active ceasefires and diplomatic tracks in Ukraine and the Middle East. Second-order effects on FX safe-havens and risk assets are muted as market tape confirms low coupling and de-escalation equilibria.

Middle East medium

Iran-Israel proxy clashes with rhetoric around Strait of Hormuz

oilrisk_assets
CL=F, GLD
horizon: 14d
Eastern Europe high

Fragile Ukraine ceasefire monitoring with ongoing peace talks

natgasfx
NG=F, EURUSD=X
horizon: 21d
East Asia medium

Routine Chinese drills near Taiwan and South China Sea incidents

fxrisk_assets
USDJPY=X, SPY
horizon: 30d
Top tail risk medium high

Sudden breakdown of Ukraine ceasefire prompting renewed Russian advances and European energy crisis

Invalidate if: Independent OSCE verification of sustained ceasefire, mutual withdrawals, or new Minsk-style diplomatic breakthrough

Hotspot calibration: 223/303 hits (74%), Brier 0.235 — horizons resolved on affected_assets vs predicted market_channels

snapshot 2026-08-24

Finance View — Three Sheets

Neutral — leaning risk-on
Cash Flow +1 risk-on
3/4 signals agreeing
CF-1 CF-2 CF-3 CF-4 CF-5
CF-1 USD direction (DXY proxy) +0.95
EURUSD=X: z=+1.58; USDJPY=X: z=-0.23; CNY=X: z=-2.47
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
1/5 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=2.35, z=-2.32
Drift sizing tilt (equity + crypto only; commodity unaffected) 0× Drift dampener — skip new entries — (CF+1, BS 0): h=20d GROSS −2.16% excess vs drift, t=−4.43
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 2026-08-24

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 -7.52 | 3m -4.82 | 12m n/a
Rolling Volatility
1m 8.0% | 3m 22.5% | 12m n/a
Drawdown
Current -25.9% | Max -25.9%
ENB
4.75 (assets: 31)
Regime Probability
Low-Vol 47% | High-Vol 3% | Trend 45% | Mean-Rev 5%
Current: low_vol (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 -7.52 | 3m -4.82 | 12m 2.17
Rolling Volatility
1m 8.0% | 3m 22.5% | 12m 33.8%
Drawdown
Current -25.9% | Max -88.4%
ENB
4.75 (assets: 46)
Regime Probability
Low-Vol 43% | High-Vol 7% | 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 (193d)132/30244% [38%-49%]+67.5%Longs only
Recent (7d)2/1118% [5%-48%]-10.2%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 (201d)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 (201d)207/44447% [42%-51%]+47.9%Longs only
Recent (7d)2/1118% [5%-48%]-10.2%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.