The Silk Risk Dashboard

2026-09-02 04:33 · v1.0
MEDIUM CONFIDENCE

Market Panels — 2-day forecast

Interest Rates↗56%
10Y at 4.80% after +2.8% 5d backup; tightening repriced into 2y (+59bp over fed funds)
2-day forecastExpect yields to stay firm-to-higher over next 2 sessions; if 10Y holds above 4.75% and no dovish Fed speak lands, likely to test 4.85%. Watch for a mean-reversion pause given the sharp 5d move, but rate-expectations tightening keeps the bias up.
Watch
  • 10Y breaks above 4.85% on tightening confirmation
  • 2s/10s spread compresses below +40bp
  • any CPI/Fed speak surprise dovish → yields reverse down
31% [n=80] Brier 0.305
Financial↘55%
100% bullish direction ratio but breadth momentum -1 and IWM -1.53σ; VIX +13.9% 5d signals vol repricing
2-day forecastExpect choppy-to-lower equities over next 2 sessions as rising real yields and contracting breadth pressure the tape. If SPY breaks below -1% intraday and VIX holds above 17, likely to see rotation out of small-caps continue. Long WATCH signals carry only 56% [n=1119], so no strong upside edge.
Watch
  • VIX sustains above 18
  • IWM extends below -2σ
  • SPY reclaims prior high → invalidates bear lean
31% [n=80] Brier 0.287
Commodity↘62%
CORN +3.53σ and WEAT +2.94σ at statistical extremes; grains stretched, coffee -12% 1d shock live
2-day forecastExpect mean reversion in grains over next 2 sessions given CORN at +3.53σ; historically 2σ+ signals revert within 6d 77% of the time [n=1686]. If corn fails to make a new high and prints a red session, likely to fade toward the 5d mean. Energy (XLE +1.95σ) may hold firmer on crude supply tone.
Watch
  • CORN closes below prior session low
  • WEAT breaks 5d mean
  • fresh grain supply-shock headline → invalidates reversion
35% [n=80] Brier 0.294
Currency↗57%
USD firming broadly on tightening repricing; EUR -0.7% 5d, NZD -1.7% 1d, higher real yields
2-day forecastExpect USD to stay firm over next 2 sessions as rate-expectations tightening (+59bp) and 10Y backup support the dollar. If EUR/USD breaks below 1.155, likely to extend USD strength. Commodity currencies (NZD, AUD) remain vulnerable to further downside on risk-off.
Watch
  • EUR/USD breaks below 1.155
  • DXY proxy strengthens with 10Y above 4.80%
  • dovish Fed repricing → USD reverses down
26% [n=80] Brier 0.308
Crypto↗56%
silk_crypto block LONG since 2026-08-17; 20d USDC-vol/BTC correlation +0.66, no boundary today
2-day forecastLONG state persists over next 2 sessions — decisions fire only every 20 trading days and no boundary falls within the window. State will not change intra-block regardless of BTC price. Correlation would need to cross below zero at the next boundary to flip FLAT; currently +0.66, firmly LONG.
Watch
  • no block boundary in next 2 days → state locked LONG
  • BTC holds above $74k support
  • next boundary correlation sign flip → would trigger FLAT
32% [n=80] Brier 0.253

Market Situation

Interest Rates↗
10Y at 4.80% after +2.8% 5d backup; tightening repriced into 2y (+59bp over fed funds)
Financial↘
100% bullish direction ratio but breadth momentum -1 and IWM -1.53σ; VIX +13.9% 5d signals vol repricing
Commodity↘
CORN +3.53σ and WEAT +2.94σ at statistical extremes; grains stretched, coffee -12% 1d shock live
Currency↗
USD firming broadly on tightening repricing; EUR -0.7% 5d, NZD -1.7% 1d, higher real yields
Crypto↗
silk_crypto block LONG since 2026-08-17; 20d USDC-vol/BTC correlation +0.66, no boundary today

Signals

1 Critical
1 Alert
3 Watch
Click row for details
Asset Class Entry Current Z-Score Window Level Trade
CORN equity $20.29 $20.29 +3.53σ 252d critical SHORT
WEAT equity $28.00 $28.00 +2.94σ 252d alert LONG
XLE equity $61.90 $64.77 +1.95σ 60d watch LONG
MSFT equity $509.40 $501.02 +1.71σ 252d watch LONG
IWM * equity $302.46 $290.57 -1.53σ 30d watch SHORT
AVAX-USD crypto $9.90 $7.11 — — held HELD
ADA-USD crypto $0.27 $0.19 — — held HELD

Risk

Core
$680 · 4d
exposure $34,583 · 3 positions · σ 9.5% annual (21d realized)
P&L +$184.09
Commodities
n/a
no open positions
Crypto
$1 · 4d
exposure $10 · 2 positions · σ 41.8% annual (21d realized)
P&L -$2.80

Geopolitical Risk

0.52 stable

Tensions remain contained across Middle East proxies, Eastern Europe winter energy posturing, and Indo-Pacific drills with primary transmission via oil and natgas nodes; second-order effects on EUR funding and gold are modest while diplomatic backchannels and diversified supply keep escalation cones narrow.

Middle East medium

Houthi-Red Sea shipping incidents test fragile truce with limited port disruptions

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

Russia signals tighter natgas flows to Europe ahead of winter without full cutoff

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

Chinese live-fire drills near Taiwan with US freedom-of-navigation response

fxrisk_assets
USDJPY=X, SPX
horizon: 10d
Top tail risk low severe

Direct kinetic exchange between Iran and Israel closing Strait of Hormuz for 7+ days

Invalidate if: US-China coordinated diplomatic intervention leads to verified de-escalation summit

Hotspot calibration: 238/330 hits (72%), Brier 0.235 — horizons resolved on affected_assets vs predicted market_channels

snapshot 2026-09-02

Finance View — Three Sheets

Neutral
Cash Flow 0 neutral
1/4 signals agreeing
CF-1 CF-2 CF-3 CF-4 CF-5
CF-4 Stablecoin net mint (7d) -1.00
7d net (n=6): $-6.95B
Income 0 neutral
2/5 signals agreeing
I-1 I-2 I-3 I-4 I-5
I-2 IWM/SPY ratio (small-cap appetite) -1.00
IWM/SPY: z21=-2.61
Balance Sheet 0 neutral
2/5 signals agreeing
B-1 B-2 B-3 B-4 B-5 B-6
B-2 HY credit spread z-score +1.00
credit_hy: latest=2.63, z=-1.64
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 2026-09-02

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 -5.10 | 3m -6.67 | 12m n/a
Rolling Volatility
1m 17.2% | 3m 24.6% | 12m n/a
Drawdown
Current -37.4% | Max -39.5%
ENB
5.40 (assets: 32)
Regime Probability
Low-Vol 43% | High-Vol 7% | Trend 49% | Mean-Rev 1%
Current: trend (49%)

Commodities

Rolling Sharpe
1m -2.71 | 3m -0.96 | 12m 3.94
Rolling Volatility
1m 38.0% | 3m 60.7% | 12m 62.9%
Drawdown
Current -39.0% | Max -88.7%
ENB
2.89 (assets: 13)
Regime Probability
Low-Vol 34% | High-Vol 16% | Trend 49% | Mean-Rev 1%
Current: trend (49%)

Crypto

No backtest summary available.

Combined

Rolling Sharpe
1m -5.10 | 3m -6.67 | 12m 1.86
Rolling Volatility
1m 17.2% | 3m 24.6% | 12m 44.9%
Drawdown
Current -37.4% | Max -88.7%
ENB
1.00 (assets: 0)
Regime Probability
Low-Vol 43% | High-Vol 7% | Trend 49% | Mean-Rev 1%
Current: trend (49%)

Performance Scorecard

Core Forecast

WindowWins/TotalRateReturnStats Coverage
Backtest (1042d)574/129244% [42%-47%]+359.7%Longs only
Out of Sample (203d)136/31343% [38%-49%]+69.5%Longs only
Recent (7d)3/650% [19%-81%]+1.2%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 (210d)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 (210d)211/45546% [42%-51%]+49.7%Longs only
Recent (7d)3/650% [19%-81%]+1.2%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.