The Silk Risk Dashboard
2026-09-03 04:36 · v1.0
MEDIUM CONFIDENCE
Market Panels — 2-day forecast
Interest Rates↗57%
Normal curve with tightening expectations and stable 10Y at 4.80% sets up continued real-yield pressure on risk assets
2-day forecast10Y yields likely to edge higher over next 2 sessions if 2y-fed funds spread remains >55bp, tightening expectations to reinforce upward bias
Watch
- 2y minus fed funds widens >60bp
- 10Y yield breaks 4.85%
- No dovish signals in economic data
Financial↘54%
80% bullish direction ratio but -7 breadth momentum and rising yields create WATCH-level mean-reversion setup in equities
2-day forecastSPX and NDX likely to see mild downside over next 2 sessions if VIX rises above 15.5, with yields transmitting pressure to risk premia
Watch
- VIX >15.8
- 10Y yield >4.82%
- Breadth momentum stays below -5
Commodity↘73%
Grain complex at statistical extremes (CORN +3.31σ, WEAT +2.79σ) after 21.6% 30d corn rally sets up mean-reversion
2-day forecastCORN and WEAT expected to revert lower over next 2 sessions if no fresh Ukraine supply disruption, anchored to 0.76 mean-reversion rate
Watch
- CORN closes <525
- Crude holds without >3% spike
- No confirmed strait disruption
Currency↗56%
Rate differentials favor USD with JPY weakness and stable EM pairs; limited geo transmission to funding currencies
2-day forecastUSDJPY likely to continue modestly higher over next 2 sessions if 10Y-2Y spread holds above 100bp, rate channel to dominate
Watch
- USDJPY >157
- 10Y yield stable >4.75%
- EURUSD fails to reclaim 1.17
Crypto↗57%
BTC in mechanical LONG block (since 2026-08-17) with +0.611 USDC-vol correlation; no boundary today
2-day forecastLONG state expected to persist over next 2 sessions with no block boundary, correlation would need to turn negative at next 20d decision to flip
Watch
- 20d corr remains >0 at boundary
- BTC holds above 76000
- No ETF outflow >500M
Market Situation
Interest Rates↗
Normal curve with tightening expectations and stable 10Y at 4.80% sets up continued real-yield pressure on risk assets
Financial↘
80% bullish direction ratio but -7 breadth momentum and rising yields create WATCH-level mean-reversion setup in equities
Commodity↘
Grain complex at statistical extremes (CORN +3.31σ, WEAT +2.79σ) after 21.6% 30d corn rally sets up mean-reversion
Currency↗
Rate differentials favor USD with JPY weakness and stable EM pairs; limited geo transmission to funding currencies
Crypto↗
BTC in mechanical LONG block (since 2026-08-17) with +0.611 USDC-vol correlation; 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 | $20.22 | $20.22 | +3.31σ | 252d | critical | SHORT |
| WEAT * | equity | $27.86 | $27.86 | +2.79σ | 252d | alert | LONG |
| XLE | equity | $61.90 | $65.10 | +1.95σ | 60d | watch | LONG |
| NVDA * | equity | $224.41 | $224.41 | +1.75σ | 252d | watch | LONG |
| MSFT * | equity | $509.37 | $496.82 | +1.60σ | 252d | watch | LONG |
| IWM | equity | $302.46 | $293.68 | — | — | held | HELD |
| AVAX-USD | crypto | $9.90 | $7.29 | — | — | held | HELD |
| ADA-USD | crypto | $0.27 | $0.21 | — | — | held | HELD |
Risk
Core
$488 · 4d
exposure $32,656 · 3 positions · σ 7.2% annual (21d realized)
P&L +$496.10
Commodities
n/a
no open positions
Crypto
$1 · 4d
exposure $10 · 2 positions · σ 41.2% annual (21d realized)
P&L -$2.62
Geopolitical Risk
0.48 stable
Middle East proxy actions and Ukraine winter energy posturing transmit primarily to oil and natgas curves with limited second-order FX and rates spillover; independent tape confirmation remains weak while diplomatic signaling channels stay open.
Middle East medium
Iranian proxy strikes on Gulf shipping without strait closure
oilrisk_assets
CL=F, BZ=F, GLD
horizon: 14d
Eastern Europe high
Targeted Ukraine-Russia energy infrastructure exchanges ahead of winter
natgasrates
NG=F, TRNLTTF
horizon: 21d
East Asia low
Routine Chinese naval patrols near Taiwan with no blockade
fxrisk_assets
USDJPY=X, TWD=X
horizon: 30d
Top tail risk low severe
Unexpected direct Iran-Israel exchange closing Hormuz for >5 days
Invalidate if: Rapid activation of existing backchannel ceasefires or third-party mediation produces verifiable de-escalation and reopened shipping lanes
Hotspot calibration: 242/335 hits (72%), Brier 0.236 — horizons resolved on affected_assets vs predicted market_channels
Finance View — Three Sheets
Neutral
Cash Flow 0 neutral
CF-1 CF-2 CF-3 CF-4 CF-5
CF-1 USD direction (DXY proxy) +1.00
EURUSD=X: z=+0.20; USDJPY=X: z=-3.14; CNY=X: z=-1.28
Income 0 neutral
I-1 I-2 I-3 I-4 I-5
I-2 IWM/SPY ratio (small-cap appetite) -1.00
IWM/SPY: z21=-1.51
Balance Sheet 0 neutral
B-1 B-2 B-3 B-4 B-5 B-6
B-5 MOVE index z-score -1.00
^MOVE: z21=+2.07
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 v1.1 effective 2026-06-10
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 |
| 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 -8.02 | 3m -7.21 | 12m n/a
Rolling Volatility
1m 18.9% | 3m 24.9% | 12m n/a
Drawdown
Current -40.5% | Max -40.5%
ENB
5.39 (assets: 32)
Regime Probability
Low-Vol 42% | High-Vol 8% | 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 -8.02 | 3m -7.21 | 12m 1.74
Rolling Volatility
1m 18.9% | 3m 24.9% | 12m 45.0%
Drawdown
Current -40.5% | 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
| Window | Wins/Total | Rate | Return | Stats Coverage |
|---|---|---|---|---|
| Backtest (1042d) | 574/1292 | 44% [42%-47%] | +359.7% | Longs only |
| Out of Sample (204d) | 134/313 | 43% [37%-48%] | +65.9% | Longs only |
| Recent (7d) | 3/7 | 43% [16%-75%] | +1.8% | Longs only |
| OOS Sharpe | 0.53 (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 (211d) | 75/142 | 53% [45%-61%] | +6.2% | Longs only |
| OOS Sharpe | 0.51 (annualized, trade-level) | Longs only | ||
Crypto OOS
| Window | Wins/Total | Rate | Return | Stats Coverage |
|---|---|---|---|---|
| Backtest (2396d) | 42/69 | 61% [49%-72%] | +821.2% | Longs only |
Combined
| Window | Wins/Total | Rate | Return | Stats Coverage |
|---|---|---|---|---|
| Backtest (2396d) | 2890/6320 | 46% [45%-47%] | +226.7% | Longs only |
| Out of Sample (211d) | 209/455 | 46% [41%-51%] | +47.3% | Longs only |
| Recent (7d) | 3/7 | 43% [16%-75%] | +1.8% | Longs only |
| OOS Sharpe | 0.52 (annualized, trade-level) | Longs only | ||