The Silk - Core Forecast
2026-09-14 09:18 · v1.0
Situation
- Interest Rates↗Yields are likely to grind modestly higher over the next 20 sessions as rate-expectations stay tilted to tightening, though the pace slows near cycle highs.
- Financial↘Equities are likely to remain choppy-to-lower over 20 sessions as rising real yields and thinning breadth (-25pp direction ratio) pressure valuations, with defensive rotation persisting.
- Commodity→The broad ag/energy complex is likely to hold gains but corn specifically is prone to mean-reversion from its +2.45σ extreme within the trade window.
- Currency↗The dollar is likely to stay firm-to-slightly-stronger over 20 sessions on the tightening rate-expectations tilt, keeping commodity FX under mild pressure.
- Crypto↗The LONG block is expected to persist through the next 20 sessions since the correlation sign is positive; only a flip below zero at the next 20-day boundary would move it to FLAT.
Correction Oct 14, 2026: the financial arrow originally showed up because a price-trend check overrode the model's down call; corrected to down.
Cascade threads (interpretive aid)
- Commodity spoke 2.5σ alert p=70% · DS 79% CT 56%
- Financial spoke 1.9σ watch p=54% · DS 68% CT 53%
Signals
0
Critical
1
Alert
3
Watch
Click row for details
| Asset | Class | Entry | Current | Z-Score | Window | Level | Trade |
|---|---|---|---|---|---|---|---|
| CORN | equity | $19.92 | $19.92 | +2.45σ | 252d | alert | LONG |
| IWM * | equity | $302.46 | $288.89 | -1.89σ | 30d | watch | SHORT |
| XLE | equity | $61.90 | $65.14 | +1.75σ | 252d | watch | LONG |
| MSFT | equity | $509.00 | $495.63 | +1.55σ | 252d | watch | LONG |
| FXY | equity | $58.89 | $59.40 | — | — | held | HELD |
| GLD | commodity | $412.30 | $394.41 | — | — | held | HELD |
| QQQ | equity | $717.39 | $710.24 | — | — | held | HELD |
| AVAX-USD | crypto | $9.90 | $7.50 | — | — | held | HELD |
| ADA-USD | crypto | $0.27 | $0.21 | — | — | held | HELD |
Risk
Core
$729 · 4d
exposure $41,136 · 5 positions · σ 8.5% annual (21d realized)
P&L +$812.02
Commodities
$119 · 4d
exposure $3,333 · 1 position · σ 17.2% annual (21d realized)
P&L -$144.60
Crypto
$1 · 20d
exposure $10 · 2 positions · σ 27.6% annual (21d realized)
P&L -$2.40
Geopolitical Risk
1.00 escalating
test
Hotspot calibration: 272/371 hits (73%), Brier 0.236 — horizons resolved on affected_assets vs predicted market_channels
Finance View — Three Sheets
Disagreement — size down
Cash Flow 0 neutral
CF-1 CF-2 CF-3 CF-4 CF-5
CF-2 JPY carry direction +1.00
USDJPY=X: z21=+2.01
Income +1 risk-on
I-1 I-2 I-3 I-4 I-5
I-4 AI proxy breadth (above 50DMA) +1.00
5/5 above; NVDA:+ AMD:+ TSM:+ GOOGL:+ MSFT:+
Balance Sheet −1 risk-off
B-1 B-2 B-3 B-4 B-5 B-6
B-5 MOVE index z-score -1.00
^MOVE: z21=+2.01
Drift sizing tilt (equity + crypto only; commodity unaffected) 1× No drift tilt — (CF+0, BS-1) — 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 -2.31 | 3m -5.74 | 12m n/a
Rolling Volatility
1m 17.5% | 3m 24.5% | 12m n/a
Drawdown
Current -41.5% | Max -42.0%
ENB
5.59 (assets: 36)
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 -2.31 | 3m -5.74 | 12m 1.27
Rolling Volatility
1m 17.5% | 3m 24.5% | 12m 43.0%
Drawdown
Current -41.5% | 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 (217d) | 147/339 | 43% [38%-49%] | +59.3% | Longs only |
| Recent (7d) | 3/9 | 33% [12%-65%] | -7.1% | Longs only |
| OOS Sharpe | 0.49 (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 (223d) | 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 (223d) | 222/481 | 46% [42%-51%] | +43.6% | Longs only |
| Recent (7d) | 3/9 | 33% [12%-65%] | -7.1% | Longs only |
| OOS Sharpe | 0.49 (annualized, trade-level) | Longs only | ||