The Silk Risk Dashboard
2026-09-16 06:31 · v1.0
WIDE CONFIDENCE
- Interest Rates↗Expect the 10Y to drift modestly higher toward 4.75-4.85% over 20 sessions as rate-vol stays elevated and tightening expectations hold.
- Financial↗OLSExpect indices to remain pressured with elevated chop as breadth deteriorates, though a partial mean-reversion bounce is likely within the 4-day window before resuming lower.
- Commodity↗Expect commodities broadly to hold gains with corn and energy leading, but the +2.51σ corn extreme is likely to partially mean-revert within days.
- Currency↗Expect the USD to hold firm-to-slightly-higher over 20 sessions on tightening-priced rate differentials, keeping EUR/USD near 1.14-1.15.
- Crypto↗OLSExpect the FLAT block to persist through 20 sessions unless the next boundary falls inside the window and the correlation flips positive, which is not currently indicated.
Cascade threads (interpretive aid)
- Commodity spoke 2.5σ alert p=65% · DS 80% CT 56%
- Financial spoke 2.4σ alert p=55% · DS 78% CT 56%
- Interest Rates spoke 2.0σ watch · DS 70% CT 53%
Signals
0
Critical
3
Alert
4
Watch
Click row for details
| Asset | Class | Entry | Current | Z-Score | Window | Level | Trade |
|---|---|---|---|---|---|---|---|
| CORN | equity | $20.04 | $20.04 | +2.51σ | 252d | alert | LONG |
| IWM | equity | $302.46 | $285.14 | -2.41σ | 60d | alert | SHORT |
| SPY * | equity | $757.39 | $757.39 | -2.04σ | 30d | alert | SHORT |
| ^VIX | equity | $17.20 | $17.20 | +1.99σ | 30d | watch | LONG |
| XLE | equity | $61.90 | $65.93 | +1.85σ | 252d | watch | LONG |
| XLF | equity | $56.85 | $56.85 | -1.81σ | 30d | watch | SHORT |
| MSFT * | equity | $508.77 | $497.12 | +1.55σ | 252d | watch | LONG |
| FXY | equity | $58.89 | $59.07 | — | — | held | HELD |
| GLD | commodity | $412.30 | $399.06 | — | — | held | HELD |
| QQQ | equity | $717.39 | $708.34 | — | — | held | HELD |
| AVAX-USD | crypto | $9.90 | $7.26 | — | — | held | HELD |
| ADA-USD | crypto | $0.27 | $0.19 | — | — | held | HELD |
Risk
Core
$688 · 4d
exposure $38,191 · 5 positions · σ 8.7% annual (21d realized)
P&L +$557.83
Commodities
$120 · 4d
exposure $3,333 · 1 position · σ 17.4% annual (21d realized)
P&L -$107.01
Crypto
$1 · 20d
exposure $10 · 2 positions · σ 29.2% annual (21d realized)
P&L -$2.65
Geopolitical Risk
0.42 stable
Persistent tensions in the Middle East and Eastern Europe show limited market transmission via energy channels, with oil and natgas exhibiting only modest risk premia amid visible diplomatic signaling. Independent tape confirmation is weak, favoring a stable regime with explicit de-escalation equilibria priced in via muted vol and resilient risk assets.
Middle East medium
Iran proxy activity and Israeli responses in Levant
oilrisk_assets
CL=F, GLD, BZ=F
horizon: 21d
Eastern Europe high
Russia-Ukraine attrition with winter supply talks
natgasfx
NG=F, EURUSD=X, TRNY
horizon: 30d
Indo-Pacific low
Routine Chinese drills near Taiwan with US freedom-of-navigation ops
fxrisk_assets
USDJPY=X, SPX
horizon: 14d
Top tail risk low severe
Direct kinetic exchange between Iran and Israel closing Strait of Hormuz for 5+ days
Invalidate if: Visible US-Iran backchannel progress or mutual public statements signaling restraint and renewed JCPOA talks
Hotspot calibration: 282/384 hits (73%), Brier 0.233 — horizons resolved on affected_assets vs predicted market_channels
Finance View — Three Sheets
Neutral — leaning risk-off
Cash Flow 0 neutral
CF-1 CF-2 CF-3 CF-4 CF-5
CF-2 JPY carry direction -0.51
USDJPY=X: z21=-0.76
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=-1.55
Balance Sheet −1 risk-off
B-1 B-2 B-3 B-4 B-5 B-6
B-3 Real yields z-score -1.00
real_yield_10y: latest=2.60, z=+2.23
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 -1.92 | 3m -5.63 | 12m n/a
Rolling Volatility
1m 17.8% | 3m 24.6% | 12m n/a
Drawdown
Current -41.2% | Max -42.0%
ENB
5.60 (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 -1.92 | 3m -5.63 | 12m 1.28
Rolling Volatility
1m 17.8% | 3m 24.6% | 12m 43.0%
Drawdown
Current -41.2% | 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) | 3/6 | 50% [19%-81%] | +1.4% | 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 (225d) | 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 (225d) | 222/481 | 46% [42%-51%] | +43.6% | Longs only |
| Recent (7d) | 3/6 | 50% [19%-81%] | +1.4% | Longs only |
| OOS Sharpe | 0.49 (annualized, trade-level) | Longs only | ||