The Silk Risk Dashboard

2026-09-21 06:02 · v1.0
MEDIUM CONFIDENCE
Interest RatesFinancial XLF 2.3σ alertCommodityCurrencyCryptoFinancial → Interest Rates 2.3σ alert p=48%Financial → Commodity 2.3σ alert p=55%Interest RatesFinancial XLF 2.3σ alertCommodityCurrencyCryptoRatesFinCmdFXCry
  • Interest Rates↗Treasury yields are likely to continue higher over the next 20 sessions as tightening expectations and OLS trend dominate.
  • Financial↗Financials and small caps are expected to mean-revert higher over the next 20 sessions from current ALERT deviations.
  • Commodity→Commodities are likely to stabilize with mean reversion in overextended ags and energy names over the next 20 sessions.
  • Currency→Currencies are expected to remain range-bound with no dominant directional bias over the next 20 sessions.
  • Crypto↗OLSAbsent the mechanical correlation signal, no determination can be made on whether any current block persists or requires a sign flip at the next boundary inside 20 sessions.
Cascade threads (interpretive aid)
  • Financial spoke 2.3σ alert · DS 76% CT 56%
  • Financial → Interest Rates chord 2.3σ alert p=48% · DS 76% CT 56%
  • Financial → Commodity chord 2.3σ alert p=55% · DS 76% CT 56%

Signals

0 Critical
2 Alert
3 Watch
Click row for details
Asset Class Entry Current Z-Score Window Level Trade
XLF * equity $55.86 $55.86 -2.29σ 30d alert SHORT
IWM * equity $284.10 $284.10 -2.20σ 60d alert SHORT
CORN * equity $19.70 $19.70 +1.96σ 252d watch LONG
TSM * equity $434.67 $434.67 +1.66σ 30d watch LONG
XLE * equity $64.31 $64.31 +1.53σ 252d watch LONG

Risk

Core
n/a
no open positions
Commodities
n/a
no open positions
Crypto
n/a
no open positions

Geopolitical Risk

0.48 stable

Middle East proxy clashes and Eastern European energy rhetoric sustain moderate transmission to oil and natgas with secondary FX and risk-asset ripples, yet physical flows remain intact and diplomatic channels active. Second-order de-escalation paths via backchannel talks and winter energy accords keep the web from full cascade.

Middle East medium

Iran-Israel proxy clashes intensify in Syria/Lebanon with sporadic shipping harassment

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

Russia signals potential natgas flow restrictions ahead of European winter

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

Elevated Chinese patrols in South China Sea and Taiwan Strait friction

fxrisk_assets
USDJPY=X, TWD=X, ES=F
horizon: 30d
Top tail risk medium high

Major cyber attack on European LNG terminals amid Russia-Ukraine escalation

Invalidate if: Renewed Minsk-style talks accelerate or front-month natgas volatility collapses

Hotspot calibration: 289/395 hits (73%), Brier 0.235 — horizons resolved on affected_assets vs predicted market_channels

snapshot 2026-09-21

Finance View — Three Sheets

Neutral
Cash Flow 0 neutral
0/3 signals agreeing
CF-1 CF-2 CF-3 CF-4 CF-5
CF-3 Commodity-currency breadth -0.42
AUDUSD=X: +0.27%; CADUSD=X: -1.54%; NZDUSD=X: -3.72%; BRLUSD=X: +1.62%
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=-1.82
Balance Sheet 0 neutral
2/5 signals agreeing
B-1 B-2 B-3 B-4 B-5 B-6
B-3 Real yields z-score -0.94
real_yield_10y: latest=2.61, z=+1.41
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 2026-09-21

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: fixed-notional (default) 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 -0.32 | 3m -0.46 | 12m 4.03
Rolling Volatility
1m 47.6% | 3m 62.8% | 12m 63.3%
Drawdown
Current -34.6% | Max -54.1%
ENB
2.84 (assets: 14)
Regime Probability
Low-Vol 30% | High-Vol 20% | Trend 49% | Mean-Rev 1%
Current: trend (49%)

Crypto

No backtest summary available.

Combined

Rolling Sharpe
1m -2.31 | 3m -5.74 | 12m 1.32
Rolling Volatility
1m 17.5% | 3m 24.5% | 12m 43.1%
Drawdown
Current -41.5% | Max -54.1%
ENB
1.00 (assets: 0)
Regime Probability
Low-Vol 42% | High-Vol 8% | Trend 49% | Mean-Rev 1%
Current: trend (49%)

Performance Scorecard

Core Forecast

WindowWins/TotalRateReturnStats Coverage
Backtest (522d)416/95743% [40%-47%]+328.5%Longs only
Out of Sample (217d)147/33943% [38%-49%]+59.3%Longs only
Recent (7d)0/30% [0%-56%]-4.5%Longs only
OOS Sharpe0.49 (annualized, trade-level)Longs only

Commodity OOS

WindowWins/TotalRateReturnStats Coverage
Backtest (2089d)2274/495946% [44%-47%]+183.7%Longs only
Out of Sample (223d)75/14253% [45%-61%]+6.2%Longs only

Crypto OOS

WindowWins/TotalRateReturnStats Coverage
Backtest (2396d)42/6961% [49%-72%]+821.2%Longs only

Combined

WindowWins/TotalRateReturnStats Coverage
Backtest (2396d)2732/598546% [44%-47%]+214.2%Longs only
Out of Sample (223d)222/48146% [42%-51%]+43.6%Longs only
Recent (7d)0/30% [0%-56%]-4.5%Longs only
OOS Sharpe0.49 (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.