The Silk Risk Dashboard
2026-09-25 06:01 · v1.0
MEDIUM CONFIDENCE
- Interest Rates↗Interest rates are expected to continue higher over the next 20 sessions as OLS prior and tightening bias hold despite volatility expansion.
- Financial↗Financials and equities are expected to mean-revert higher over the next 20 sessions as ALERT extremes resolve with 67% probability.
- Commodity↘Commodities are expected to mean-revert lower over the next 20 sessions as the critical UNG signal resolves at statistical extremes.
- Currency↘The US dollar is expected to weaken over the next 20 sessions as mean reversion pulls UUP lower from its extended level.
- Crypto↗20d corr +0.44 — The current LONG block is expected to persist over the next 20 sessions with positive correlation likely to hold until the next decision boundary.
Cascade threads (interpretive aid)
- Financial signal 2.2σ alert p=68% · DS 75% CT 56%
Signals
0
Critical
0
Alert
0
Watch
Click row for details
| Asset | Class | Entry | Current | Z-Score | Window | Level | Trade |
|---|
Risk
Core
n/a
no open positions
Commodities
n/a
no open positions
Crypto
n/a
no open positions
Geopolitical Risk
0.47 stable
Persistent flashpoints in the Middle East and East Asia exhibit low transmission coefficients to broad markets, primarily affecting oil and select FX pairs via second-order supply and safe-haven flows; recent diplomatic signaling and stable physical volumes keep cascade cones narrow absent orthogonal confirmation.
Middle East medium
Iran-Israel shadow war with Houthi Red Sea shipping incidents
oilrisk_assets
CL=F, GC=F
horizon: 14d
Eastern Europe high
Russia-Ukraine winter energy negotiations amid front stalemate
natgasfx
NG=F, EURUSD=X
horizon: 21d
East Asia medium
Chinese naval drills and increased Taiwan Strait patrols
fxrisk_assets
USDJPY=X, NKY=F
horizon: 30d
Top tail risk medium high
State-linked cyber attack on European natgas infrastructure
Invalidate if: Progress toward Ukraine energy accords or independent verification of no state involvement
Hotspot calibration: 300/408 hits (74%), 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-3 Commodity-currency breadth -1.00
AUDUSD=X: -2.13%; CADUSD=X: -1.87%; NZDUSD=X: -4.74%; BRLUSD=X: -0.93%
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=-1.80
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=2.76, z=+1.91
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: 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 -6.71 | 3m -4.26 | 12m n/a
Rolling Volatility
1m 13.6% | 3m 22.5% | 12m n/a
Drawdown
Current -41.0% | Max -42.0%
ENB
5.66 (assets: 38)
Regime Probability
Low-Vol 44% | High-Vol 6% | 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 -6.71 | 3m -4.26 | 12m 1.12
Rolling Volatility
1m 13.6% | 3m 22.5% | 12m 42.8%
Drawdown
Current -41.0% | Max -54.1%
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 (522d) | 416/957 | 43% [40%-47%] | +328.5% | Longs only |
| Out of Sample (221d) | 150/349 | 43% [38%-48%] | +51.0% | Longs only |
| Recent (7d) | 0/3 | 0% [0%-56%] | -6.6% | Longs only |
| OOS Sharpe | 0.45 (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 |
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) | 2732/5985 | 46% [44%-47%] | +214.2% | Longs only |
| Out of Sample (223d) | 225/491 | 46% [41%-50%] | +38.0% | Longs only |
| Recent (7d) | 0/3 | 0% [0%-56%] | -6.6% | Longs only |
| OOS Sharpe | 0.45 (annualized, trade-level) | Longs only | ||