# Core Forecast - 2026-06-13

**Version**: v1.0
**Generated**: 05:37
**Confidence Cone**: medium

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## 1. Situation

### Markets

• Interest Rates: → stable borrowing costs with limited volatility expected
• Financial: → at statistical extremes after recent outperformance, mean reversion setup
• Commodity: → mixed at WATCH extremes, rebound likely in depressed names
• Currency: → dollar stable with yuan at WATCH low, limited directional conviction
• Crypto: → stabilization after selloff with mean reversion bias
<!-- panels-json: {"interest_rates": {"headline": "Normal yield curve at 48bp spread with Fed funds at 3.63% sets up for range-bound action ahead of data prints.", "two_day_forecast": "Yields likely to hold steady if economic data releases match consensus and real-yield trajectory remains contained over next 2 sessions.", "direction": "neutral", "confidence": 0.62, "triggers": ["10Y yield moves beyond 4.55", "2s/10s spread widens past 55bp", "NFP print deviates more than 50k from estimates"]}, "financial": {"headline": "Semiconductor and small-cap names at ALERT levels (+2.67\u03c3 AMD, +2.66\u03c3 SOXX, +2.26\u03c3 IWM) after outperformance sets up mean-reversion.", "two_day_forecast": "Financials and indices likely to pull back over next 2 sessions if VIX rises above 19 or breadth momentum stays below -15.", "direction": "down", "confidence": 0.62, "triggers": ["VIX closes above 19", "IWM falls below 290", "SOXX fails to hold 2% above 5d average"]}, "commodity": {"headline": "PDBC at -1.98\u03c3 lows combined with lithium's 5d rebound from 30d weakness sets up short-term mean-reversion bounce.", "two_day_forecast": "Commodity complex expected to rise if crude holds above 82 and China-related demand signals remain stable over next 2 sessions.", "direction": "up", "confidence": 0.57, "triggers": ["crude_oil rebounds above 86.5", "lithium holds above 165", "broad commodity index gains more than 1.5%"]}, "currency": {"headline": "CNY at -1.65\u03c3 weakness amid stable rate differentials and low EM stress sets up for limited USD moves.", "two_day_forecast": "Major pairs likely to remain range-bound if DXY stays below 102 and central bank divergence signals do not widen over next 2 sessions.", "direction": "neutral", "confidence": 0.58, "triggers": ["USDCNY breaks below 6.70", "EURUSD falls below 1.15", "USDJPY drops under 158.5"]}, "crypto": {"headline": "BTC down 15.8% over 30d with flat recent action and low funding pressure sets up for relief stabilization.", "two_day_forecast": "Crypto expected to edge higher if perpetual funding stays neutral and spot ETF flows remain positive over next 2 sessions.", "direction": "up", "confidence": 0.55, "triggers": ["BTC holds above 62000", "ETH/BTC ratio rises 1%", "funding rate turns positive"]}} -->

### Quant

• Direction ratio at 56% bullish (+25pp weekly)
• Sigma intensity at 1.43 with 43% ALERT signals
• BULLISH_BIAS streak at 5 consecutive days
• Yield curve normal at +48bp
• Geopolitical risk 0.42 (stable)
• Dispersion index 1.95
• Direction ratio 57% bullish → moderate upside bias with contracting breadth
• Breadth momentum -17 contracting → narrowing participation raises reversal risk
• Sigma intensity 1.43 low conviction → mean reversion favored at current levels [n=2806]
• Dispersion index 1.95 moderate → idiosyncratic moves likely to dominate broad trends
• Signal distribution: 0% critical, 43% alert, 57% watch → ALERT hit rate 56% [n=1247]
• Yield curve normal with 48bp spread → no recession signal, stable macro backdrop
• Direction change weekly +25pp bullish → sentiment shift but low sigma limits follow-through
• Geo risk score 0.42 stable regime → diplomatic channels limit systemic disruption

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## 2. Signal

| Asset | Price | Z-Score | Window | Direction |
|-------|-------|---------|--------|-----------|
| AMD | $511.57 | +2.67σ | 252d | up |
| SOXX | $596.25 | +2.66σ | 252d | up |
| IWM | $292.95 | +2.26σ | 252d | up |
| PDBC | $17.06 | -1.98σ | 30d | down |
| TSM | $423.93 | +1.85σ | 252d | up |
| CNY=X | $6.76 | -1.65σ | 252d | down |

---

## 3. Opportunity

- **Primary**: AMD: short bias into extremes (62%)
- **Primary**: lithium: long bias on dips with China prints as catalyst (58%)
- **Primary**: IWM: fade the ALERT move (61%)
- **Secondary**: Mean reversion after ALERT sigma moves in semis and small caps: pullback in financials and tech proxies (53%)
- **Secondary**: Rebound in commodity ETF at -1.98σ lows: support for lithium, copper, and broad commodity prices (48%)
- **Secondary**: Contracting breadth despite bullish direction ratio: increased risk of reversal in indices (50%)

---

## 4. Probabilities & Metrics

| Entry | Current | 7d Slope | Decay HL | Cascade Depth |
|-------|---------|----------|----------|---------------|
| amd | 62% | -3.9pp/d | TBD | 1 |
| iShares Semiconducto | 50% | N/A | TBD | 0 |
| russell2000 | 61% | N/A | TBD | 1 |
| Invesco Optimum Yiel | 50% | N/A | TBD | 0 |
| tsmc | 50% | N/A | TBD | 0 |

**Performance Scorecard**:
- Backtest (1042d): 574/1292, 44%, +359.7%
- Recent (7d): 1/7, 14%, -29.5%

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**Sources**: FRED, yfinance, Market data
**Next Calibration**: Run sentinel scanner for breakouts; Monitor: Middle East proxy strikes escalate to disrupt shipping/energy flows; Monitor: Surprise hot CPI print forces repricing of Fed path; Track: AMD pricing; Track: lithium pricing