# Core Forecast - 2026-06-17

**Version**: v1.0
**Generated**: 04:35
**Confidence Cone**: medium

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## 1. Situation

### Markets

• Interest Rates: → sticky long-end with front-end easing bias on disinflation
• Financial: → rotation to small caps/semis at extended levels with near-term reversion setup
• Commodity: → soft trend at statistical extremes favoring mean reversion
• Currency: → rate-differential driven with CNY weakness and modest USD bias
• Crypto: → sentiment spillover with contained vol supporting selective recovery
<!-- panels-json: {"interest_rates": {"headline": "Normal curve, stable geo risk and soft sentiment print set up for data-dependent front-end easing while long yields stay elevated", "two_day_forecast": "Yields likely to remain rangebound over next 2 sessions; if inflation or sentiment data stays soft then 10y expected to ease toward 4.40 with front-end pricing more cuts", "direction": "down", "confidence": 0.57, "triggers": ["10y yield breaks below 4.40", "2s/10s spread widens past 50bp", "NFP misses below 150k"], "calibration": {"sample_size": 3, "hit_rate": 0.3333333333333333, "brier_score": 0.28506666666666675}}, "financial": {"headline": "Alert-level outperformance in IWM SOXX AMD after strong 5d gains sets up for near-term mean reversion within broadening rotation", "two_day_forecast": "Semis and small caps likely to pull back over next 2 sessions as mean reversion occurs at 77% rate for 2\u03c3+ moves; if VIX rises above 17 then downside accelerates before any 30d continuation", "direction": "down", "confidence": 0.65, "triggers": ["SOXX falls below +2.0\u03c3", "IWM fails to hold 290", "VIX spikes above 17.5"], "calibration": {"sample_size": 3, "hit_rate": 0.3333333333333333, "brier_score": 0.31646666666666673}}, "commodity": {"headline": "PDBC at -2.18\u03c3 and broad commodities down 10.4% 30d set up for mean reversion amid contained supply risks and China demand signals", "two_day_forecast": "Commodities expected to rebound modestly over next 2 sessions if no negative demand prints; crude likely to test above 76 and PDBC recover if oil holds key support", "direction": "up", "confidence": 0.7, "triggers": ["Crude holds above 75", "Broad index rebounds >1.0%", "No China PMI miss below 49"], "calibration": {"sample_size": 3, "hit_rate": 0.0, "brier_score": 0.3799333333333333}}, "currency": {"headline": "Stable majors with CNY at -1.65\u03c3 weakness set up for USD support from rate differentials and selective risk sentiment", "two_day_forecast": "USD expected to hold firm over next 2 sessions against EUR and JPY if long yields remain sticky; USDCNY likely to test higher on any risk-off tilt", "direction": "up", "confidence": 0.55, "triggers": ["EURUSD breaks below 1.155", "USDCNY rises above 6.80", "USDJPY holds above 160"], "calibration": {"sample_size": 3, "hit_rate": 0.3333333333333333, "brier_score": 0.2743}}, "crypto": {"headline": "BTC down 13.1% 30d with low VIX and bullish equity breadth sets up for stabilization on rotation and contained geopolitical risk", "two_day_forecast": "Crypto likely to stabilize or see mild upside over next 2 sessions if small-cap momentum holds; BTC expected to test 66000 if funding rates stay neutral and ETF flows do not deteriorate", "direction": "up", "confidence": 0.54, "triggers": ["BTC holds above 64000", "VIX remains below 17", "ETH/BTC dominance stable"], "calibration": {"sample_size": 3, "hit_rate": 0.6666666666666666, "brier_score": 0.2383333333333333}}} -->

### Quant

• Direction ratio at 67% bullish (+46pp weekly)
• Sigma intensity at 1.83 with 83% ALERT signals
• BULLISH_BIAS streak at 7 consecutive days
• Yield curve normal at +48bp
• Geopolitical risk 0.48 (stable)
• Dispersion index 0.91
• Direction ratio 0.67 bullish → supports selective rotation to cyclicals, financials and semis per base case
• Breadth momentum -10 contracting → narrowing leadership requires monitoring for rotation sustainability
• Sigma intensity 1.83 moderate → ALERT cluster (83%) in semis/small caps consistent with mean reversion 77% within 6d [n=1686]
• Dispersion index 1.91 moderate → favors stock-specific moves over broad index beta
• Signal distribution: 0% critical, 83% alert, 17% watch → no extremes, long signals historically 56% accurate [n=2712]
• Yield curve normal (48bp spread) → aligns with disinflation, front-end easing and sticky long yields
• Geo risk score 0.48 stable regime → contained transmission from proxies/Ukraine supports 60% base case
• Broad commodities -10.4% 30d, PDBC -2.18σ → disinflation channel live with soft pressure expected

---

## 2. Signal

| Asset | Price | Z-Score | Window | Direction |
|-------|-------|---------|--------|-----------|
| AMD | $507.29 | +2.50σ | 252d | up |
| SOXX | $591.24 | +2.48σ | 252d | up |
| PDBC | $16.67 | -2.18σ | 30d | down |
| IWM | $292.08 | +2.17σ | 252d | up |
| TSM | $425.83 | +1.85σ | 252d | up |
| CNY=X | $6.76 | -1.65σ | 252d | down |

---

## 3. Opportunity

- **Primary**: Semiconductors (AMD +2.50σ, SOXX +2.48σ): Tactical reduce long or hedge for short-term reversion (65%)
- **Primary**: Broad commodities (PDBC -2.18σ): Long for near-term recovery then reassess (77%)
- **Primary**: Lithium: Neutral to short bias on any rebound (45%)
- **Primary**: Small caps (IWM +2.17σ): Core long with 4-day tactical hedge (60%)
- **Secondary**: Disinflation rotation to cyclicals and semis: broadens equity leadership while commodities stay soft (51%)
- **Secondary**: Mean reversion after ALERT sigma moves: near-term pullback in extended financials/semis before 30d trend (65%)

---

## 4. Probabilities & Metrics

| Entry | Current | 7d Slope | Decay HL | Cascade Depth |
|-------|---------|----------|----------|---------------|
| amd | 65% | N/A | TBD | 1 |
| iShares Semiconducto | 65% | N/A | TBD | 1 |
| Invesco Optimum Yiel | 77% | N/A | TBD | 1 |
| russell2000 | 60% | -1.0pp/d | TBD | 1 |
| tsmc | 50% | N/A | TBD | 0 |

**Performance Scorecard**:
- Backtest (1042d): 574/1292, 44%, +359.7%
- Recent (7d): 4/5, 80%, +32.3%

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**Sources**: FRED, yfinance, Market data
**Next Calibration**: Run sentinel scanner for breakouts; Monitor: Middle East proxy escalation disrupting oil logistics (GMT1-4); Monitor: Hot inflation print reversing disinflation and easing expectations; Track: Semiconductors (AMD +2.50σ, SOXX +2.48σ) pricing; Track: Broad commodities (PDBC -2.18σ) pricing
---

## 5. Shadow Experiments (DS8)

| arch1 | 0.2949 | 0.3353 | (-0.0241) | 368 | PROMOTABLE |
| Architecture | Shadow Brier | Prod Brier | Delta | n | Status |
|-------------|-------------|-----------|-------|---|--------|
| arch2 | 0.2931 | 0.3353 | (-0.0173) | 314 | accumulating |
| arch3 | 0.2799 | 0.3353 | (-0.0377) | 314 | PROMOTABLE |