The Silk - Core Forecast

2026-06-18 04:34 · v1.0
MEDIUM CONFIDENCE

Situation

Interest Rates→65%
Normal 48bp curve with stable geo risk and disinflation data setting up for sticky long-end, modest front-end easing
2-day forecastLong-end yields likely to hold near 4.5% over next 2 sessions if NFP surprises are under 50k and real-yield trajectory remains stable, keeping curve status normal.
Watch
  • 10Y yield change <10bp
  • 2s/10s spread holds 40-60bp
  • Consumer sentiment >48
50% [n=4] Brier 0.276
Financial↗56%
ALERT strength in SOXX +2.52σ, AMD +2.50σ, IWM +2.01σ with 67% bullish direction ratio setting up for selective rotation
2-day forecastBroadening to semis, small caps and cyclicals likely to continue over next 2 sessions if VIX stays below 18 and dispersion holds near 1.85, extending the disinflation rotation.
Watch
  • SOXX holds above +2.0σ
  • IWM 1d return >0%
  • VIX <18
50% [n=4] Brier 0.268
Commodity↗68%
PDBC at -2.13σ extremes after -11.6% 30d drop with contained Middle East/Europe transmission setting up for mean reversion
2-day forecastBroad commodity prices likely to mean-revert higher over next 2 sessions if crude oil holds above $73 and no supply disruption news emerges, aligning with disinflation.
Watch
  • Crude >$73
  • PDBC 1d change >0%
  • Gold holds above $4200
0% [n=4] Brier 0.387
Currency↗55%
Mild USD firmness with USDCNY -1.63σ and rate differentials setting up for continued relative strength in stable regime
2-day forecastUSD likely to remain firm with EURUSD testing lower over next 2 sessions if 10Y real yields hold and central bank divergence persists, barring risk sentiment shift.
Watch
  • EURUSD <1.15
  • USDJPY >160
  • 10Y yield >4.4%
25% [n=4] Brier 0.284
Crypto↗52%
BTC -13.0% 30d drawdown with sentiment tied to equity broadening and contained geo risk setting up for stabilization
2-day forecastCrypto expected to stabilize with mild upside if equity rotation persists and VIX declines below 17 over next 2 sessions, though remains sensitive to any vol spike.
Watch
  • BTC >63000
  • VIX <17.5
  • ETH/BTC ratio stable
50% [n=4] Brier 0.260
Direction ratio 0.67 bullish (+46pp weekly):sustained BULLISH_BIAS supporting disinflation rotation [n=1042]
Sigma intensity 1.67 moderate with 0% critical, 67% alert, 33% watch:mean reversion base rate 77% within 6d for 2σ+ moves [n=1686]

Signal

AssetPriceZ-ScoreWindowLevelTrade
SOXX * $599.73 +2.52σ 252d alert LONG
AMD $512.48 +2.50σ 252d alert LONG
PDBC $16.54 -2.13σ 30d alert SHORT
IWM * $289.88 +2.01σ 252d alert LONG
TSM $432.15 +1.95σ 252d watch LONG
CNY=X $6.76 -1.63σ 252d watch SHORT

Opportunity

PRIMARY
Broad commodities (PDBC): long PDBC with cheap convexity on stabilization
68%
PRIMARY
Semiconductors (SOXX/AMD): long SOXX/AMD vs short mega-cap AI proxies
56%
PRIMARY
Small caps (IWM): long IWM as part of cyclical rotation
58%
SECONDARY
Disinflation continuation and front-end easing: favors broadening rotation to cyclicals/semis/small caps while commodities stay soft
51%
SECONDARY
Mean reversion in broad commodities after -2.13σ move: supports disinflation narrative, limited GMT transmission from hotspots
58%
SECONDARY
Momentum continuation in semis and small caps: extends selective strength in rotation theme despite high sigma
48%

Performance Scorecard CALIBRATED since 2026-06-18

Backtest (1042d):574/1292, 44% [42%-47%], +359.7%
Recent (7d):4/7, 57% [25%-84%], +30.7%
Brier Score:0.261 FAIL (threshold: 0.25)