# Core Forecast - 2026-06-18

**Version**: v1.0
**Generated**: 04:34
**Confidence Cone**: medium

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## 1. Situation

### Markets

• Interest Rates: → sticky long-end supports policy rotation, contained geo
• Financial: → broadening to semis/small caps/cyclicals per thesis
• Commodity: → at statistical extremes, soft disinflation signal with muted GMT transmission
• Currency: → mild USD on rate diffs, no global shock
• Crypto: → sentiment spillover from equity rotation, relative rates dominate
<!-- panels-json: {"interest_rates": {"headline": "Normal 48bp curve with stable geo risk and disinflation data setting up for sticky long-end, modest front-end easing", "two_day_forecast": "Long-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.", "direction": "neutral", "confidence": 0.65, "triggers": ["10Y yield change <10bp", "2s/10s spread holds 40-60bp", "Consumer sentiment >48"], "calibration": {"sample_size": 4, "hit_rate": 0.5, "brier_score": 0.27630000000000005}}, "financial": {"headline": "ALERT strength in SOXX +2.52\u03c3, AMD +2.50\u03c3, IWM +2.01\u03c3 with 67% bullish direction ratio setting up for selective rotation", "two_day_forecast": "Broadening 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.", "direction": "up", "confidence": 0.56, "triggers": ["SOXX holds above +2.0\u03c3", "IWM 1d return >0%", "VIX <18"], "calibration": {"sample_size": 4, "hit_rate": 0.5, "brier_score": 0.267975}}, "commodity": {"headline": "PDBC at -2.13\u03c3 extremes after -11.6% 30d drop with contained Middle East/Europe transmission setting up for mean reversion", "two_day_forecast": "Broad 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.", "direction": "up", "confidence": 0.68, "triggers": ["Crude >$73", "PDBC 1d change >0%", "Gold holds above $4200"], "calibration": {"sample_size": 4, "hit_rate": 0.0, "brier_score": 0.38734999999999997}}, "currency": {"headline": "Mild USD firmness with USDCNY -1.63\u03c3 and rate differentials setting up for continued relative strength in stable regime", "two_day_forecast": "USD 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.", "direction": "up", "confidence": 0.55, "triggers": ["EURUSD <1.15", "USDJPY >160", "10Y yield >4.4%"], "calibration": {"sample_size": 4, "hit_rate": 0.25, "brier_score": 0.284125}}, "crypto": {"headline": "BTC -13.0% 30d drawdown with sentiment tied to equity broadening and contained geo risk setting up for stabilization", "two_day_forecast": "Crypto 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.", "direction": "up", "confidence": 0.52, "triggers": ["BTC >63000", "VIX <17.5", "ETH/BTC ratio stable"], "calibration": {"sample_size": 4, "hit_rate": 0.5, "brier_score": 0.25997499999999996}}} -->

### Quant

• Direction ratio at 67% bullish (+46pp weekly)
• Sigma intensity at 1.67 with 67% ALERT signals
• BULLISH_BIAS streak at 7 consecutive days
• Yield curve normal at +48bp
• Geopolitical risk 0.38 (stable)
• Dispersion index 1.85
• 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]
• Breadth momentum -10 contracting → selective leadership in semis/small caps rather than broad rally
• Dispersion index 1.85 moderate → favors rotation from mega caps to cyclicals per thesis
• Yield curve normal (48bp spread) → consistent with front-end easing, sticky long yields
• Geo risk score 0.38 in stable regime → contained transmission per GMT1-5, muted risk-premia impact
• PDBC -2.13σ, crude -30.8% 30d → broad commodities at statistical extremes, soft pressure aligns with disinflation (60% base)
• SOXX +2.52σ, AMD +2.50σ, IWM +2.01σ → ALERT up moves with long signal accuracy 56% [n=2712]

---

## 2. Signal

| Asset | Price | Z-Score | Window | Direction |
|-------|-------|---------|--------|-----------|
| SOXX * | $599.73 | +2.52σ | 252d | up |
| AMD | $512.48 | +2.50σ | 252d | up |
| PDBC | $16.54 | -2.13σ | 30d | down |
| IWM * | $289.88 | +2.01σ | 252d | up |
| TSM | $432.15 | +1.95σ | 252d | up |
| CNY=X | $6.76 | -1.63σ | 252d | down |

---

## 3. 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%)

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## 4. Probabilities & Metrics

| Entry | Current | 7d Slope | Decay HL | Cascade Depth |
|-------|---------|----------|----------|---------------|
| iShares Semiconducto | 56% | N/A | TBD | 1 |
| amd | 56% | N/A | TBD | 1 |
| Invesco Optimum Yiel | 68% | N/A | TBD | 1 |
| russell2000 | 58% | -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%, +40.2%

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**Sources**: FRED, yfinance, Market data
**Next Calibration**: Run sentinel scanner for breakouts; Monitor: Middle East escalation (Iranian proxies) cascades to oil supply disruption (GMT3 secondary effects on yields/vol); Monitor: Inflation rebound reversing disinflation (higher CPI prints >0.5% m/m); Track: Broad commodities (PDBC) pricing; Track: Semiconductors (SOXX/AMD) pricing
---

## 5. Shadow Experiments (DS8)

| arch1 | 0.2959 | 0.3354 | (-0.0230) | 374 | PROMOTABLE |
| Architecture | Shadow Brier | Prod Brier | Delta | n | Status |
|-------------|-------------|-----------|-------|---|--------|
| arch2 | 0.2937 | 0.3354 | (-0.0168) | 320 | accumulating |
| arch3 | 0.2806 | 0.3354 | (-0.0370) | 320 | PROMOTABLE |