The Silk - Core Forecast

2026-06-20 04:34 · v1.0
MEDIUM CONFIDENCE

Situation

Interest Rates↘58%
Normal yield curve at 48bp with sticky long-end yields as disinflation supports front-end easing
2-day forecast10y yields likely to drift lower over next 2 sessions if weak consumer sentiment data persists, unless NFP surprises high and pushes real yields up.
Watch
  • 10y yield breaks below 4.40
  • NFP <150k
  • 2s/10s widens >10bp
40% [n=5] Brier 0.286
Financial↗56%
Semis and small caps at ALERT +2.3-2.9σ extensions amid broadening rotation from mega-cap AI
2-day forecastSPX, SOXX and IWM likely to see mild continuation higher over next 2 sessions if VIX holds below 20 and breadth improves, though mean-reversion risks elevated at these levels.
Watch
  • VIX stays below 20
  • IWM closes >298
  • SOXX holds +2.5σ
40% [n=5] Brier 0.299
Commodity↗70%
Broad commodities at -2.13σ after sharp declines with PDBC, crude and precious metals at extremes
2-day forecastCommodity complex likely to mean-revert higher over next 2 sessions if geo risks stay contained per GMT4 de-escalation branch, with crude holding key support.
Watch
  • Crude holds above 75
  • Gold rebounds above 4200
  • No Middle East escalation
0% [n=5] Brier 0.408
Currency↗64%
EURUSD at -2.11σ extremes and CNY -1.51σ with USD supported by differentials but stable geo regime
2-day forecastEURUSD expected to rebound over next 2 sessions toward 1.16 if equity rotation holds and VIX mean-reverts, consistent with modest USD weakening in base case.
Watch
  • VIX falls below 18
  • EURUSD >1.155
  • USDJPY fails 162
20% [n=5] Brier 0.288
Crypto↗54%
BTC -13.6% over 30d with negative spillovers but selective risk thesis points to stabilization
2-day forecastBTC likely to stabilize with mild upside over next 2 sessions if financial rotation continues and funding rates stay neutral, though vol spike would pressure.
Watch
  • BTC holds above 62000
  • Equity indices positive
  • Perp funding neutral
40% [n=5] Brier 0.266
Direction ratio 0.57 bullish (+33pp weekly):sustained bullish bias with contracting breadth momentum at -5
Sigma intensity 1.57 moderate:0% critical, 57% alert, 43% watch signal distribution supporting rotation

Signal

AssetPriceZ-ScoreWindowLevelTrade
SOXX $639.45 +2.86σ 252d alert LONG
AMD $537.37 +2.68σ 252d alert LONG
TSM $462.12 +2.57σ 30d alert LONG
IWM $295.59 +2.32σ 252d alert LONG
PDBC * $16.54 -2.13σ 30d alert SHORT
EURUSD=X $1.15 -2.11σ 30d alert SHORT
CNY=X $6.77 -1.51σ 252d watch SHORT

Opportunity

PRIMARY
PDBC/commodities: Long commodities on dips for mean-reversion edge, exit on saturation per GMT6
68%
PRIMARY
SOXX/AMD/IWM: Long semis/small-caps on any 2d pullback for 4-day hold per calibration
55%
PRIMARY
BTC: Long BTC on equity confirmation, cheap convexity via options
54%
SECONDARY
Mean reversion in broad commodities after -2.13σ move: Supports disinflation base case with soft prices not extending
58%
SECONDARY
Momentum continuation in semis/small-caps at ALERT levels: Drives rotation from mega-caps toward cyclicals per thesis
47%
SECONDARY
Contained geopolitical risk limiting oil/vol cascade: Low transmission per GMT1-5 with de-escalation branch ~70%
61%

Performance Scorecard CALIBRATED since 2026-06-20

Backtest (1042d):574/1292, 44% [42%-47%], +359.7%
Recent (7d):1/5, 20% [4%-62%], -14.5%
Brier Score:0.261 FAIL (threshold: 0.25)