# Core Forecast - 2026-06-20

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

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## 1. Situation

### Markets

• Interest Rates: → sticky long-end with front-end easing aligned to disinflation
• Financial: → rotation to cyclicals/semis continues at 56% long accuracy [n=2712]
• Commodity: → at statistical extremes favoring mean reversion but soft prices in base case
• Currency: → USD bid to moderate via relative rates and contained geo risk
• Crypto: → sentiment spillovers from equity rotation with stabilization expected
<!-- panels-json: {"interest_rates": {"headline": "Normal yield curve at 48bp with sticky long-end yields as disinflation supports front-end easing", "two_day_forecast": "10y yields likely to drift lower over next 2 sessions if weak consumer sentiment data persists, unless NFP surprises high and pushes real yields up.", "direction": "down", "confidence": 0.58, "triggers": ["10y yield breaks below 4.40", "NFP <150k", "2s/10s widens >10bp"], "calibration": {"sample_size": 5, "hit_rate": 0.4, "brier_score": 0.28602000000000005}}, "financial": {"headline": "Semis and small caps at ALERT +2.3-2.9\u03c3 extensions amid broadening rotation from mega-cap AI", "two_day_forecast": "SPX, 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.", "direction": "up", "confidence": 0.56, "triggers": ["VIX stays below 20", "IWM closes >298", "SOXX holds +2.5\u03c3"], "calibration": {"sample_size": 5, "hit_rate": 0.4, "brier_score": 0.29888000000000003}}, "commodity": {"headline": "Broad commodities at -2.13\u03c3 after sharp declines with PDBC, crude and precious metals at extremes", "two_day_forecast": "Commodity 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.", "direction": "up", "confidence": 0.7, "triggers": ["Crude holds above 75", "Gold rebounds above 4200", "No Middle East escalation"], "calibration": {"sample_size": 5, "hit_rate": 0.0, "brier_score": 0.4078799999999999}}, "currency": {"headline": "EURUSD at -2.11\u03c3 extremes and CNY -1.51\u03c3 with USD supported by differentials but stable geo regime", "two_day_forecast": "EURUSD 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.", "direction": "up", "confidence": 0.64, "triggers": ["VIX falls below 18", "EURUSD >1.155", "USDJPY fails 162"], "calibration": {"sample_size": 5, "hit_rate": 0.2, "brier_score": 0.2878}}, "crypto": {"headline": "BTC -13.6% over 30d with negative spillovers but selective risk thesis points to stabilization", "two_day_forecast": "BTC likely to stabilize with mild upside over next 2 sessions if financial rotation continues and funding rates stay neutral, though vol spike would pressure.", "direction": "up", "confidence": 0.54, "triggers": ["BTC holds above 62000", "Equity indices positive", "Perp funding neutral"], "calibration": {"sample_size": 5, "hit_rate": 0.4, "brier_score": 0.2663}}} -->

### Quant

• Direction ratio at 56% bullish (+33pp weekly)
• Sigma intensity at 1.57 with 56% ALERT signals
• BULLISH_BIAS streak at 7 consecutive days
• Yield curve normal at +48bp
• Geopolitical risk 0.48 (stable)
• Dispersion index 2.00
• 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
• Dispersion index 2.00 moderate → favors selective leadership in semis/small-caps per thesis
• Yield curve normal (48bp spread) → consistent with front-end easing and sticky long-end
• Geo risk score 0.48 in stable regime → contained transmission to energy channels (GMT1-2)
• ALERT extensions: SOXX +2.86σ, AMD +2.68σ, IWM +2.32σ → long-signal hit rate 56% [n=2712]
• PDBC -2.13σ DOWN and EURUSD -2.11σ → mean-reversion base rate 77% within 6d for 2σ+ [n=1686]
• Consumer sentiment 49.8 (-6.6% m/m) → highlights selective risk in cyclicals vs mega-caps

---

## 2. Signal

| Asset | Price | Z-Score | Window | Direction |
|-------|-------|---------|--------|-----------|
| SOXX | $639.45 | +2.86σ | 252d | up |
| AMD | $537.37 | +2.68σ | 252d | up |
| TSM | $462.12 | +2.57σ | 30d | up |
| IWM | $295.59 | +2.32σ | 252d | up |
| PDBC * | $16.54 | -2.13σ | 30d | down |
| EURUSD=X | $1.15 | -2.11σ | 30d | down |
| CNY=X | $6.77 | -1.51σ | 252d | down |

---

## 3. 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%)

---

## 4. Probabilities & Metrics

| Entry | Current | 7d Slope | Decay HL | Cascade Depth |
|-------|---------|----------|----------|---------------|
| iShares Semiconducto | 55% | N/A | TBD | 1 |
| amd | 55% | N/A | TBD | 1 |
| tsmc | 50% | N/A | TBD | 0 |
| russell2000 | 55% | -0.3pp/d | TBD | 1 |
| Invesco Optimum Yiel | 68% | N/A | TBD | 1 |

**Performance Scorecard**:
- Backtest (1042d): 574/1292, 44%, +359.7%
- Recent (7d): 1/5, 20%, -14.5%

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**Sources**: FRED, yfinance, Market data
**Next Calibration**: Run sentinel scanner for breakouts; Monitor: Middle East escalation (Iran/Israel) transmitting to oil + vol spike (GMT2 primary channel); Monitor: Inflation surprise reversing front-end easing and lifting long yields >4.7%; Track: PDBC/commodities pricing; Track: SOXX/AMD/IWM pricing
---

## 5. Shadow Experiments (DS8)

| arch1 | 0.2981 | 0.3355 | (-0.0208) | 386 | PROMOTABLE |
| Architecture | Shadow Brier | Prod Brier | Delta | n | Status |
|-------------|-------------|-----------|-------|---|--------|
| arch2 | 0.2961 | 0.3355 | (-0.0147) | 332 | accumulating |
| arch3 | 0.2835 | 0.3355 | (-0.0339) | 332 | PROMOTABLE |