# Core Forecast - 2026-06-21

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

---

## 1. Situation

### Markets

• Interest Rates: → sticky long yields but short-rate alert (+2.88σ IRX) limits broad easing
• Financial: → broadening rotation to semis/small-caps/financials with momentum
• Commodity: → soft after extended decline with contained geo limiting cascades
• Currency: → USD supported by differentials, CNY at -1.5σ
• Crypto: → stabilizing with sentiment spillovers from vol decline and equity rotation
<!-- panels-json: {"interest_rates": {"headline": "Short rates at +2.88\u03c3 ALERT amid normal curve and disinflation setup with sticky long-end", "two_day_forecast": "Short-term yields likely to stabilize while 10y drifts modestly lower over next 2 sessions if consumer sentiment holds below 50 and no hot CPI surprise, narrowing 2s/10s spread if real yields ease.", "direction": "down", "confidence": 0.54, "triggers": ["10y yield breaks below 4.40", "2s/10s spread narrows 5bp", "NFP print <180k"], "calibration": {"sample_size": 5, "hit_rate": 0.4, "brier_score": 0.28602000000000005}}, "financial": {"headline": "SOXX/AMD/IWM at +2.3-2.9\u03c3 ALERT with high dispersion and vol compression favoring selective rotation", "two_day_forecast": "Semis and small-caps likely to extend if breadth improves, with SPX/NDX expected higher over next 2 sessions if VIX stays below 17 and options skew remains supportive.", "direction": "up", "confidence": 0.58, "triggers": ["SOXX holds above current +2.5\u03c3", "IWM gains >0.8% with rising breadth", "VIX closes <16.0"], "calibration": {"sample_size": 5, "hit_rate": 0.4, "brier_score": 0.29888000000000003}}, "commodity": {"headline": "Broad commodities at -1.96\u03c3 WATCH after sharp 30d drop with stable geo risk and mixed confirmation", "two_day_forecast": "Commodities likely to mean-revert higher over next 2 sessions if no Hormuz disruption, with crude expected to test $78 if it breaks above $77 on any de-escalation signals.", "direction": "up", "confidence": 0.62, "triggers": ["Crude breaks above 77.50", "PDBC rebounds >1.0%", "No new Eastern Europe energy strikes"], "calibration": {"sample_size": 5, "hit_rate": 0.0, "brier_score": 0.4078799999999999}}, "currency": {"headline": "EURUSD at -2.11\u03c3 DOWN with USD supported by rate differentials and stable geo-risk flows", "two_day_forecast": "USD likely to hold firm over next 2 sessions with EURUSD testing lower if USDJPY remains above 160 and real-yield spreads favor dollar, while CNY stays soft.", "direction": "up", "confidence": 0.55, "triggers": ["EURUSD breaks below 1.145", "USDJPY holds >160.5", "USDCNY above 6.78"], "calibration": {"sample_size": 5, "hit_rate": 0.2, "brier_score": 0.2878}}, "crypto": {"headline": "BTC stabilizing post-13.4% 30d decline with funding tone and equity rotation as primary drivers", "two_day_forecast": "BTC likely to consolidate with mild upside bias over next 2 sessions if equities extend and perpetual funding stays neutral, provided VIX remains suppressed below 17.", "direction": "up", "confidence": 0.54, "triggers": ["BTC holds above 63000", "ETH/BTC dominance stable", "ETF flows turn positive"], "calibration": {"sample_size": 5, "hit_rate": 0.4, "brier_score": 0.2663}}} -->

### Quant

• Direction ratio at 56% bullish (+30pp weekly)
• Sigma intensity at 1.86 with 86% ALERT signals
• BULLISH_BIAS streak at 7 consecutive days
• Yield curve normal at +48bp
• Geopolitical risk 0.48 (stable)
• Dispersion index 0.75
• Direction ratio at 57% bullish (+30pp weekly) → strengthening BULLISH_BIAS with rotation into cyclicals/semis
• Breadth momentum at -11 contracting → narrowing participation signals consolidation risk despite gains
• Sigma intensity 1.86 (moderate), 0% critical/86% alert/14% watch → moderate conviction setups [n=2806]
• Dispersion index 2.22 (high) → selective strength in semis/small-caps over mega-caps consistent with thesis
• Yield curve normal (spread 48bp) → supports disinflation rotation without inversion pressures
• Geo risk score 0.48 in stable regime → contained transmission with de-escalation pathways via diplomacy
• PDBC -1.96σ DOWN after -12.4% 30d, SOXX/AMD/IWM +2.3-2.9σ UP → commodities at statistical extremes, selective risk assets in extended rally
• VIX -11.1% and MOVE -7.5% (1d) → vol compression aiding risk rotation

---

## 2. Signal

| Asset | Price | Z-Score | Window | Direction |
|-------|-------|---------|--------|-----------|
| ^IRX * | $3.66 | +2.88σ | 60d | up |
| SOXX | $639.45 | +2.86σ | 252d | up |
| AMD | $537.37 | +2.68σ | 252d | up |
| TSM | $462.12 | +2.57σ | 30d | up |
| IWM | $295.59 | +2.31σ | 252d | up |
| EURUSD=X | $1.15 | -2.11σ | 30d | down |
| PDBC | $16.50 | -1.96σ | 30d | down |
| CNY=X | $6.77 | -1.50σ | 252d | down |

---

## 3. Opportunity

- **Primary**: SOXX/IWM vs mega-cap AI: long semis/small-caps for rotation edge, exit on any VIX spike >20 (57%)
- **Primary**: PDBC/crude after -1.96σ/-28.9% 30d move: tactical long commodities for reversion, invalidated if crude <74 (63%)
- **Primary**: BTC relative to equity rotation: long BTC on dips with tight stop below 61000 (55%)
- **Secondary**: Momentum continuation in semis/small-caps at ALERT: broadens equity gains beyond mega-caps per thesis (48%)
- **Secondary**: Mean reversion in broad commodities after -1.96σ: limits vol/oil cascade supporting disinflation (54%)
- **Secondary**: Contained geopolitical risk with stable regime: reduces transmission to energy and risk premia (55%)

---

## 4. Probabilities & Metrics

| Entry | Current | 7d Slope | Decay HL | Cascade Depth |
|-------|---------|----------|----------|---------------|
| treasury_2y | 50% | N/A | TBD | 0 |
| iShares Semiconducto | 57% | N/A | TBD | 1 |
| amd | 50% | N/A | TBD | 0 |
| tsmc | 50% | N/A | TBD | 0 |
| russell2000 | 57% | -0.5pp/d | TBD | 1 |

**Performance Scorecard**:
- Backtest (1042d): 574/1292, 44%, +359.7%
- Recent (7d): 3/5, 60%, -1.3%

---

**Sources**: FRED, yfinance, Market data
**Next Calibration**: Run sentinel scanner for breakouts; Monitor: Middle East escalation (Hormuz threats materialize) transmitting to oil +15% and vol spike; Monitor: Inflation reacceleration (CPI >0.5% surprise) reversing front-end easing expectations; Track: SOXX/IWM vs mega-cap AI pricing; Track: PDBC/crude after -1.96σ/-28.9% 30d move pricing
---

## 5. Shadow Experiments (DS8)

| arch1 | 0.2990 | 0.3357 | (-0.0200) | 392 | PROMOTABLE |
| Architecture | Shadow Brier | Prod Brier | Delta | n | Status |
|-------------|-------------|-----------|-------|---|--------|
| arch2 | 0.2971 | 0.3357 | (-0.0139) | 338 | accumulating |
| arch3 | 0.2848 | 0.3357 | (-0.0327) | 338 | PROMOTABLE |