# Core Forecast - 2026-06-22

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

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## 1. Situation

### Markets

• Interest Rates: → short rates at +2.88σ extremes set up for mean reversion lower
• Financial: → at statistical extremes with 77% mean-reversion likelihood [n=1686]
• Commodity: → broad weakness at lows with de-escalation capping disruption premia
• Currency: → USD strength but EUR at extremes suggesting stabilization
• Crypto: → mild momentum in stable geo regime with no sigma extremes
<!-- panels-json: {"interest_rates": {"headline": "Short-term yields at +2.88\u03c3 ALERT with stable curve and contained geo risks opening clear de-escalation paths", "two_day_forecast": "Yields likely to mean-revert lower over next 2 sessions if NFP/CPI schedule stays quiet and no escalation news emerges, anchored to 77% base rate for 2\u03c3+ moves", "direction": "down", "confidence": 0.65, "triggers": ["10Y yield breaks below 4.40", "2s/10s spread changes by >8bp", "VIX holds below 19"], "calibration": {"sample_size": 6, "hit_rate": 0.5, "brier_score": 0.2800166666666667}}, "financial": {"headline": "Semis and small caps at ALERT extremes (SOXX +2.86\u03c3, IWM +2.31\u03c3) after momentum run with contracting breadth and high dispersion", "two_day_forecast": "Equities likely to pull back over next 2 sessions via mean reversion if VIX rises above 18 or breadth momentum stays below -8, per 77% calibration on 2\u03c3+ signals", "direction": "down", "confidence": 0.62, "triggers": ["SOXX closes below 210", "IWM declines >1.0%", "VIX breaks above 18.5"], "calibration": {"sample_size": 6, "hit_rate": 0.3333333333333333, "brier_score": 0.3013333333333334}}, "commodity": {"headline": "Broad commodities at -1.96\u03c3 WATCH lows with crude -23% on 30d but stable regime lowering supply shock transmission per GMT2", "two_day_forecast": "Commodity prices likely to rebound modestly over next 2 sessions if de-escalation signals persist and China prints confirm demand floor", "direction": "up", "confidence": 0.58, "triggers": ["Crude oil holds above 74.00", "PDBC gains >0.8%", "Lithium reverses +2%"], "calibration": {"sample_size": 6, "hit_rate": 0.0, "brier_score": 0.41696666666666665}}, "currency": {"headline": "EURUSD at -2.23\u03c3 ALERT low with USDJPY grinding higher on differentials while geo risk remains stable", "two_day_forecast": "EURUSD likely to stabilize or mildly recover over next 2 sessions if equities hold and rate differentials do not widen further", "direction": "up", "confidence": 0.56, "triggers": ["EURUSD breaks above 1.152", "USDJPY fails 162.50", "USDCNY stays under 6.80"], "calibration": {"sample_size": 6, "hit_rate": 0.16666666666666666, "brier_score": 0.29025}}, "crypto": {"headline": "BTC showing short-term positive momentum without sigma extremes in low geo-risk environment with stable ETF flows", "two_day_forecast": "Crypto likely to consolidate with slight upside bias over next 2 sessions if tech proxies remain firm and funding rates stay neutral", "direction": "up", "confidence": 0.54, "triggers": ["BTC holds above 63000", "ETH/BTC ratio stable", "ETF net flows positive"], "calibration": {"sample_size": 6, "hit_rate": 0.5, "brier_score": 0.26031666666666664}}} -->

### Quant

• Direction ratio at 62% bullish (+31pp weekly)
• Sigma intensity at 1.75 with 75% ALERT signals
• BULLISH_BIAS streak at 7 consecutive days
• Yield curve normal at +48bp
• Geopolitical risk 0.38 (stable)
• Dispersion index 2.12
Direction ratio 0.62 bullish (+31pp weekly) → sustained bullish bias with broadening equity participation [n=1042]
Sigma intensity 1.75 moderate, signal distribution 0% critical / 75% alert / 25% watch → mean-reversion setups dominant (77% hit rate within 6d) [n=1686]
Breadth momentum -8 contracting, dispersion index 2.12 high → stock-specific moves prevail over coordinated trends
Yield curve normal with 48bp spread → stable transmission, no stress signals in rates configuration
Geo risk score 0.38 in stable regime → contained hotspots with active ceasefire diplomacy limiting transmission per GMT1 [n=null]
Tech/small-caps at ALERT extremes (SOXX +2.86σ, IWM +2.31σ) while PDBC -1.96σ → mixed at statistical extremes favoring reversion over continuation
Commodities -12.4% 30d with crude -23.2% 30d → muted supply disruption fears given de-escalation equilibria

---

## 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 | +2.67σ | 252d | up |
| TSM | $462.12 | +2.57σ | 30d | up |
| IWM | $295.59 | +2.31σ | 252d | up |
| EURUSD=X | $1.15 | -2.23σ | 30d | down |
| PDBC | $16.50 | -1.96σ | 30d | down |

---

## 3. Opportunity

- **Primary**: SOXX: short semis or buy vol for 4-day hold targeting 2-4% pullback (64%)
- **Primary**: lithium: long lithium futures for mean-reversion edge over next 4 days (57%)
- **Primary**: crude_oil: long crude with tight stop for 4-day convexity (59%)
- **Secondary**: Mean reversion from ALERT sigma in tech and small caps: modest 1-3% equity pullback over 4 days (55%)
- **Secondary**: Geopolitical de-escalation equilibria in Ukraine and Middle East: caps commodity volatility and supports risk assets with low transmission (58%)
- **Secondary**: Commodity rebound from WATCH lows on muted supply fears: stabilization in oil and lithium reducing input cost pressures (49%)

---

## 4. Probabilities & Metrics

| Entry | Current | 7d Slope | Decay HL | Cascade Depth |
|-------|---------|----------|----------|---------------|
| treasury_2y | 50% | N/A | TBD | 0 |
| iShares Semiconducto | 64% | N/A | TBD | 1 |
| amd | 50% | N/A | TBD | 0 |
| tsmc | 50% | N/A | TBD | 0 |
| russell2000 | 50% | N/A | TBD | 0 |

**Performance Scorecard**:
- Backtest (1042d): 574/1292, 44%, +359.7%
- Recent (7d): 0/2, 0%, -9.5%

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**Sources**: FRED, yfinance, Market data
**Next Calibration**: Run sentinel scanner for breakouts; Monitor: Sudden breakdown in Ukraine ceasefire talks escalating infrastructure strikes; Monitor: Iranian proxy disruption of Gulf shipping despite Vienna talks; Track: SOXX pricing; Track: lithium pricing
---

## 5. Shadow Experiments (DS8)

| arch1 | 0.3000 | 0.3356 | (-0.0189) | 398 | accumulating |
| Architecture | Shadow Brier | Prod Brier | Delta | n | Status |
|-------------|-------------|-----------|-------|---|--------|
| arch2 | 0.2971 | 0.3356 | (-0.0144) | 344 | accumulating |
| arch3 | 0.2853 | 0.3356 | (-0.0323) | 344 | PROMOTABLE |