The Silk - Core Forecast

2026-06-25 04:34 · v1.0
MEDIUM CONFIDENCE

Situation

Interest Rates↘65%
Short-term rates at +2.88σ alert extension while yield curve stays normal at 48bp ahead of data releases and stable geo risk
2-day forecastShort-term rates likely to revert lower over next 2 sessions if CPI remains contained and real-yield trajectory eases, triggering mean reversion from alert levels.
Watch
  • ^IRX drops below 5d average
  • 2s/10s spread narrows by 5bp+
  • Treasury 2Y falls below 3.60%
36% [n=11] Brier 0.297
Financial↘58%
SOXX, IWM and AMD at +2.3σ alert upside extensions amid contracting breadth momentum -6 and high dispersion
2-day forecastEquities likely to pull back over next 2 sessions if VIX rises above 19 or momentum velocity turns negative, with mean reversion from alert levels outweighing bullish bias.
Watch
  • SOXX falls below 5d MA
  • IWM underperforms SPX by 0.5%+
  • breadth momentum < -8
27% [n=11] Brier 0.301
Commodity↗67%
PDBC and crude at -2.65σ with sharp 30d declines amid ample supply buffers and stable geopolitical regime
2-day forecastCommodities likely to rebound over next 2 sessions if USD eases or China demand signals appear, driving mean reversion from current statistical extremes.
Watch
  • crude_oil > $71
  • PDBC gains >1.8%
  • gold reverses to +0.8% 1d
0% [n=11] Brier 0.405
Currency↗64%
EURUSD at -2.74σ extension lower with contained geo risk score 0.48 and ongoing backchannel diplomacy
2-day forecastEURUSD likely to mean-revert higher over next 2 sessions if real-yield spreads narrow or risk sentiment holds, correcting from alert lows.
Watch
  • EURUSD > 1.135
  • DXY falls >0.4%
  • USDCNY stable <6.82
36% [n=11] Brier 0.281
Crypto→57%
BTC near 61k with mild 5d weakness, high dispersion and no direct sigma signal amid mixed AI proxies
2-day forecastCrypto likely to consolidate neutrally over next 2 sessions unless equity reversion intensifies or ETF flows shift notably.
Watch
  • BTC holds >60000
  • funding rates stay neutral
  • BTC/NDX correlation drops below 0.6
36% [n=11] Brier 0.265
Direction ratio:0.56 bullish (+14pp weekly) → moderate bullish bias but contracting breadth momentum at -6 signals narrowing participation
Sigma intensity:1.67 (moderate), alert_pct: 0.67 → multiple ALERT setups favor mean reversion within 4 days at 77% [n=1686]

Signal

AssetPriceZ-ScoreWindowLevelTrade
^IRX * $3.66 +2.88σ 60d alert LONG
EURUSD=X $1.14 -2.74σ 60d alert SHORT
PDBC $15.78 -2.65σ 60d alert SHORT
AMD $519.74 +2.35σ 252d alert LONG
SOXX $601.50 +2.31σ 252d alert LONG
IWM $296.69 +2.26σ 252d alert LONG
TSM $440.83 +1.99σ 252d watch LONG
ALB $147.84 -1.92σ 60d watch SHORT
NVDA $199.00 -1.67σ 30d watch SHORT

Opportunity

PRIMARY
SOXX/IWM/AMD: tactical short or hedge into 4-day window
62%
PRIMARY
EURUSD: long EURUSD with defined 4-day exit
64%
PRIMARY
PDBC/crude oil: long commodities basket on any further dip
67%
PRIMARY
^IRX/short-term rates: short short-term rates or T-bill proxies
70%
SECONDARY
Mean reversion after ALERT extensions: drives near-term stabilization in rates, FX, commodities after 2-3σ moves
61%
SECONDARY
Geopolitical de-escalation equilibria: weak transmission to commodities and contained safe-haven bids
47%

Performance Scorecard CALIBRATED since 2026-06-25

Backtest (1042d):574/1292, 44% [42%-47%], +359.7%
Recent (7d):4/7, 57% [25%-84%], -1.1%
Brier Score:0.261 FAIL (threshold: 0.25)