# Core Forecast - 2026-06-25

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

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## 1. Situation

### Markets

• Interest Rates: → short-term rates at alert extension likely to mean-revert lower
• Financial: → at alert upside extremes with contracting breadth, mean reversion down probable at 58% [n=1247]
• Commodity: → extended declines at statistical extremes, mean reversion up likely
• Currency: → EURUSD at alert lows, corrective rebound expected as geo transmission weak
• Crypto: → consolidation likely with neutral-to-slight upside bias amid equity mixed signals
<!-- panels-json: {"interest_rates": {"headline": "Short-term rates at +2.88\u03c3 alert extension while yield curve stays normal at 48bp ahead of data releases and stable geo risk", "two_day_forecast": "Short-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.", "direction": "down", "confidence": 0.65, "triggers": ["^IRX drops below 5d average", "2s/10s spread narrows by 5bp+", "Treasury 2Y falls below 3.60%"], "calibration": {"sample_size": 11, "hit_rate": 0.36363636363636365, "brier_score": 0.2974727272727273}}, "financial": {"headline": "SOXX, IWM and AMD at +2.3\u03c3 alert upside extensions amid contracting breadth momentum -6 and high dispersion", "two_day_forecast": "Equities 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.", "direction": "down", "confidence": 0.58, "triggers": ["SOXX falls below 5d MA", "IWM underperforms SPX by 0.5%+", "breadth momentum < -8"], "calibration": {"sample_size": 11, "hit_rate": 0.2727272727272727, "brier_score": 0.30106363636363637}}, "commodity": {"headline": "PDBC and crude at -2.65\u03c3 with sharp 30d declines amid ample supply buffers and stable geopolitical regime", "two_day_forecast": "Commodities likely to rebound over next 2 sessions if USD eases or China demand signals appear, driving mean reversion from current statistical extremes.", "direction": "up", "confidence": 0.67, "triggers": ["crude_oil > $71", "PDBC gains >1.8%", "gold reverses to +0.8% 1d"], "calibration": {"sample_size": 11, "hit_rate": 0.0, "brier_score": 0.40508181818181815}}, "currency": {"headline": "EURUSD at -2.74\u03c3 extension lower with contained geo risk score 0.48 and ongoing backchannel diplomacy", "two_day_forecast": "EURUSD likely to mean-revert higher over next 2 sessions if real-yield spreads narrow or risk sentiment holds, correcting from alert lows.", "direction": "up", "confidence": 0.64, "triggers": ["EURUSD > 1.135", "DXY falls >0.4%", "USDCNY stable <6.82"], "calibration": {"sample_size": 11, "hit_rate": 0.36363636363636365, "brier_score": 0.2809818181818182}}, "crypto": {"headline": "BTC near 61k with mild 5d weakness, high dispersion and no direct sigma signal amid mixed AI proxies", "two_day_forecast": "Crypto likely to consolidate neutrally over next 2 sessions unless equity reversion intensifies or ETF flows shift notably.", "direction": "neutral", "confidence": 0.57, "triggers": ["BTC holds >60000", "funding rates stay neutral", "BTC/NDX correlation drops below 0.6"], "calibration": {"sample_size": 11, "hit_rate": 0.36363636363636365, "brier_score": 0.2654636363636364}}} -->

### Quant

• Direction ratio at 56% bullish (+14pp weekly)
• Sigma intensity at 1.67 with 67% 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: 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]
• Dispersion index: 2.19 (high) → stock-specific moves dominate in high-dispersion environment
• Yield curve: normal with 48bp spread → stable macro backdrop supportive of risk in expansion regime
• Geo risk score: 0.48, stable regime → weak transmission to commodities with de-escalation equilibria at 55% (updated +8pp from backchannel diplomacy and contained hotspots)
• Signal distribution: 0% critical, 67% alert, 33% watch → several 2-3σ moves poised for reversion rather than continuation
• VIX 18.01 (+9.8% 5d) vs MOVE -23.4% 30d → volatility divergence implies contained near-term equity downside

---

## 2. Signal

| Asset | Price | Z-Score | Window | Direction |
|-------|-------|---------|--------|-----------|
| ^IRX * | $3.66 | +2.88σ | 60d | up |
| EURUSD=X | $1.14 | -2.74σ | 60d | down |
| PDBC | $15.78 | -2.65σ | 60d | down |
| AMD | $519.74 | +2.35σ | 252d | up |
| SOXX | $601.50 | +2.31σ | 252d | up |
| IWM | $296.69 | +2.26σ | 252d | up |
| TSM | $440.83 | +1.99σ | 252d | up |
| ALB | $147.84 | -1.92σ | 60d | down |
| NVDA | $199.00 | -1.67σ | 30d | down |

---

## 3. 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%)

---

## 4. Probabilities & Metrics

| Entry | Current | 7d Slope | Decay HL | Cascade Depth |
|-------|---------|----------|----------|---------------|
| treasury_2y | 70% | N/A | TBD | 1 |
| eurusd | 50% | N/A | TBD | 0 |
| Invesco Optimum Yiel | 67% | N/A | TBD | 1 |
| amd | 62% | N/A | TBD | 1 |
| iShares Semiconducto | 62% | N/A | TBD | 1 |

**Performance Scorecard**:
- Backtest (1042d): 574/1292, 44%, +359.7%
- Recent (7d): 4/7, 57%, -1.1%

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**Sources**: FRED, yfinance, Market data
**Next Calibration**: Run sentinel scanner for breakouts; Monitor: Middle East proxy escalation disrupting oil supply despite current stable regime; Monitor: Hotter-than-expected CPI shifting Fed path and breaking mean-reversion in rates; Track: SOXX/IWM/AMD pricing; Track: EURUSD pricing
---

## 5. Shadow Experiments (DS8)

| arch1 | 0.3029 | 0.3353 | (-0.0154) | 416 | accumulating |
| Architecture | Shadow Brier | Prod Brier | Delta | n | Status |
|-------------|-------------|-----------|-------|---|--------|
| arch2 | 0.2986 | 0.3353 | (-0.0133) | 362 | accumulating |
| arch3 | 0.2868 | 0.3353 | (-0.0309) | 362 | PROMOTABLE |