The Silk - Core Forecast

2026-06-29 04:34 · v1.0
MEDIUM CONFIDENCE

Situation

Interest Rates↘60%
Normal curve with declining vol gauges and weak sentiment sets up for modest front-end easing bias
2-day forecastYields likely to drift lower over next 2 sessions if consumer sentiment stays below 45 and no NFP surprise, with 10Y testing toward 4.30% on disinflation signals.
Watch
  • 10Y yield breaks below 4.35
  • MOVE index <65
  • Consumer sentiment print confirms <45
46% [n=13] Brier 0.272
Financial↗58%
IWM +2.35σ and AMD +2.27σ UP versus NVDA -1.99σ sets up for breadth continuation over AI leadership
2-day forecastSmall caps and defensives likely to outperform if IWM holds above 299 and VIX stays below 19 over next 2 sessions, broadening participation.
Watch
  • IWM 2d return >+0.5%
  • NVDA lags SPX by >0.5%
  • Healthcare sector >+1%
31% [n=13] Brier 0.296
Commodity↗72%
PDBC -2.26σ DOWN and broad -9.8% 30d sets up for near-term mean reversion within persistent disinflation trend
2-day forecastCommodity prices likely to stabilize or rebound modestly over next 2 sessions if no supply disruption news, with crude holding above 68 unless geo escalates.
Watch
  • PDBC 2d return >-0.5%
  • Crude above $68.50
  • No confirmed Hormuz disruption
8% [n=13] Brier 0.390
Currency↗70%
EURUSD -2.62σ DOWN with stable geo risk and normal curve sets up for mean reversion higher
2-day forecastEURUSD likely to recover if rate differentials do not widen and sentiment data reinforces soft landing over next 2 sessions, targeting above 1.145.
Watch
  • EURUSD >1.145
  • USDJPY holds below 163
  • 10Y-2Y spread >40bp
31% [n=13] Brier 0.297
Crypto→55%
BTC near flat with declining 30d returns and equity dispersion sets up for neutral trading tied to rates and breadth
2-day forecastCrypto expected to trade neutrally if VIX falls below 18 and breadth persists, but likely to lag if AI proxies rebound over next 2 sessions.
Watch
  • BTC holds above 59000
  • VIX <18.5
  • ETH/BTC dominance stable
38% [n=13] Brier 0.260

Signal

AssetPriceZ-ScoreWindowLevelTrade
EURUSD=X $1.14 -2.62σ 252d alert SHORT
ALB $133.70 -2.45σ 60d alert SHORT
IWM $299.83 +2.35σ 252d alert LONG
AMD $521.58 +2.27σ 252d alert LONG
PDBC $15.87 -2.26σ 60d alert SHORT
SOXX * $589.94 +2.10σ 252d alert LONG
NVDA $192.53 -1.99σ 30d watch SHORT
^IRX * $3.66 +1.87σ 60d watch LONG
TSM $432.35 +1.78σ 252d watch LONG

Opportunity

PRIMARY
PDBC and industrial commodities: Fade rebounds in energy/industrials; long defensives and breadth
62%
PRIMARY
IWM/russell2000 vs NVDA/AI leadership: Long IWM/financials/healthcare, relative short mega-cap AI
59%
PRIMARY
EURUSD: Long EURUSD on further dips below 1.14 with tight stop
70%
SECONDARY
Commodity disinflation persistence: Supports equity breadth, defensives, and flatter USD; updated +7pp on crude -21.3% 30d, PDBC -2.26σ and sentiment drop
53%
SECONDARY
Equity breadth continuation (IWM/AMD vs NVDA): Favors small caps, financials, healthcare; aligns with high dispersion and thesis base case
50%
SECONDARY
EURUSD mean reversion after -2.62σ: Flatter dollar vs developed FX; updated +5pp on sigma signal strength
60%

Performance Scorecard CALIBRATED since 2026-06-29

Backtest (1042d):574/1292, 44% [42%-47%], +359.7%
Recent (7d):2/8, 25% [7%-59%], -32.4%
Brier Score:0.261 FAIL (threshold: 0.25)