The Silk - Core Forecast

2026-07-01 04:34 · v1.0
MEDIUM CONFIDENCE

Situation

Interest Rates↘57%
Normal curve with weak consumer sentiment and stable geo risk (0.38) setting up for front-end easing while long yields remain sticky
2-day forecastYields likely to edge lower over next 2 sessions if real-yield trajectory stays below recent highs and no hot data surprises, with 10y holding under 4.5% trigger.
Watch
  • 10Y yield breaks below 4.30%
  • 2s10s spread narrows 5bp
  • VIX holds below 17
35% [n=17] Brier 0.300
Financial↘62%
IWM/AMD/TSM at +2.3-2.7σ ALERT with high dispersion and NVDA 30d lag creating mean-reversion setup after bullish direction ratio shift
2-day forecastBroad indices and small caps likely to consolidate over next 2 sessions given 77% mean-reversion rate on 2σ+ moves [n=1686] if VIX expands above 17 or breadth momentum stays negative.
Watch
  • IWM pulls back >1%
  • VIX >18
  • Sigma intensity >2.0
35% [n=17] Brier 0.291
Commodity↗68%
PDBC -2.02σ DOWN and broad commodities -9.9% 30d with contained geopolitical transmission (stable regime) opening disinflation channel
2-day forecastCommodity complex likely to stabilize with mild mean-reversion upside bias over next 2 sessions if no hotspot escalation, triggered by crude holding above 68.
Watch
  • Crude above 70
  • PDBC > -1.5σ
  • Geo risk score <0.4
12% [n=17] Brier 0.374
Currency↗64%
EURUSD -2.03σ DOWN with modest USD bid and stable yield curve setting up for mean reversion amid Fed-ECB divergence
2-day forecastEURUSD likely to mean-revert higher over next 2 sessions toward 1.145 if risk sentiment holds and USDJPY fails 163.5 trigger on compressed real-yield spreads.
Watch
  • EURUSD >1.145
  • USDJPY <162
  • DXY <100.5
24% [n=17] Brier 0.330
Crypto→55%
BTC decoupling at -4.6% 30d from equity breadth rally and low VIX with stable geo risk limiting safe-haven flows
2-day forecastBTC expected to trade neutrally or mild upside over next 2 sessions if equity consolidation limited and ETF flows stable, unless funding rates shift tone.
Watch
  • BTC >60000
  • VIX >18
  • ETH dominance shift >1%
29% [n=17] Brier 0.263
Direction ratio 56% bullish (+24pp weekly):sustained bullish bias with high dispersion favoring rotation [n=2806]
Breadth momentum -6 contracting:signals potential consolidation amid high dispersion index 2.17

Signal

AssetPriceZ-ScoreWindowLevelTrade
AMD $580.91 +2.71σ 252d alert LONG
TSM $477.57 +2.57σ 252d alert LONG
SOXX $640.76 +2.51σ 252d alert LONG
IWM $300.45 +2.31σ 252d alert LONG
ALB * $135.03 -2.09σ 60d alert SHORT
EURUSD=X * $1.14 -2.03σ 252d alert SHORT
PDBC $15.88 -2.02σ 60d alert SHORT
^IRX $3.66 +1.87σ 60d watch LONG

Opportunity

PRIMARY
PDBC and industrial commodities: Short industrial exposure or long defensives; 72% per 4-day trade [n=1686], updated +7pp on new data confirming low transmission
72%
PRIMARY
IWM/russell2000 vs NVDA/AI leadership: Long IWM/AMD basket vs short NVDA; 67% per 4-day trade [n=128], updated +3pp on sigma signals
67%
PRIMARY
EURUSD after -2.03σ: Long EURUSD; 64% per 4-day trade [n=1686], updated +10pp from prior on base rate anchor and stable regime
64%
SECONDARY
Commodity disinflation persistence (PDBC -2.02σ, broad -9.9% 30d): supports equity breadth and defensives per base case, limited by GMT4 de-escalation paths
61%
SECONDARY
Equity breadth continuation (IWM +2.31σ, AMD/TSM +2.5-2.7σ vs NVDA lag): favors small caps/financials/healthcare over mega AI, updating +3pp on new sigma data
57%
SECONDARY
EURUSD mean reversion after -2.03σ: flatter USD path vs developed FX, updating +10pp from base rate 77% [n=1686] and stable geo
54%

Performance Scorecard CALIBRATED since 2026-07-01

Backtest (1042d):574/1292, 44% [42%-47%], +359.7%
Recent (7d):5/5, 100% [57%-100%], +12.6%
Brier Score:0.261 FAIL (threshold: 0.25)