The Silk - Core Forecast

2026-07-06 04:35 · v1.0
MEDIUM CONFIDENCE

Situation

Interest Rates↘62%
10Y yields at +1.51σ watch level with normal curve, stable 0.38 geo risk and anchored fed funds
2-day forecastYields likely to mean revert lower over next 2 sessions if ^TNX remains above +1.5σ, with any de-escalation leaks from Eastern Europe/Middle East hotspots triggering dip toward 4.40%.
Watch
  • ^TNX drops below +1.0σ
  • 2s/10s spread narrows >5bp
  • VIX rises above 18
30% [n=20] Brier 0.307
Financial↘63%
Small caps (IWM/IJR +2.06-2.20σ) and AMD at alert UP with 71% bullish direction ratio but -7 breadth momentum
2-day forecastEquities likely to mean revert over next 2 sessions with small-cap outperformance fading if IWM sigma stays above +2.0, leading SPX to trade flat-to-lower on reduced breadth.
Watch
  • IWM falls below +1.0σ
  • Russell2000 underperforms SPX >0.8%
  • Financials sector reverses >1.5%
30% [n=20] Brier 0.303
Commodity↗54%
Grains surging (corn +13.2% 5d) offset by crude -28.5% 30d and ALB -1.87σ with low geo transmission
2-day forecastCommodity basket expected to stabilize mildly higher over next 2 sessions if no Hormuz disruption materializes and USD eases, with ag momentum continuing on supply prints.
Watch
  • Crude holds above 68
  • Corn gains >3%
  • Gold tests above 4200
15% [n=20] Brier 0.367
Currency↘61%
EURUSD at -1.91σ DOWN extreme with firm USDJPY and low EM stress in stable geo regime
2-day forecastEURUSD likely to rebound over next 2 sessions via mean reversion if it remains below 1.135, expecting USD to weaken on any positive risk data or central-bank divergence signals.
Watch
  • EURUSD >1.145
  • USDJPY <161
  • DXY drops >0.4%
25% [n=20] Brier 0.328
Crypto↘54%
BTC -5.2% 30d with no direct sigma signal amid equity alert extremes and low funding tone
2-day forecastCrypto expected to follow equity mean reversion lower over next 2 sessions if BTC fails to reclaim 64000, with spot ETF flows or VIX spike as catalyst.
Watch
  • BTC <61000
  • ETH underperforms >2%
  • VIX >17.5
30% [n=20] Brier 0.260
Direction ratio 71% bullish (+38pp weekly):low-conviction regime with mean-reversion setups dominant for 2σ+ moves [n=1686]
Breadth momentum -7 contracting:favors rotation away from alert extremes in small caps despite BULLISH_BIAS streak of 1 day

Signal

AssetPriceZ-ScoreWindowLevelTrade
IHI * $51.88 +2.46σ 30d alert LONG
IJR * $146.48 +2.20σ 252d alert LONG
IWM $297.58 +2.06σ 252d alert LONG
AMD $517.82 +2.06σ 252d alert LONG
EURUSD=X $1.14 -1.91σ 252d watch SHORT
ALB $135.56 -1.87σ 60d watch SHORT
SOXX $566.32 +1.73σ 252d watch LONG
TSM $434.16 +1.69σ 252d watch LONG
^TNX $4.49 +1.51σ 252d watch LONG

Opportunity

PRIMARY
IWM at +2.06σ vs AI proxies: Short relative IWM strength into breadth contraction
72%
PRIMARY
EURUSD at -1.91σ: Long EURUSD on mean-reversion setup
64%
PRIMARY
10Y yields +1.51σ: Position for lower long-end yields if no NFP beat
62%
PRIMARY
Industrial commodities (crude/copper): Short industrial basket into any China demand weakness
59%
SECONDARY
Equity breadth expansion (small caps/financials/healthcare): supports risk-on but capped by 77% mean-reversion base rate at 2σ+
47%
SECONDARY
IWM outperformance vs AI proxies (NVDA/AMD concentration): reflects rotation; likely to revert per alert sigma
54%

Performance Scorecard CALIBRATED since 2026-07-06

Backtest (1042d):574/1292, 44% [42%-47%], +359.7%
Recent (7d):0/3, 0% [0%-56%], -16.9%
Brier Score:0.261 FAIL (threshold: 0.25)