The Silk - Core Forecast

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

Situation

Interest Rates↘62%
10Y yields +1.51σ above 30d mean with normal curve and stable geo-risk capping transmission
2-day forecast10Y yields likely to decline over next 2 sessions toward mean if NFP prints below 175k and no hot CPI surprise, expecting reversion from current extreme
Watch
  • 10Y yield >4.55% fails to hold
  • 2s10s spread narrows below 30bp
  • NFP <150k
26% [n=23] Brier 0.311
Financial↘59%
Small caps at ALERT (+2.10σ IWM, +2.20σ IJR) with bullish bias streak=1 but breadth momentum contracting at -4
2-day forecastSmall caps likely to mean-revert lower relative to large caps over next 2 sessions if breadth momentum stays below -3, favoring consolidation in equities
Watch
  • IWM fails to hold above 300
  • VIX rises above 17.5
  • semiconductor relative strength breaks below 1.8σ
35% [n=23] Brier 0.298
Commodity↗55%
Crude and industrial metals at 30d lows (-25.7% crude, -20.3% lithium) with grains showing 5d strength amid stable geo transmission
2-day forecastCommodity complex expected to stabilize or edge higher over next 2 sessions if no Middle East supply disruption and China demand signals remain neutral, with crude holding key level
Watch
  • crude holds above 68.50
  • copper fails to break below 6.10
  • DXY rises above 102
17% [n=23] Brier 0.355
Currency↗58%
EURUSD at -1.77σ downside extreme with USDJPY elevated on rate differentials and stable risk regime
2-day forecastEURUSD likely to rebound modestly from extremes over next 2 sessions if equity breadth does not deteriorate further and ECB signals remain dovish, triggering mean reversion
Watch
  • EURUSD holds above 1.135
  • USDCNY rises above 6.85
  • 10Y real yield falls below 2.1%
22% [n=23] Brier 0.331
Crypto→53%
BTC showing -3.8% 30d lag to equities with low vol and neutral funding in stable geo regime
2-day forecastBTC expected to trade neutrally correlated to equities over next 2 sessions unless VIX spikes above 18, with mild upside bias if ETF flows remain positive
Watch
  • BTC holds above 62000
  • ETH/BTC dominance stable
  • VIX remains below 17
30% [n=23] Brier 0.260
Direction ratio 0.78 bullish (+47pp weekly):sustained bullish bias but low conviction with contracting breadth momentum -4
Sigma intensity 1.44 (0% critical, 44% alert, 56% watch):mean reversion base rate 77% within 6d for 2σ+ signals [n=1686]

Signal

AssetPriceZ-ScoreWindowLevelTrade
IHI $52.11 +2.44σ 30d alert LONG
AMD $552.05 +2.32σ 252d alert LONG
IJR $146.81 +2.20σ 252d alert LONG
IWM $298.90 +2.10σ 252d alert LONG
TSM $451.79 +2.00σ 252d alert LONG
ALB $133.80 -1.86σ 60d watch SHORT
SOXX * $581.51 +1.85σ 252d watch LONG
EURUSD=X $1.14 -1.77σ 252d watch SHORT
^TNX $4.49 +1.51σ 252d watch LONG

Opportunity

PRIMARY
IWM vs AI proxies: short IWM/long NVDA pair on reversion
68%
PRIMARY
EURUSD: long EURUSD with tight stop below 1.13
62%
PRIMARY
10Y yields: position for lower yields on mean reversion
60%
PRIMARY
Industrial commodities (crude/copper): long crude vs short gold on relative value
55%
SECONDARY
Mean reversion in ALERT small-cap and semi signals: equity consolidation and breadth contraction
55%
SECONDARY
Commodity rebound from 30d extremes on grains strength: second-order support to commodity currencies
48%

Performance Scorecard CALIBRATED since 2026-07-07

Backtest (1042d):574/1292, 44% [42%-47%], +359.7%
Recent (7d):4/8, 50% [22%-78%], -17.1%
Brier Score:0.261 FAIL (threshold: 0.25)