The Silk - Core Forecast

2026-07-11 04:34 · v1.0
MEDIUM CONFIDENCE

Situation

Interest Rates→57%
TNX at +1.91σ above 30-day mean with normal curve and stable geo-risk setting up for consolidation ahead of data releases
2-day forecastYields likely to stabilize over next 2 sessions if NFP expectations hold; expect limited upside if 10Y remains below 4.60%
Watch
  • 10Y yield crosses above 4.60%
  • 2s10s spread narrows below 20bp
  • VIX spikes above 17
27% [n=26] Brier 0.309
Financial↗56%
IJR and AMD at +1.95σ and +2.23σ above 30-day means with low VIX setting up for momentum test in small-caps and semis
2-day forecastFinancials and small-caps likely to see mild continuation higher over next 2 sessions if Russell holds above 295; bear-trap reversal possible on weak breadth
Watch
  • IJR holds above 296 level
  • VIX stays below 15.5
  • NDX breadth expands >0.5%
42% [n=26] Brier 0.282
Commodity↗55%
Lithium and LIT at -1.83σ and -2.13σ below 30-day means with crude rebounding from -19% (30d) and weak geo transmission setting up for mean-reversion probe
2-day forecastCommodities likely to stabilize with metals rebounding if China demand signals improve over next 2 sessions; expect crude to hold range unless escalation trigger
Watch
  • Crude holds above 70.00
  • Lithium price rises >2%
  • Broad commodity index above 16.50
23% [n=26] Brier 0.352
Currency↗57%
EURUSD at -1.82σ below 30-day mean with stable rate differentials and low EM stress setting up for potential rebound from extremes
2-day forecastEURUSD likely to rebound modestly over next 2 sessions if USDJPY fails to break 162.5; expect mild USD softening on de-escalation flows
Watch
  • EURUSD crosses above 1.145
  • USDJPY holds below 162.0
  • USDCNY above 6.82
19% [n=26] Brier 0.332
Crypto→54%
BTC in low-vol consolidation with neutral funding and stable dominance setting up for range trade amid equity momentum
2-day forecastCrypto likely to hold steady or edge higher over next 2 sessions if BTC stays above 63000; expect continuation unless equity reversal triggers
Watch
  • BTC holds above 63000
  • ETH/BTC dominance stable
  • VIX remains below 16
31% [n=26] Brier 0.259
Direction ratio 0.62:mild net bullish tilt with 4 up / 3 down signals
Breadth momentum +0.8pp weekly:small-cap participation improving

Signal

AssetPriceZ-ScoreWindowLevelTrade
AMD $557.89 +2.23σ 252d alert LONG
LIT * $72.32 -2.13σ 60d alert SHORT
IJR $145.56 +1.95σ 252d watch LONG
^TNX $4.57 +1.91σ 252d watch LONG
IWM $295.99 +1.84σ 252d watch LONG
ALB $126.05 -1.83σ 60d watch SHORT
EURUSD=X $1.14 -1.82σ 252d watch SHORT
SOXX * $581.34 +1.77σ 252d watch LONG
TSM $434.11 +1.59σ 252d watch LONG

Opportunity

PRIMARY
ALB: long bias with defined stop below recent low for convexity
56%
PRIMARY
EURUSD: long EURUSD vs consensus USD strength; invalidates on break below 1.13
57%
PRIMARY
IJR: tactical long small-caps with tight 2-day exit; falsified if VIX >17
58%
SECONDARY
Mean reversion in WATCH decliners (ALB, EURUSD, LIT): moderate on materials and FX with second-order equity lift
48%
SECONDARY
Momentum continuation in WATCH financial signals (IJR, IWM, AMD): supports broad indices but capped by LJ3 bear-case overweight
48%
SECONDARY
Low VIX regime persistence with yield stabilization: supports equity breadth but creates uncompensated short convexity tail
52%

Performance Scorecard CALIBRATED since 2026-07-11

Backtest (1042d):574/1292, 44% [42%-47%], +359.7%
Recent (7d):1/8, 12% [2%-47%], -13.9%
Brier Score:0.261 FAIL (threshold: 0.25)