# Core Forecast - 2026-07-13

**Version**: v1.0
**Generated**: 04:35
**Confidence Cone**: medium

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## 1. Situation

### Markets

• Interest Rates: → WATCH-level yield extension likely to mean-revert lower per 77% base rate [n=1686]
• Financial: → selective momentum at extremes set for pause, consistent with defensive AI leadership
• Commodity: → energy/ag rebound with metals weakness; contained geo transmission limits cascade
• Currency: → mild USD firmness vs EUR with limited EM stress or safe-haven flows
• Crypto: → stable, tracking equity resilience without independent confirmation of breakout
<!-- panels-json: {"interest_rates": {"headline": "TNX at +1.89\u03c3 WATCH in normal curve with stable 0.38 geo risk and mixed sentiment data setting up for mean reversion", "two_day_forecast": "10Y yields likely to revert lower over next 2 sessions if weak consumer sentiment persists and real-yield trajectory does not spike, keeping curve spread near current levels.", "direction": "down", "confidence": 0.65, "triggers": ["TNX closes below 4.40", "2s/10s spread widens beyond 95bp", "MOVE index falls below 65"], "calibration": {"sample_size": 27, "hit_rate": 0.25925925925925924, "brier_score": 0.31343333333333334}}, "financial": {"headline": "AMD at +2.22\u03c3 ALERT and small caps at +1.8-1.9\u03c3 WATCH with contracting breadth and VIX -1.77\u03c3 setting up for near-term mean reversion", "two_day_forecast": "Momentum names like AMD likely to mean-revert lower over next 2 sessions if VIX rises above 17, while broad indices consolidate unless dispersion narrows sharply.", "direction": "down", "confidence": 0.62, "triggers": ["AMD closes below 540", "VIX rises above 17.5", "IWM underperforms SPX by 0.8%"], "calibration": {"sample_size": 27, "hit_rate": 0.4074074074074074, "brier_score": 0.2849296296296296}}, "commodity": {"headline": "Crude rebounding +5% over 5d while lithium/ALB at -1.83\u03c3 and ags firm in contained geo transmission regime", "two_day_forecast": "Energy to stabilize and oversold metals like lithium likely to mean-revert higher over next 2 sessions if no Middle East escalation and China demand signals remain neutral.", "direction": "neutral", "confidence": 0.58, "triggers": ["Crude holds above 73.50", "Lithium rises above 128", "Broad commodity index above 16.6"], "calibration": {"sample_size": 27, "hit_rate": 0.2222222222222222, "brier_score": 0.3531740740740741}}, "currency": {"headline": "EURUSD with -59 momentum trending down and USD firm on rate differentials amid stable geo risk and low EM stress", "two_day_forecast": "EURUSD likely to weaken further over next 2 sessions if US real-yield spreads hold and central bank divergence persists, with DXY testing higher.", "direction": "down", "confidence": 0.56, "triggers": ["EURUSD breaks below 1.135", "USDJPY rises above 163", "USDCNY above 6.82"], "calibration": {"sample_size": 27, "hit_rate": 0.18518518518518517, "brier_score": 0.3341666666666667}}, "crypto": {"headline": "BTC stable near 64k with low vol, futures basis neutral and aligned with AI equity leadership in low-panic regime", "two_day_forecast": "BTC likely to consolidate with mild upside bias over next 2 sessions if equity breadth does not deteriorate and spot ETF flows stay positive.", "direction": "up", "confidence": 0.54, "triggers": ["BTC breaks above 65500", "ETH/BTC dominance rises 1%", "Perpetual funding rate stays positive"], "calibration": {"sample_size": 27, "hit_rate": 0.2962962962962963, "brier_score": 0.2590037037037037}}} -->

### Quant

• Direction ratio at 62% bullish (+10pp weekly)
• Sigma intensity at 1.12 with 12% ALERT signals
• BULLISH_BIAS streak at 7 consecutive days
• Yield curve normal at +88bp
• Geopolitical risk 0.38 (stable)
• Dispersion index 1.72
• Direction ratio 0.62 bullish (+10pp weekly) → moderate bullish bias with contracting breadth momentum at -6
• Sigma intensity 1.12 (low conviction) with 0% critical, 12% alert, 88% watch [n=2806] → mean-reversion favored on 2σ+ at 77% within 6d [n=1686]
• Dispersion index 1.72 → moderate dispersion supporting selective AI leadership over broad participation
• Yield curve normal with 88bp spread → consistent with modestly restrictive front-end policy and disinflation regime
• Geo risk score 0.38 in stable regime → contained transmission per GMT1-5, primarily selective to energy channels with low coupling
• Signal distribution (12% ALERT, 88% WATCH) and low sigma intensity → low-panic mixed-growth setup aligning with AI capex persistence base case
• Breadth momentum contracting at -6 → narrowing leadership, overweight bear case for reversion in extended names like AMD +2.22σ

---

## 2. Signal

| Asset | Price | Z-Score | Window | Direction |
|-------|-------|---------|--------|-----------|
| AMD | $557.89 | +2.22σ | 252d | up |
| IJR * | $145.56 | +1.94σ | 252d | up |
| ^TNX * | $4.57 | +1.89σ | 252d | up |
| ALB * | $126.05 | -1.83σ | 60d | down |
| IWM | $295.99 | +1.83σ | 252d | up |
| ^VIX | $15.03 | -1.77σ | 60d | down |
| SOXX | $581.34 | +1.75σ | 252d | up |
| EURUSD=X * | $1.14 | -1.70σ | 252d | down |
| TSM | $434.11 | +1.58σ | 252d | up |

---

## 3. Opportunity

- **Primary**: AMD: cheap put protection or reduced long exposure on AI proxy (72%)
- **Primary**: ALB: long ALB for 4-day reversion with tight stop (70%)
- **Primary**: TNX: position for yield pullback via duration with defined risk (65%)
- **Primary**: EURUSD: tactical USD long vs EUR with GMT6 pre-pricing awareness (57%)
- **Secondary**: Mean reversion on 2σ+ signals (AMD, TNX, ALB, VIX): near-term pause in extended momentum supporting range-bound regime (61%)
- **Secondary**: AI capex demand persistence: continued large-cap tech leadership in mixed-growth setup (50%)

---

## 4. Probabilities & Metrics

| Entry | Current | 7d Slope | Decay HL | Cascade Depth |
|-------|---------|----------|----------|---------------|
| amd | 67% | N/A | TBD | 2 |
| iShares Core S&P Sma | 50% | N/A | TBD | 0 |
| CBOE 10 Year Treasur | 50% | N/A | TBD | 0 |
| lithium | 66% | +1.5pp/d | TBD | 2 |
| russell2000 | 50% | N/A | TBD | 0 |

**Performance Scorecard**:
- Backtest (1042d): 574/1292, 44%, +359.7%
- Recent (7d): 2/7, 29%, -3.0%

---

**Sources**: FRED, yfinance, Market data
**Next Calibration**: Run sentinel scanner for breakouts; Monitor: Middle East proxy escalation transmitting to Strait of Hormuz oil disruption (GMT2 channel); Monitor: Consumer weakness deepens beyond -10% sentiment drop triggering broader risk-off and AI leadership failure; Track: AMD pricing; Track: ALB pricing
---

## 5. Shadow Experiments (DS8)

| arch1 | 0.3162 | 0.3361 | (-0.0029) | 524 | accumulating |
| Architecture | Shadow Brier | Prod Brier | Delta | n | Status |
|-------------|-------------|-----------|-------|---|--------|
| arch2 | 0.3097 | 0.3361 | (-0.0055) | 470 | accumulating |
| arch3 | 0.2983 | 0.3361 | (-0.0213) | 470 | PROMOTABLE |