The Silk - Core Forecast

2026-07-14 04:35 · v1.0
MEDIUM CONFIDENCE

Situation

Interest Rates↘65%
TNX +2.15σ alert in normal curve with stable geo risk (0.38) setting up mean reversion as no policy shock priced
2-day forecastYields likely to revert modestly lower over next 2 sessions if MOVE stays below 75 and CPI does not surprise higher, expecting 10y to test sub-4.55 levels on base rate mean reversion.
Watch
  • 10y yield breaks above 4.70
  • MOVE index >75
  • CPI m/m >0.3%
23% [n=30] Brier 0.315
Financial↗56%
SPX/NDX with contracting breadth_momentum -4 but WATCH signals on AMD (+1.99σ) and IWM in low VIX regime
2-day forecastAI-linked large caps and small caps likely to show selective outperformance over next 2 sessions if VIX remains below 19, supporting continued leadership without breadth collapse.
Watch
  • VIX >20
  • RUT lags SPX >0.8% 1d
  • tech sector return < -1.5%
37% [n=30] Brier 0.289
Commodity→62%
Crude +9.2% 5d and ags firm while lithium/REEs at -σ lows with broad index +3.6% 5d but -3% 30d
2-day forecastCommodities likely to consolidate near current levels over next 2 sessions if no escalation news hits oil above 83, keeping transmission narrow per GMT channels.
Watch
  • crude >83 or <-2% 1d
  • broad comm index +2% move
  • China PMI <48
27% [n=30] Brier 0.337
Currency↗58%
EURUSD -1.91σ with USD firm on rate differentials and stable geo risk score limiting EM stress
2-day forecastDollar likely to hold firm over next 2 sessions if 10y real yields do not compress below 2.1%, keeping EURUSD pressured below 1.145.
Watch
  • EURUSD >1.155
  • 10y-bund spread >150bp
  • USDCNY >6.85
27% [n=30] Brier 0.318
Crypto→55%
BTC near 62800 with low 30d volatility and stable correlation in low-panic regime
2-day forecastCrypto expected to remain rangebound over next 2 sessions with BTC likely holding 61000-65000 unless equity leadership triggers funding rate shift.
Watch
  • BTC >65000 or <60000
  • perpetual funding >0.02%
  • BTC-SPX corr >0.65
27% [n=30] Brier 0.262
direction_ratio 67% bullish (+2pp weekly):stable bias but breadth_momentum -4 contracting signals narrowing participation
sigma_intensity 1.11 low conviction (0% critical, 11% alert, 89% watch):mean reversion favored on ALERT signals 77% within 6d [n=1686]

Signal

AssetPriceZ-ScoreWindowLevelTrade
^TNX $4.61 +2.15σ 30d alert LONG
AMD $534.39 +1.99σ 252d watch LONG
EURUSD=X $1.14 -1.91σ 252d watch SHORT
IJR $144.99 +1.85σ 252d watch LONG
ALB $125.79 -1.76σ 60d watch SHORT
IWM $293.48 +1.68σ 252d watch LONG

Opportunity

PRIMARY
TNX: short TNX or receive in 10y for 4d hold
65%
PRIMARY
AMD: long AMD vs equal-weight index
62%
PRIMARY
ALB: long ALB for reversion trade
68%
PRIMARY
EURUSD: short EURUSD vs USD basket
59%
SECONDARY
Mean reversion on 2σ+ ALERT signals (TNX, AMD, EURUSD, ALB): keeps rates range-bound and limits contagion to support AI leadership
61%
SECONDARY
AI capex demand persistence: underpins narrow tech leadership and equity resilience
47%

Performance Scorecard CALIBRATED since 2026-07-14

Backtest (1042d):574/1292, 44% [42%-47%], +359.7%
Recent (7d):4/10, 40% [17%-69%], -5.2%
Brier Score:0.261 FAIL (threshold: 0.25)