# Core Forecast - 2026-07-14

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

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## 1. Situation

### Markets

• Interest Rates: → yields at statistical extremes with mean-reversion setup likely, front-end firm per disinflation thesis
• Financial: → selective AI and small-cap resilience with contracting breadth, leadership to persist
• Commodity: → contained broad pressure (index -3% 30d) with narrow GMT transmission to energy
• Currency: → dollar firm vs cyclically sensitive FX, consistent with restrictive front-end pricing
• Crypto: → stable with muted risk correlation in low-panic regime
<!-- panels-json: {"interest_rates": {"headline": "TNX +2.15\u03c3 alert in normal curve with stable geo risk (0.38) setting up mean reversion as no policy shock priced", "two_day_forecast": "Yields 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.", "direction": "down", "confidence": 0.65, "triggers": ["10y yield breaks above 4.70", "MOVE index >75", "CPI m/m >0.3%"], "calibration": {"sample_size": 30, "hit_rate": 0.23333333333333334, "brier_score": 0.31459}}, "financial": {"headline": "SPX/NDX with contracting breadth_momentum -4 but WATCH signals on AMD (+1.99\u03c3) and IWM in low VIX regime", "two_day_forecast": "AI-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.", "direction": "up", "confidence": 0.56, "triggers": ["VIX >20", "RUT lags SPX >0.8% 1d", "tech sector return < -1.5%"], "calibration": {"sample_size": 30, "hit_rate": 0.36666666666666664, "brier_score": 0.2885566666666666}}, "commodity": {"headline": "Crude +9.2% 5d and ags firm while lithium/REEs at -\u03c3 lows with broad index +3.6% 5d but -3% 30d", "two_day_forecast": "Commodities likely to consolidate near current levels over next 2 sessions if no escalation news hits oil above 83, keeping transmission narrow per GMT channels.", "direction": "neutral", "confidence": 0.62, "triggers": ["crude >83 or <-2% 1d", "broad comm index +2% move", "China PMI <48"], "calibration": {"sample_size": 30, "hit_rate": 0.26666666666666666, "brier_score": 0.3370233333333334}}, "currency": {"headline": "EURUSD -1.91\u03c3 with USD firm on rate differentials and stable geo risk score limiting EM stress", "two_day_forecast": "Dollar likely to hold firm over next 2 sessions if 10y real yields do not compress below 2.1%, keeping EURUSD pressured below 1.145.", "direction": "up", "confidence": 0.58, "triggers": ["EURUSD >1.155", "10y-bund spread >150bp", "USDCNY >6.85"], "calibration": {"sample_size": 30, "hit_rate": 0.26666666666666666, "brier_score": 0.3184100000000001}}, "crypto": {"headline": "BTC near 62800 with low 30d volatility and stable correlation in low-panic regime", "two_day_forecast": "Crypto expected to remain rangebound over next 2 sessions with BTC likely holding 61000-65000 unless equity leadership triggers funding rate shift.", "direction": "neutral", "confidence": 0.55, "triggers": ["BTC >65000 or <60000", "perpetual funding >0.02%", "BTC-SPX corr >0.65"], "calibration": {"sample_size": 30, "hit_rate": 0.26666666666666666, "brier_score": 0.26161}}} -->

### Quant

• Direction ratio at 67% bullish (+2pp weekly)
• Sigma intensity at 1.11 with 11% ALERT signals
• BULLISH_BIAS streak at 7 consecutive days
• Yield curve normal at +88bp
• Geopolitical risk 0.38 (stable)
• Dispersion index 1.62
• 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]
• dispersion_index 1.62 moderate → selective AI/small-cap leadership consistent with mixed-growth thesis
• yield_curve normal at 88bp spread → no recession signal, aligns with defensive disinflation and range-bound policy
• geo_risk_score 0.38 in stable regime → contained transmission to energy per GMT1-5 with clear de-escalation paths
• vix 17.37 (+2.8% 5d, -10.6% 30d) and MOVE 69.55 → low-panic vol supports equity resilience without contagion
• AMD +1.99σ and TNX +2.15σ alert → statistical extremes warrant mean-reversion base rate 77% [n=1686] over momentum

---

## 2. Signal

| Asset | Price | Z-Score | Window | Direction |
|-------|-------|---------|--------|-----------|
| ^TNX | $4.61 | +2.15σ | 30d | up |
| AMD | $534.39 | +1.99σ | 252d | up |
| EURUSD=X | $1.14 | -1.91σ | 252d | down |
| IJR | $144.99 | +1.85σ | 252d | up |
| ALB | $125.79 | -1.76σ | 60d | down |
| IWM | $293.48 | +1.68σ | 252d | up |

---

## 3. 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%)

---

## 4. Probabilities & Metrics

| Entry | Current | 7d Slope | Decay HL | Cascade Depth |
|-------|---------|----------|----------|---------------|
| CBOE 10 Year Treasur | 50% | N/A | TBD | 0 |
| amd | 62% | N/A | TBD | 2 |
| eurusd | 50% | N/A | TBD | 0 |
| iShares Core S&P Sma | 50% | N/A | TBD | 0 |
| lithium | 65% | +2.7pp/d | TBD | 2 |

**Performance Scorecard**:
- Backtest (1042d): 574/1292, 44%, +359.7%
- Recent (7d): 0/4, 0%, -8.0%

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**Sources**: FRED, yfinance, Market data
**Next Calibration**: Run sentinel scanner for breakouts; Monitor: Middle East ceasefire breakdown transmitting via oil supply (GMT2 primary channel) despite current orthogonal confirmation absence; Monitor: Consumer sentiment accelerating below 40 triggering deeper growth scare and risk-off breadth collapse; Track: TNX pricing; Track: AMD pricing
---

## 5. Shadow Experiments (DS8)

| arch1 | 0.3162 | 0.3361 | (-0.0034) | 536 | accumulating |
| Architecture | Shadow Brier | Prod Brier | Delta | n | Status |
|-------------|-------------|-----------|-------|---|--------|
| arch2 | 0.3098 | 0.3361 | (-0.0060) | 482 | accumulating |
| arch3 | 0.2980 | 0.3361 | (-0.0221) | 482 | PROMOTABLE |