# Core Forecast - 2026-07-17

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

---

## 1. Situation

### Markets

• Interest Rates: → range-bound yields with firm front end supporting dollar
• Financial: → selective AI/large-cap resilience with small-cap momentum watch
• Commodity: → contained broad pressure outside ag pockets
• Currency: → dollar firm vs cyclically sensitive FX
• Crypto: → mild consolidation within positive trend
<!-- panels-json: {"interest_rates": {"headline": "Normal curve with TNX +1.79\u03c3 WATCH setting up for range-bound yields amid stable geo-risk and no imminent CPI/NFP shock", "two_day_forecast": "Yields likely to remain range-bound over next 2 sessions with any upside capped if 10Y holds below 4.65 and MOVE stays under 72, consistent with front-end restrictiveness.", "direction": "neutral", "confidence": 0.62, "triggers": ["10Y yield breaks above 4.65", "2s/10s spread widens more than 8bp", "MOVE index rises above 72"], "calibration": {"sample_size": 33, "hit_rate": 0.24242424242424243, "brier_score": 0.31651818181818187}}, "financial": {"headline": "IWM +1.72\u03c3 UP and bullish bias streak with low dispersion setting up for selective AI equity leadership to reassert vs small-cap catch-up", "two_day_forecast": "Indices likely to stabilize and show modest upside over next 2 sessions if VIX mean-reverts below 17.5 and NDX holds 700, favoring tech leadership continuation.", "direction": "up", "confidence": 0.56, "triggers": ["VIX falls below 17.5", "NDX holds above 700", "Tech sector vs broad breadth improves by 0.5"], "calibration": {"sample_size": 33, "hit_rate": 0.36363636363636365, "brier_score": 0.2900333333333333}}, "commodity": {"headline": "Energy and ag positive momentum with metals at deep 30d declines setting up for contained broad index outside selective ag strength", "two_day_forecast": "Broad commodities likely to consolidate with slight upward bias over next 2 sessions if crude holds above 79 and no shipping disruption news, limiting input cost pressure.", "direction": "neutral", "confidence": 0.55, "triggers": ["Crude holds above 79", "Broad commodity index above 16.8", "Wheat moves more than 3%"], "calibration": {"sample_size": 33, "hit_rate": 0.2727272727272727, "brier_score": 0.32663030303030305}}, "currency": {"headline": "EURUSD -58 momentum trending down with dollar firmness setting up for USD strength vs sensitive currencies on rate differentials", "two_day_forecast": "USD likely to firm modestly over next 2 sessions if real-yield spreads hold and risk sentiment avoids sharp deterioration, pressuring EURUSD lower.", "direction": "up", "confidence": 0.57, "triggers": ["EURUSD breaks below 1.135", "USDJPY rises above 163", "DXY rises 0.6%"], "calibration": {"sample_size": 33, "hit_rate": 0.2727272727272727, "brier_score": 0.3128727272727273}}, "crypto": {"headline": "BTC near 63050 with positive 30d return and low geo transmission setting up for equities-correlated consolidation", "two_day_forecast": "Crypto likely to track financials with mild upside bias over next 2 sessions if BTC holds above 61500 and perpetual funding remains neutral-positive.", "direction": "up", "confidence": 0.54, "triggers": ["BTC maintains above 61500", "ETH/BTC ratio stable above 0.045", "ETF net flows turn positive"], "calibration": {"sample_size": 33, "hit_rate": 0.2727272727272727, "brier_score": 0.2613181818181818}}} -->

### Quant

• Direction ratio at 75% bullish (+13pp weekly)
• Sigma intensity at 1.00 with 0% ALERT signals
• BULLISH_BIAS streak at 1 consecutive days
• Yield curve normal at +36bp
• Geopolitical risk 0.42 (stable)
• Dispersion index 1.30
• Direction ratio 0.75 bullish → sustained positive bias in low-conviction environment
• Breadth momentum -7 contracting → narrowing market participation risks reduced follow-through
• Sigma intensity 1.00 (low conviction) → all signals WATCH with 0% critical/alert [n=2806]
• Dispersion index 1.30 (low dispersion) → coordinated cross-asset moves limit contagion
• Signal distribution 0% critical, 0% alert, 100% watch → momentum continuation base rate 0.58 [n=128] before 4d exit
• Yield curve normal with 36bp spread → stable policy expectations aligned with modestly restrictive front end
• Geo risk score 0.42 stable regime → low transmission to energy/FX per GMT1-5 orthogonal confirmation
• VIX 18.17 +10.7% 30d → contained vol expansion consistent with low-panic mixed-growth regime

---

## 2. Signal

| Asset | Price | Z-Score | Window | Direction |
|-------|-------|---------|--------|-----------|
| ^TNX * | $4.57 | +1.79σ | 252d | up |
| IWM | $295.59 | +1.72σ | 252d | up |
| AMD | $500.94 | +1.64σ | 252d | up |

---

## 3. Opportunity

- **Primary**: TNX: Position for mean-reversion if breaks below 4.45 on soft data; exit within 4 days (52%)
- **Primary**: AI equity leadership (NDX vs IWM): Long NDX/short IWM basket if VIX <18; 4-day hold per calibration (57%)
- **Primary**: AMD: Watch for stabilization above 495 as entry for AI capex theme; invalidates on break below 480 (52%)
- **Primary**: EURUSD: Short EURUSD vs USD if holds below 1.145; 4-day horizon per calibration (59%)
- **Secondary**: AI capex persistence: supports large-cap tech leadership and selective equity resilience (52%)
- **Secondary**: Rates range-bound with firm front end: anchors dollar firmness and limits risk-asset contagion (53%)

---

## 4. Probabilities & Metrics

| Entry | Current | 7d Slope | Decay HL | Cascade Depth |
|-------|---------|----------|----------|---------------|
| CBOE 10 Year Treasur | 50% | N/A | TBD | 0 |
| russell2000 | 57% | N/A | TBD | 1 |
| amd | 52% | -0.9pp/d | TBD | 1 |

**Performance Scorecard**:
- Backtest (1042d): 574/1292, 44%, +359.7%
- Recent (7d): 2/8, 25%, -14.1%

---

**Sources**: FRED, yfinance, Market data, [scanner: PARTIAL (1/10 failed)]
**Next Calibration**: Run sentinel scanner for breakouts; Monitor: Middle East escalation transmitting to Strait of Hormuz oil disruption (GMT2 channel); Monitor: Eastern Europe energy node strikes cascade to European natgas and broad risk-off; Track: TNX pricing; Track: AI equity leadership (NDX vs IWM) pricing
---

## 5. Shadow Experiments (DS8)

| arch1 | 0.3169 | 0.3362 | (-0.0031) | 554 | accumulating |
| Architecture | Shadow Brier | Prod Brier | Delta | n | Status |
|-------------|-------------|-----------|-------|---|--------|
| arch2 | 0.3105 | 0.3362 | (-0.0060) | 500 | accumulating |
| arch3 | 0.2995 | 0.3362 | (-0.0210) | 500 | PROMOTABLE |