# Core Forecast - 2026-07-21

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

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## 1. Situation

### Markets

• Interest Rates: → yields at WATCH extremes with muted cascade to equities absent disruption
• Financial: → tech pressure at WATCH with small-cap resilience and 83% bullish ratio
• Commodity: → energy/ag strength on geo supply transmission, industrials weak
• Currency: → mild USD bid at WATCH on rate diffs with selective safe-haven flows
• Crypto: → risk-on extension correlated to equities amid low-dispersion bullish bias
<!-- panels-json: {"interest_rates": {"headline": "10Y at +1.90\u03c3 with normal curve and stable 0.48 geo risk setting up for mean-reversion pullback", "two_day_forecast": "Yields likely to revert lower over next 2 sessions if NFP prints below 200k and no escalation in Ukraine energy strikes; expect 10Y below 4.50 on de-escalation signals from Persian Gulf.", "direction": "down", "confidence": 0.65, "triggers": ["10Y yield breaks above 4.70", "2s10s spread narrows below 20bp", "NFP surprise >250k"], "calibration": {"sample_size": 37, "hit_rate": 0.24324324324324326, "brier_score": 0.31037837837837845}}, "financial": {"headline": "QQQ at -1.66\u03c3 with tech -5.3% 30d and 83% bullish direction ratio setting up for mean-reversion bounce", "two_day_forecast": "Equities likely to rebound over next 2 sessions if VIX drops below 17 and breadth momentum improves above -5, with NDX expected to test recent highs on positive tech rotation.", "direction": "up", "confidence": 0.62, "triggers": ["VIX closes below 17.0", "QQQ advances above 705", "tech sector beats SPX by 0.5%"], "calibration": {"sample_size": 37, "hit_rate": 0.32432432432432434, "brier_score": 0.2928864864864864}}, "commodity": {"headline": "DBA at +1.74\u03c3 and crude +9.2% 30d with geo hotspots elevating supply risks setting up for momentum continuation", "two_day_forecast": "Commodities expected to extend gains over next 2 sessions if Persian Gulf shipping threats persist, with crude likely to hold above 83 and grains follow on China demand data.", "direction": "up", "confidence": 0.57, "triggers": ["Crude holds above 83.00", "DBA advances another 1%", "no de-escalation leaks from Eastern Europe"], "calibration": {"sample_size": 37, "hit_rate": 0.2972972972972973, "brier_score": 0.3155486486486487}}, "currency": {"headline": "EURUSD at -1.63\u03c3 with rate differentials and stable geo risk setting up for mean-reversion stabilization", "two_day_forecast": "EURUSD likely to stabilize or mildly rebound over next 2 sessions if risk sentiment holds and East China Sea patrols remain non-escalatory, expecting test of 1.145 level.", "direction": "up", "confidence": 0.58, "triggers": ["EURUSD holds above 1.135", "USDCNY stable below 6.80", "10Y real yield eases 5bp"], "calibration": {"sample_size": 37, "hit_rate": 0.24324324324324326, "brier_score": 0.31356216216216215}}, "crypto": {"headline": "BTC +13.1% 30d with bullish bias and equity correlation setting up for continued upside in low-dispersion regime", "two_day_forecast": "Crypto likely to grind higher over next 2 sessions if BTC holds above 65000 and ETF flows remain positive, with ETH expected to follow on dominance shift below 55%.", "direction": "up", "confidence": 0.55, "triggers": ["BTC holds above 65000", "funding rate stays positive", "correlation to QQQ remains below 0.6"], "calibration": {"sample_size": 37, "hit_rate": 0.32432432432432434, "brier_score": 0.25723243243243243}}} -->

### Quant

• Direction ratio at 83% bullish (+33pp weekly)
• Sigma intensity at 1.00 with 0% ALERT signals
• BULLISH_BIAS streak at 1 consecutive days
• Yield curve normal at +36bp
• Geopolitical risk 0.48 (stable)
• Dispersion index 0.86
• Direction ratio 83% bullish → low-conviction uptrend with strengthening +33pp weekly but contracting breadth momentum -8
• Sigma intensity 1.00 low → all signals at WATCH level (0% critical, 0% alert, 100% watch) implying mean-reversion base rate of 77% within 6d [n=1686]
• Dispersion index 0.86 low → coordinated moves limit rotation alpha in stable regime
• Yield curve normal with 36bp spread → no inversion signal, supports mild risk-on backdrop
• Geo risk score 0.48 stable regime → selective transmission to energy/ag via hotspots with clear de-escalation paths
• VIX 17.72 (+8.0% 30d) with MOVE 70.88 → mild vol expansion consistent with low sigma intensity
• Breadth momentum contracting at -8 → warns of stall if below -3 for 3+ days per regime thresholds

---

## 2. Signal

| Asset | Price | Z-Score | Window | Direction |
|-------|-------|---------|--------|-----------|
| ^TNX * | $4.60 | +1.90σ | 252d | up |
| DBA | $28.02 | +1.74σ | 252d | up |
| QQQ * | $696.06 | -1.66σ | 30d | down |
| EURUSD=X | $1.14 | -1.63σ | 252d | down |
| AMD | $503.57 | +1.61σ | 252d | up |
| VTWO | $118.17 | +1.52σ | 252d | up |
| IWM | $292.31 | +1.51σ | 252d | up |

---

## 3. Opportunity

- **Primary**: QQQ: long QQQ skewed to upside: +2.8% vs -1.1% expected range (62%)
- **Primary**: Crude oil vs geo hotspots: long energy with convex optionality on escalation (57%)
- **Primary**: 10Y Treasury yields: short yields or long bonds; falsified if NFP drives break above 4.7% (65%)
- **Secondary**: Mean reversion after WATCH sigma moves (QQQ -1.66σ, TNX +1.90σ): drives near-term equity stabilization and yield pullback (55%)
- **Secondary**: Geo supply transmission to crude/oil via stable hotspots: supports energy and ag outperformance with de-escalation branch (46%)
- **Secondary**: Bullish bias streak continuation in low sigma intensity regime: favors small-cap and crypto relative to tech (48%)

---

## 4. Probabilities & Metrics

| Entry | Current | 7d Slope | Decay HL | Cascade Depth |
|-------|---------|----------|----------|---------------|
| CBOE 10 Year Treasur | 50% | N/A | TBD | 0 |
| Invesco DB Agricultu | 50% | N/A | TBD | 0 |
| Invesco QQQ Trust | 59% | N/A | TBD | 2 |
| eurusd | 50% | N/A | TBD | 0 |
| amd | 50% | -2.3pp/d | TBD | 0 |

**Performance Scorecard**:
- Backtest (1042d): 574/1292, 44%, +359.7%
- Recent (7d): 0/5, 0%, -29.2%

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**Sources**: FRED, yfinance, Market data, [scanner: PARTIAL (1/10 failed)]
**Next Calibration**: Run sentinel scanner for breakouts; Monitor: Escalation in Persian Gulf hitting shipping lanes (Iran-Israel proxy to direct); Monitor: Ukraine winter energy infrastructure strikes causing natgas spike and broad risk-off; Track: QQQ pricing; Track: Crude oil vs geo hotspots pricing
---

## 5. Shadow Experiments (DS8)

| arch1 | 0.3170 | 0.3363 | (-0.0037) | 578 | accumulating |
| Architecture | Shadow Brier | Prod Brier | Delta | n | Status |
|-------------|-------------|-----------|-------|---|--------|
| arch2 | 0.3117 | 0.3363 | (-0.0054) | 524 | accumulating |
| arch3 | 0.3010 | 0.3363 | (-0.0199) | 524 | accumulating |