The Silk - Core Forecast

2026-08-01 04:34 · v1.0
MEDIUM CONFIDENCE

Situation

Interest Rates↘64%
Yields at +2.47σ alert with normal curve and data calendar set up for mean reversion
2-day forecastYields likely to revert lower over next 2 sessions if NFP prints below 180k or CPI confirms -0.4% trend, expecting TNX to test sub-4.60 on soft data
Watch
  • If 10Y yield breaks below 4.60 then acceleration lower
  • NFP <180k or CPI miss
  • 2s/10s spread widens >10bp
28% [n=47] Brier 0.312
Financial↗55%
High dispersion with quality AI proxies outperforming small caps and cyclicals
2-day forecastSelective equity leadership likely to continue over next 2 sessions if VIX stays below 16.5 and NDX/Russell ratio rises, with quality names expected to outperform broad beta
Watch
  • If VIX remains <16.5 then selective outperformance
  • NDX breadth improves >0.5%
  • SPX holds above 745
32% [n=47] Brier 0.293
Commodity↗58%
Energy at 30d highs with broad comm +11.3% while ags show 5d pullback in reflation regime
2-day forecastCommodities likely to hold or extend mildly higher over next 2 sessions if no de-escalation in hotspots and USD firms modestly, with crude expected to remain above 83.5
Watch
  • If crude holds >83.5 then reflation continuation
  • No supply disruption news
  • China demand proxy > consensus
36% [n=47] Brier 0.297
Currency↗72%
EURUSD at +3.03σ critical extreme with rate differentials and USDJPY weakness setting up dollar rebound
2-day forecastDollar likely to firm over next 2 sessions with EURUSD reverting from statistical extremes if 10Y holds supportive levels, expecting EURUSD toward 1.13-1.14
Watch
  • If EURUSD fails to hold 1.15 then reversion accelerates
  • 10Y real yield >2.2%
  • ECB signals no further dovishness
23% [n=47] Brier 0.309
Crypto↘53%
BTC showing mild 30d weakness with selective equity leadership and neutral funding
2-day forecastCrypto likely to trade with downside bias over next 2 sessions if equity dispersion widens further or VIX rebounds above 17, with BTC expected to test sub-61000
Watch
  • If BTC breaks below 61000 then further pressure
  • ETF flows turn negative
  • If NDX underperforms SPX
30% [n=47] Brier 0.257
Direction ratio 0.50 (-10pp weekly):neutral bias turning bearish with contracting breadth momentum at -8
Sigma intensity 1.50:moderate regime with 0% critical, 50% alert, 50% watch signal distribution [n=2806]

Signal

AssetPriceZ-ScoreWindowLevelTrade
EURUSD=X $1.15 +3.03σ 30d critical SHORT
TLT $82.25 -2.63σ 252d alert SHORT
^TNX $4.74 +2.47σ 60d alert LONG
IEF * $92.95 -1.97σ 252d watch SHORT

Opportunity

PRIMARY
EURUSD: long USD vs EUR on reversion
72%
PRIMARY
10Y Treasury Yields: position for yield pullback / long duration
64%
PRIMARY
Crude Oil: long crude with capped downside via GMT7 structure
58%
PRIMARY
QQQ vs Russell 2000: long quality tech vs small cap beta
57%
SECONDARY
Mean reversion on EURUSD +3.03σ: supports firmer dollar and selective risk
65%
SECONDARY
Commodity reflation persistence (energy): uneven transmission to sectors per GMT3
50%

Performance Scorecard CALIBRATED since 2026-08-01

Backtest (1042d):574/1292, 44% [42%-47%], +359.7%
Recent (7d):0/8, 0% [0%-32%], -37.6%
Brier Score:0.261 FAIL (threshold: 0.25)