The Silk - Core Forecast

2026-08-03 04:35 · v1.0
MEDIUM CONFIDENCE

Situation

Interest Rates↘64%
Yields at +2.47σ UP with TLT -2.66σ and IEF -1.96σ setting up for mean reversion in rates
2-day forecast10Y yields likely to decline over next 2 sessions if ^TNX momentum slope drops below +50, with mean reversion from extended levels on stable geo risk
Watch
  • ^TNX closes below prior 2-day low
  • TLT rebounds more than 1.0%
  • 2s/10s spread widens by 5bp
27% [n=48] Brier 0.313
Financial↘54%
Indices with 50% neutral direction ratio, breadth momentum -3 and high 2.53 dispersion showing mixed sector rotation
2-day forecastSPX and NDX likely to drift lower over next 2 sessions if VIX rises above 17, as contracting breadth favors defensive rotation amid yield extremes
Watch
  • VIX closes above 17
  • Russell2000 lags SPX by 0.5% or more
  • breadth momentum falls below -4
33% [n=48] Brier 0.289
Commodity↗57%
Crude at sharp 1d reversal -5.9% while 30d +16.0%, broad commodities +11.3% 30d with stable geo transmission
2-day forecastKey commodities likely to stabilize to slightly higher over next 2 sessions if crude holds above 78.50, with mean reversion in overextended grains offsetting oil pullback
Watch
  • Crude holds above 78.50
  • copper rises above 6.60
  • broad commodity ETF momentum stays above +40
38% [n=48] Brier 0.295
Currency↘68%
EURUSD at +2.96σ UP extended rally with USDJPY -4.2% 5d and stable commodity currencies
2-day forecastEURUSD likely to mean revert lower over next 2 sessions if it fails to hold 1.15, as orthogonal tape confirmation and stable geo risk favor reversion from extremes
Watch
  • EURUSD closes below 1.145
  • USDJPY rises above 158
  • USDCNY rises more than 0.5%
23% [n=48] Brier 0.310
Crypto→53%
BTC -3.2% over 5d with low VIX and no critical sigma signal in stable risk regime
2-day forecastBTC likely to trade neutrally to slightly lower over next 2 sessions if NDX weakens, with perpetual funding and ETF flows as key monitors for any shift
Watch
  • BTC holds above 61000
  • ETH/BTC dominance stable
  • VIX remains below 17
29% [n=48] Brier 0.258
Direction ratio 0.50 neutral shifting bearish -12pp weekly:balanced but increasing downside bias with contracting breadth
Sigma intensity 2.00:high conviction setups with mean reversion favored at 77% within 6d [n=1686]

Signal

AssetPriceZ-ScoreWindowLevelTrade
EURUSD=X $1.15 +2.96σ 30d alert LONG
TLT $82.25 -2.66σ 252d alert SHORT
^TNX $4.74 +2.47σ 60d alert LONG
IEF $92.95 -1.96σ 252d watch SHORT

Opportunity

PRIMARY
EURUSD: short EURUSD with defined stop above 1.16
68%
PRIMARY
10Y Treasury Yield (^TNX): position for lower yields via TLT
64%
PRIMARY
Broad equities (SPX/NDX): underweight broad beta, favor defensives
54%
SECONDARY
Mean reversion on 2σ+ signals in EURUSD and TNX: pullback in EURUSD and yields, supportive for bonds and USD strength
61%
SECONDARY
Contracting breadth momentum at -3 with high dispersion: pressures broad equity upside, favors sector selectivity
50%
SECONDARY
Commodity reflation persistence despite 1d oil reversal: supports energy/grains on 30d trends but vulnerable to demand prints
47%

Performance Scorecard CALIBRATED since 2026-08-03

Backtest (1042d):574/1292, 44% [42%-47%], +359.7%
Recent (7d):1/4, 25% [5%-70%], -20.3%
Brier Score:0.261 FAIL (threshold: 0.25)