The Silk - Core Forecast

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

Situation

Interest Rates↘68%
Yields at +2.47σ on ^TNX with normal curve setting up for mean-reversion as real-yield trajectory peaks
2-day forecastYields likely to decline over next 2 sessions if 2s/10s spread holds above 30bp and real yields do not accelerate higher.
Watch
  • 10Y yield drops below 4.60
  • 2s/10s spread widens by 5bp
  • MOVE index falls below 68
25% [n=51] Brier 0.317
Financial↘55%
Contracting breadth momentum at -5 with high dispersion and rising yields creating defensive equity setup
2-day forecastBroad equities likely to drift lower over next 2 sessions if breadth momentum stays below -3 and VIX holds under 17.
Watch
  • SPX closes below 5-day low
  • breadth momentum worsens below -6
  • VIX rises above 17
31% [n=51] Brier 0.292
Commodity→57%
Commodity moves mixed with crude oil reversing 5d losses while copper extends and geo risks remain stable
2-day forecastBroad commodities expected to stabilize or pull back over next 2 sessions if crude holds below 80 and China demand prints remain neutral.
Watch
  • Crude oil falls below 78.50
  • copper retreats below 6.50
  • gold holds above 4100
35% [n=51] Brier 0.298
Currency↘70%
EURUSD at +2.95σ UP extreme with 7d momentum +75 setting up for mean reversion versus rate differentials
2-day forecastEURUSD likely to pull back over next 2 sessions if it fails to hold 1.15 and real-yield spreads favor USD.
Watch
  • EURUSD breaks below 1.148
  • USDCNY rises above 6.76
  • 10Y yield holds above 4.70
22% [n=51] Brier 0.318
Crypto↘54%
BTC near 63700 with low VIX but exposed to funding rates and equity breadth contraction
2-day forecastCrypto likely to consolidate lower over next 2 sessions if BTC fails to hold 63000 and equity dispersion remains elevated.
Watch
  • BTC drops below 62000
  • ETH/BTC ratio falls below 0.05
  • VIX rises above 17
27% [n=51] Brier 0.259
direction_ratio 0.50 neutral:balanced but +28pp bullish shift this week
breadth_momentum -5 contracting:reduced participation and elevated pullback risk

Signal

AssetPriceZ-ScoreWindowLevelTrade
EURUSD=X * $1.15 +2.95σ 30d alert LONG
TLT $81.92 -2.66σ 252d alert SHORT
^TNX $4.74 +2.47σ 60d alert LONG
IEF $92.63 -1.96σ 252d watch SHORT

Opportunity

PRIMARY
EURUSD: short EURUSD on failure at 1.15 with tight stop
70%
PRIMARY
^TNX: position for lower yields via long bonds if 4.70 holds
68%
PRIMARY
Broad equities (SPX/NDX): reduce long exposure or add puts on VIX break above 17
55%
SECONDARY
Mean reversion on 2σ+ EURUSD and TNX signals: primary channel for FX and rates normalization
65%
SECONDARY
Stable geopolitical regime capping commodity upside: limits transmission to energy and risk premia
58%
SECONDARY
Contracting breadth momentum pressuring equities: reduces participation despite bullish direction ratio shift
48%

Performance Scorecard CALIBRATED since 2026-08-04

Backtest (1042d):574/1292, 44% [42%-47%], +359.7%
Recent (7d):0/2, 0% [0%-66%], -12.4%
Brier Score:0.261 FAIL (threshold: 0.25)