The Silk - Core Forecast

2026-08-20 04:36 · v1.0
MEDIUM CONFIDENCE

Situation

Interest Rates↘62%
10Y yields at +1.61σ WATCH above mean with normal curve and stable geo-risk transmission
2-day forecastYields likely to revert lower over next 2 sessions if no hot NFP or CPI surprise; base rate for mean reversion at these levels is 77% [n=1686].
Watch
  • 10Y yield drops below 4.55%
  • 2s/10s spread widens more than 5bp
  • MOVE index falls below 70
28% [n=67] Brier 0.313
Financial↘59%
SPY/IWM at +1.57-1.73σ WATCH and XLE +2.41σ ALERT with breadth momentum contracting at -10
2-day forecastEquities likely to see mild mean-reversion pullback over next 2 sessions if VIX rises above 16 or breadth stays negative; anchor 77% reversion rate [n=1686] for 2σ+.
Watch
  • SPY closes below 765
  • XLE fails to hold above 2.0σ
  • VIX rises above 16.5
28% [n=67] Brier 0.296
Commodity→55%
Ag and energy commodities leading with low geo-risk transmission (score 0.42 stable) and no chokepoint confirmation
2-day forecastCommodities expected to consolidate with neutral bias over next 2 sessions unless China demand data or supply news confirms cascade; selective continuation possible at 55% base rate.
Watch
  • Crude holds above 87.50
  • Gold stays above 4520
  • Corn pulls back below 490
34% [n=67] Brier 0.292
Currency↗54%
EURUSD and commodity currencies firmer amid mild USD softening and stable rate differentials
2-day forecastUSD weakness likely to persist mildly over next 2 sessions if real-yield spreads do not widen; expect EURUSD to hold gains if DXY stays below recent highs.
Watch
  • EURUSD breaks above 1.175
  • USDJPY falls below 157.50
  • USDCNY holds below 6.75
27% [n=67] Brier 0.313
Crypto↗61%
BTC in mechanical LONG block per +0.883 20d USDC-vol correlation with no boundary today
2-day forecastLONG state expected to persist over next 2 sessions as block boundary is not hit and correlation sign remains positive; no intra-block change possible.
Watch
  • BTC holds above 71000
  • 20d correlation remains >0
  • No block boundary fires
27% [n=67] Brier 0.260
Direction ratio:83% bullish → sustained but low-conviction bullish regime with contracting breadth
Breadth momentum:-10 (contracting) → rising risk of stall as momentum fades

Signal

AssetPriceZ-ScoreWindowLevelTrade
XLE $63.58 +2.41σ 60d alert LONG
SPY $769.06 +1.73σ 252d watch LONG
^TNX $4.65 +1.61σ 252d watch LONG
IWM $301.72 +1.57σ 252d watch LONG

Opportunity

PRIMARY
US Equities (SPY/XLE): position for 2-4% pullback over next 4d trade (exit by time stop); repeat independent trials over 30d
65%
PRIMARY
Treasury Yields (^TNX): long bonds or short yields with defined stop; compounds via repeated 4d trades over 30d horizon
62%
PRIMARY
Selective Commodities (gold/corn): tactical long exposure with tight risk; de-escalation branch carried at 70%+ per GMT4
55%
SECONDARY
Mean reversion after WATCH/ALERT sigma levels: pullback in equities and yields
55%
SECONDARY
Crypto LONG block persistence: BTC outperformance vs broad risk
52%
SECONDARY
Contracting breadth momentum despite 83% bullish ratio: erodes bullish streak edge over repeated 4d periods
49%

Performance Scorecard CALIBRATED since 2026-08-20

Backtest (1042d):574/1292, 44% [42%-47%], +359.7%
Recent (7d):3/10, 30% [11%-60%], -5.9%
Brier Score:0.261 FAIL (threshold: 0.25)