# Core Forecast - 2026-08-20

**Version**: v1.0
**Generated**: 04:36
**Confidence Cone**: medium

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## 1. Situation

### Markets

• Interest Rates: → yields at WATCH extremes, setup for mean reversion lower
• Financial: → at statistical extremes with contracting breadth, reversion setup
• Commodity: → selective strength but low geo transmission limits cascade
• Currency: → mild USD softening on rate differentials
• Crypto: → mechanical LONG persists with no boundary today
<!-- panels-json: {"interest_rates": {"headline": "10Y yields at +1.61\u03c3 WATCH above mean with normal curve and stable geo-risk transmission", "two_day_forecast": "Yields 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].", "direction": "down", "confidence": 0.62, "triggers": ["10Y yield drops below 4.55%", "2s/10s spread widens more than 5bp", "MOVE index falls below 70"], "calibration": {"sample_size": 67, "hit_rate": 0.2835820895522388, "brier_score": 0.3129671641791045}}, "financial": {"headline": "SPY/IWM at +1.57-1.73\u03c3 WATCH and XLE +2.41\u03c3 ALERT with breadth momentum contracting at -10", "two_day_forecast": "Equities 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 2\u03c3+.", "direction": "down", "confidence": 0.59, "triggers": ["SPY closes below 765", "XLE fails to hold above 2.0\u03c3", "VIX rises above 16.5"], "calibration": {"sample_size": 67, "hit_rate": 0.2835820895522388, "brier_score": 0.296334328358209}}, "commodity": {"headline": "Ag and energy commodities leading with low geo-risk transmission (score 0.42 stable) and no chokepoint confirmation", "two_day_forecast": "Commodities 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.", "direction": "neutral", "confidence": 0.55, "triggers": ["Crude holds above 87.50", "Gold stays above 4520", "Corn pulls back below 490"], "calibration": {"sample_size": 67, "hit_rate": 0.34328358208955223, "brier_score": 0.2918970149253731}}, "currency": {"headline": "EURUSD and commodity currencies firmer amid mild USD softening and stable rate differentials", "two_day_forecast": "USD 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.", "direction": "up", "confidence": 0.54, "triggers": ["EURUSD breaks above 1.175", "USDJPY falls below 157.50", "USDCNY holds below 6.75"], "calibration": {"sample_size": 67, "hit_rate": 0.26865671641791045, "brier_score": 0.31315522388059697}}, "crypto": {"headline": "BTC in mechanical LONG block per +0.883 20d USDC-vol correlation with no boundary today", "two_day_forecast": "LONG state expected to persist over next 2 sessions as block boundary is not hit and correlation sign remains positive; no intra-block change possible.", "direction": "up", "confidence": 0.61, "triggers": ["BTC holds above 71000", "20d correlation remains >0", "No block boundary fires"], "calibration": {"sample_size": 67, "hit_rate": 0.26865671641791045, "brier_score": 0.2604537313432836}}} -->

### Quant

• Direction ratio at 83% bullish (+2pp weekly)
• Sigma intensity at 1.33 with 33% ALERT signals
• BULLISH_BIAS streak at 7 consecutive days
• Yield curve normal at +38bp
• Geopolitical risk 0.42 (stable)
• Dispersion index 1.19
• Direction ratio: 83% bullish → sustained but low-conviction bullish regime with contracting breadth
• Breadth momentum: -10 (contracting) → rising risk of stall as momentum fades
• Sigma intensity: 1.33 → mild with 0% critical, 33% alert, 67% watch; mean-reversion base rate 77% [n=1686] for 2σ+ moves
• Dispersion index: 1.19 (low dispersion) → coordinated but shallow participation across assets
• Signal distribution: 0% critical, 33% alert, 67% watch → limited edge, WATCH/ALERT levels dominate
• BULLISH_BIAS streak: 7 days → calibrated long-signal accuracy 56% [n=2712] but reversion favored at these σ levels
• Yield curve: normal (spread 38bp) → no inversion signal, supportive of risk but rates at +1.61σ WATCH
• Geo risk score 0.42 in stable regime → low transmission coefficients per GMT1; hotspots show limited coupling

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## 2. Signal

| Asset | Price | Z-Score | Window | Direction |
|-------|-------|---------|--------|-----------|
| XLE | $63.58 | +2.41σ | 60d | up |
| SPY | $769.06 | +1.73σ | 252d | up |
| ^TNX | $4.65 | +1.61σ | 252d | up |
| IWM | $301.72 | +1.57σ | 252d | up |

---

## 3. 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%)

---

## 4. Probabilities & Metrics

| Entry | Current | 7d Slope | Decay HL | Cascade Depth |
|-------|---------|----------|----------|---------------|
| Energy Select Sector | 65% | N/A | TBD | 1 |
| SPDR S&P 500 ETF | 65% | N/A | TBD | 1 |
| CBOE 10 Year Treasur | 62% | N/A | TBD | 1 |
| russell2000 | 50% | N/A | TBD | 0 |

**Performance Scorecard**:
- Backtest (1042d): 574/1292, 44%, +359.7%
- Recent (7d): 3/9, 33%, -4.5%

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**Sources**: FRED, yfinance, Market data, [scanner: PARTIAL (1/10 failed)]
**Next Calibration**: Run sentinel scanner for breakouts; Monitor: Sudden Middle East escalation disrupting oil flows (GMT2 channel via crude); Monitor: Geo-risk regime shift from stable to escalating with transmission coefficient >0.4; Track: US Equities (SPY/XLE) pricing; Track: Treasury Yields (^TNX) pricing
---

## 5. Shadow Experiments (DS8)

| arch1 | 0.3208 | 0.3363 | (-0.0030) | 758 | accumulating |
| Architecture | Shadow Brier | Prod Brier | Delta | n | Status |
|-------------|-------------|-----------|-------|---|--------|
| arch2 | 0.3192 | 0.3363 | (-0.0016) | 704 | accumulating |
| arch3 | 0.3096 | 0.3363 | (-0.0139) | 704 | accumulating |