The Silk - Core Forecast

2026-09-04 04:36 · v1.0
MEDIUM CONFIDENCE

Situation

Interest Rates↘54%
Normal curve with tightening expectations but SHY at +1.71σ WATCH signaling short-term bond strength
2-day forecastYields likely to drift lower over next 2 sessions if equity risk sentiment holds, with 10Y expected below 4.70 on any continued SPY strength above 770.
Watch
  • 10Y yield breaks below 4.65
  • 2s/10s spread widens more than 8bp
  • VIX remains under 15
30% [n=82] Brier 0.305
Financial↗56%
Equities at WATCH levels (SPY +1.64σ, NVDA +1.98σ) inside 7-day BULLISH_BIAS streak and low dispersion
2-day forecastBroad indices likely to extend mildly higher over next 2 sessions if SPY holds above 770 and tech confirms, targeting continuation from current WATCH sigma levels.
Watch
  • SPY holds above 770
  • NVDA stays above 225
  • VIX fails to rise above 15
32% [n=82] Brier 0.286
Commodity↘76%
Grain complex at statistical extremes (CORN +3.14σ CRITICAL, WEAT +2.34σ ALERT) after sharp 30d rallies
2-day forecastGrains likely to mean-revert lower over next 2 sessions if no fresh Eastern Europe supply disruption, with CORN expected to pull back if it fails to hold 535.
Watch
  • CORN falls below 530
  • wheat fails to confirm new highs
  • no escalation in Middle East shipping strikes
34% [n=82] Brier 0.298
Currency↘53%
Mild USD weakness with FXY at +2.61σ ALERT and USDJPY -2.4% over 5d on rate differentials
2-day forecastUSD likely to weaken further or stabilize lower over next 2 sessions if risk-on bias persists, with EURUSD expected to test above 1.165 if equities hold gains.
Watch
  • USDJPY breaks below 155
  • EURUSD clears 1.165
  • USDCNY remains below 6.75
27% [n=82] Brier 0.308
Crypto↗57%
BTC in mechanical LONG block (since 2026-08-17) with +0.564 20d USDC-vol corr and no boundary today
2-day forecastMechanical LONG state expected to persist over next 2 sessions with positive correlation maintaining the block until next 20-day boundary.
Watch
  • BTC holds above 80000
  • 20d corr stays positive
  • no block boundary fires
34% [n=82] Brier 0.251

Signal

AssetPriceZ-ScoreWindowLevelTrade
CORN $20.17 +3.14σ 252d critical SHORT
FXY * $58.87 +2.61σ 60d alert LONG
WEAT $27.12 +2.34σ 252d alert LONG
NVDA $228.45 +1.98σ 252d watch LONG
MSFT $510.12 +1.89σ 252d watch LONG
XLE $64.62 +1.74σ 252d watch LONG
SHY * $81.71 +1.71σ 252d watch LONG
SPY * $773.17 +1.64σ 252d watch LONG

Opportunity

PRIMARY
Grain complex (CORN/WEAT): Short grains for reversion; exit on 4-day time stop or invalidation above new highs
76%
PRIMARY
SPY / broad equities: Tactical long bias with tight stops; prepare for mean-reversion if streak hits 10 days
56%
PRIMARY
BTC (silk_crypto LONG): Hold LONG per rule; monitor for corr flip at next boundary
57%
SECONDARY
Grains mean reversion post-CRITICAL sigma breach: commodity pullback on saturated primary node (GMT6)
65%
SECONDARY
Equity momentum continuation on WATCH signals: financial extension amid low VIX
48%
SECONDARY
BTC LONG block persistence (silk_crypto rule): crypto carry with positive corr confirmation
48%

Performance Scorecard CALIBRATED since 2026-09-04

Backtest (1042d):574/1292, 44% [42%-47%], +359.7%
Recent (7d):2/6, 33% [10%-70%], -0.1%
Brier Score:0.261 FAIL (threshold: 0.25)