# Core Forecast - 2026-09-13

**Version**: v1.0
**Generated**: 04:35
**Confidence Cone**: medium

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## 1. Situation

### Markets

• Interest Rates: → elevated yields cap broad duration but reinforce reflation
• Financial: → narrow leadership at statistical extremes in energy/select tech, small-caps lagging
• Commodity: → firm strategic commodities support sticky reflation
• Currency: → modest soft-dollar rotation
• Crypto: → risk appetite holding in mechanical LONG state
<!-- panels-json: {"interest_rates": {"headline": "10Y at 4.97% with tightening priced and normal 46bp curve in stable geo regime", "two_day_forecast": "Yields likely to consolidate if no strong data widens 2y-fed funds spread beyond +0.59% over next 2 sessions, or edge higher on continued reflation signals.", "direction": "up", "confidence": 0.55, "triggers": ["10Y breaks above 5.05%", "2y-fed funds spread widens >10bp", "MOVE index rises above 83"], "calibration": {"sample_size": 89, "hit_rate": 0.33707865168539325, "brier_score": 0.2995820224719102}}, "financial": {"headline": "Narrow leadership with XLE +1.75\u03c3 and MSFT +1.54\u03c3 while IWM at -1.89\u03c3 extreme in low-dispersion setup", "two_day_forecast": "Selective equities likely to grind modestly higher if VIX mean-reverts below 15.5 and XLE continues to outperform IWM by at least 0.5% over next 2 sessions.", "direction": "up", "confidence": 0.56, "triggers": ["SPX holds above 760", "XLE-IWM spread >0.5%", "VIX closes below 15.5"], "calibration": {"sample_size": 89, "hit_rate": 0.30337078651685395, "brier_score": 0.28707303370786513}}, "commodity": {"headline": "CORN at +2.46\u03c3 ALERT with crude momentum +54 and broad commodities +10.1% 30d", "two_day_forecast": "Commodities expected to show mild continuation if crude holds above 98.5, though ALERT-level extreme raises mean-reversion risk on any de-escalation signals over 2 sessions.", "direction": "up", "confidence": 0.58, "triggers": ["Crude above 98.5", "CORN holds above 505", "No supply disruption news"], "calibration": {"sample_size": 89, "hit_rate": 0.34831460674157305, "brier_score": 0.3009258426966292}}, "currency": {"headline": "Soft dollar tone with USDJPY -3.6% 30d and stable risk appetite in tightening rate backdrop", "two_day_forecast": "Dollar likely to weaken modestly if EURUSD holds above 1.155 and commodity currencies stabilize, provided no geo escalation over next 2 sessions.", "direction": "down", "confidence": 0.54, "triggers": ["EURUSD >1.162", "USDJPY breaks below 152.5", "Commodity currencies flat to up"], "calibration": {"sample_size": 89, "hit_rate": 0.24719101123595505, "brier_score": 0.3061876404494382}}, "crypto": {"headline": "Mechanical LONG block (since 2026-09-06) with +0.193 20d USDC-BTC correlation", "two_day_forecast": "LONG state expected to persist with no block boundary in next 2 days; if correlation remains >0 then BTC risk appetite likely holds.", "direction": "up", "confidence": 0.72, "triggers": ["20d corr stays positive", "BTC above 76000", "No block boundary crossed"], "calibration": {"sample_size": 89, "hit_rate": 0.3258426966292135, "brier_score": 0.25445056179775283}}} -->

### Quant

• Direction ratio at 75% bullish (-18pp weekly)
• Sigma intensity at 1.25 with 25% ALERT signals
• BULLISH_BIAS streak at 7 consecutive days
• Yield curve normal at +46bp
• Rate expectations tightening at +59bp (2y minus fed funds)
• Geopolitical risk 0.38 (stable)
• Dispersion index 1.43
• Direction ratio 0.75 bullish but direction_change_weekly_pp -18 → shifting bearish in breadth momentum amid BULLISH_BIAS streak
• Sigma intensity 1.25 (low conviction) with 0% critical, 25% alert, 75% watch → low-conviction regime [n=2806]
• Breadth momentum -7 contracting → elevated regime-shift risk if persists below -3
• Dispersion index 1.43 (low dispersion) → aligns with narrow reflation leadership in energy/tech
• Yield curve normal (spread 46bp) with rate_expectations tightening (+59bp) → supports sticky reflation without policy shock
• BULLISH_BIAS streak 7 days but -18pp weekly shift → monitor for bearish flip below 0.40 ratio
• CORN at +2.46σ ALERT and crude +20.2% 30d (momentum +54) → commodity firmness consistent with base case
• Geo risk score 0.38 in stable regime → low-coupling transmission into energy nodes only

---

## 2. Signal

| Asset | Price | Z-Score | Window | Direction |
|-------|-------|---------|--------|-----------|
| CORN | $19.92 | +2.46σ | 252d | up |
| IWM | $288.89 | -1.89σ | 30d | down |
| XLE * | $65.14 | +1.75σ | 252d | up |
| MSFT | $495.63 | +1.54σ | 252d | up |

---

## 3. Opportunity

- **Primary**: CORN: fade the ALERT for short-term pullback (68%)
- **Primary**: IWM vs XLE: relative long IWM/short XLE (57%)
- **Primary**: 10Y yields: position for yield curve stability (54%)
- **Primary**: BTC risk appetite: maintain mechanical long exposure (75%)
- **Secondary**: Sticky reflation continuation (CORN/crude/broad): commodities firm, 10Y elevated, selective equity leadership (49%)
- **Secondary**: VIX mean reversion after 1d -11.2% drop: supports risk assets in narrow leadership regime (56%)

---

## 4. Probabilities & Metrics

| Entry | Current | 7d Slope | Decay HL | Cascade Depth |
|-------|---------|----------|----------|---------------|
| Teucrium Corn Fund | 59% | N/A | TBD | 1 |
| russell2000 | 57% | N/A | TBD | 1 |
| Energy Select Sector | 57% | N/A | TBD | 1 |
| Microsoft Corporatio | 50% | N/A | TBD | 0 |

**Performance Scorecard**:
- Backtest (1042d): 574/1292, 44%, +359.7%
- Recent (7d): 3/8, 38%, -6.1%

---

**Sources**: FRED, yfinance, Market data, [scanner: PARTIAL (1/10 failed)]
**Next Calibration**: Run sentinel scanner for breakouts; Monitor: Persian Gulf escalation (Iranian drills) transmitting into oil supply shock; Monitor: CPI surprise >0.5% m/m reinforcing tightening and spiking yields >5.2%; Track: CORN pricing; Track: IWM vs XLE pricing
---

## 5. Shadow Experiments (DS8)

| arch1 | 0.3243 | 0.3369 | (-0.0015) | 902 | accumulating |
| Architecture | Shadow Brier | Prod Brier | Delta | n | Status |
|-------------|-------------|-----------|-------|---|--------|
| arch2 | 0.3243 | 0.3369 | (+0.0010) | 848 | accumulating |
| arch3 | 0.3155 | 0.3369 | (-0.0099) | 848 | accumulating |