The Silk - Core Forecast

2026-09-14 04:36 · v1.0
MEDIUM CONFIDENCE

Situation

Interest Rates↗55%
Normal curve at 106bp with tightening expectations after 4-6% yield rise set up for continuation
2-day forecastYields likely to edge higher over next 2 sessions on persistent tightening if 2y-fed funds spread widens beyond 60bp, expect 10Y to test 5.05%
Watch
  • 2y-fed funds spread >60bp
  • VIX holds above 17.5
  • 10Y breaks 5.0%
34% [n=90] Brier 0.299
Financial↘57%
Mixed indices with IWM -1.89σ DOWN and XLE +1.75σ UP showing energy rotation amid VIX momentum
2-day forecastBroad equities likely to drift lower over next 2 sessions if breadth momentum stays below -5, with small caps underperforming on rising yields
Watch
  • direction ratio <0.70
  • VIX >18
  • IWM breaks below 285
31% [n=90] Brier 0.286
Commodity↘72%
CORN at +2.45σ ALERT UP after +18% 30d with crude leading but metals weak
2-day forecastMean reversion expected on ag/energy extremes with prices likely to pull back over next 2 sessions if no geopolitical escalation, corn below 520 triggers faster decline
Watch
  • corn <520
  • crude fails to hold 102
  • no supply disruption news
34% [n=90] Brier 0.301
Currency→62%
Major pairs stable near recent levels with rate differentials supporting mild USD tone
2-day forecastPairs likely to remain rangebound over next 2 sessions with slight USD bias if 10Y yield rises, EURUSD to test 1.155 if yield spread widens 5bp
Watch
  • 10Y yield >4.95%
  • USDCNY holds below 6.72
  • no ECB divergence
24% [n=90] Brier 0.306
Crypto↗56%
BTC in LONG block (since 2026-09-06) with +0.180 20d USDC-vol corr and no boundary today
2-day forecastLONG state expected to persist over next 2 sessions with mild positive drift if 20d correlation remains >0 and no block boundary triggers
Watch
  • 20d corr >0
  • BTC holds above 76000
  • no block boundary
32% [n=90] Brier 0.254
Direction ratio 0.75 bullish but -25pp weekly shift:bullish bias eroding with contracting momentum

Signal

AssetPriceZ-ScoreWindowLevelTrade
CORN $19.92 +2.45σ 252d alert LONG
IWM * $288.89 -1.89σ 30d watch SHORT
XLE $65.14 +1.75σ 252d watch LONG
MSFT $495.63 +1.55σ 252d watch LONG

Opportunity

PRIMARY
CORN: short CORN on reversion setup
72%
PRIMARY
IWM vs XLE: pair long XLE/short IWM
55%
PRIMARY
BTC risk appetite: hold LONG per mechanical rule, exit on corr flip
60%
PRIMARY
10Y yields: tactical short duration if breaks 5.05%
54%
SECONDARY
Mean reversion on CORN +2.45σ ALERT and crude 30d gains: cools reflation continuation
61%
SECONDARY
IWM -1.89σ DOWN vs XLE +1.75σ UP rotation: breadth contraction in financials
49%

Performance Scorecard CALIBRATED since 2026-09-14

Backtest (1042d):574/1292, 44% [42%-47%], +359.7%
Recent (7d):3/7, 43% [16%-75%], +0.7%
Brier Score:0.261 FAIL (threshold: 0.25)