# Core Forecast - 2026-09-14

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

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## 1. Situation

### Markets

• Interest Rates: → yields biased higher on rate path but capped by stable geo
• Financial: → rotation to energy, small-cap weakness pressuring breadth
• Commodity: → ags/energy at statistical extremes favoring reversion, metals lagging
• Currency: → mild USD resilience on yield differential with low vol
• Crypto: → mechanical risk appetite stable with LONG persisting
<!-- panels-json: {"interest_rates": {"headline": "Normal curve at 106bp with tightening expectations after 4-6% yield rise set up for continuation", "two_day_forecast": "Yields 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%", "direction": "up", "confidence": 0.55, "triggers": ["2y-fed funds spread >60bp", "VIX holds above 17.5", "10Y breaks 5.0%"], "calibration": {"sample_size": 90, "hit_rate": 0.34444444444444444, "brier_score": 0.2985033333333334}}, "financial": {"headline": "Mixed indices with IWM -1.89\u03c3 DOWN and XLE +1.75\u03c3 UP showing energy rotation amid VIX momentum", "two_day_forecast": "Broad equities likely to drift lower over next 2 sessions if breadth momentum stays below -5, with small caps underperforming on rising yields", "direction": "down", "confidence": 0.57, "triggers": ["direction ratio <0.70", "VIX >18", "IWM breaks below 285"], "calibration": {"sample_size": 90, "hit_rate": 0.3111111111111111, "brier_score": 0.28593777777777774}}, "commodity": {"headline": "CORN at +2.45\u03c3 ALERT UP after +18% 30d with crude leading but metals weak", "two_day_forecast": "Mean 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", "direction": "down", "confidence": 0.72, "triggers": ["corn <520", "crude fails to hold 102", "no supply disruption news"], "calibration": {"sample_size": 90, "hit_rate": 0.34444444444444444, "brier_score": 0.30145}}, "currency": {"headline": "Major pairs stable near recent levels with rate differentials supporting mild USD tone", "two_day_forecast": "Pairs 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", "direction": "neutral", "confidence": 0.62, "triggers": ["10Y yield >4.95%", "USDCNY holds below 6.72", "no ECB divergence"], "calibration": {"sample_size": 90, "hit_rate": 0.24444444444444444, "brier_score": 0.30602555555555555}}, "crypto": {"headline": "BTC in LONG block (since 2026-09-06) with +0.180 20d USDC-vol corr and no boundary today", "two_day_forecast": "LONG state expected to persist over next 2 sessions with mild positive drift if 20d correlation remains >0 and no block boundary triggers", "direction": "up", "confidence": 0.56, "triggers": ["20d corr >0", "BTC holds above 76000", "no block boundary"], "calibration": {"sample_size": 90, "hit_rate": 0.32222222222222224, "brier_score": 0.25440111111111113}}} -->

### Quant

• Direction ratio at 75% bullish (-25pp weekly)
• Sigma intensity at 1.25 with 25% ALERT signals
• BULLISH_BIAS streak at 7 consecutive days
• Yield curve normal at +106bp
• Rate expectations tightening at +59bp (2y minus fed funds)
• Geopolitical risk 0.48 (stable)
• Dispersion index 1.43
• Direction ratio 0.75 bullish but -25pp weekly shift → bullish bias eroding with contracting momentum
• Sigma intensity 1.25 (low conviction), signal distribution 0% critical 25% alert 75% watch → mean reversion base rate 77% on 2σ+ signals [n=1686]
• Breadth momentum -8 contracting, dispersion index 1.43 (low) → limited coordinated risk-on moves expected
• Yield curve normal with 106bp spread, rate expectations tightening +59bp → higher for longer priced with stable transmission
• Geo risk score 0.48 in stable regime → contained hotspots, primary energy channel with muted orthogonal confirmation per GMT5
• BULLISH_BIAS streak 7 days but shifting bearish → regime transition risk if ratio <0.40
• Commodities broad +10.1% 30d led by crude +26.6% corn +18.1% at +2.45σ → reflation theme vulnerable to reversion at extremes

---

## 2. Signal

| Asset | Price | Z-Score | Window | Direction |
|-------|-------|---------|--------|-----------|
| CORN | $19.92 | +2.45σ | 252d | up |
| IWM * | $288.89 | -1.89σ | 30d | down |
| XLE | $65.14 | +1.75σ | 252d | up |
| MSFT | $495.63 | +1.55σ | 252d | up |

---

## 3. 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%)

---

## 4. Probabilities & Metrics

| Entry | Current | 7d Slope | Decay HL | Cascade Depth |
|-------|---------|----------|----------|---------------|
| Teucrium Corn Fund | 67% | N/A | TBD | 2 |
| russell2000 | 52% | N/A | TBD | 1 |
| Energy Select Sector | 52% | N/A | TBD | 1 |
| Microsoft Corporatio | 50% | N/A | TBD | 0 |

**Performance Scorecard**:
- Backtest (1042d): 574/1292, 44%, +359.7%
- Recent (7d): 2/6, 33%, -6.8%

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**Sources**: FRED, yfinance, Market data, [scanner: PARTIAL (1/10 failed)]
**Next Calibration**: Run sentinel scanner for breakouts; Monitor: Middle East proxy escalation (Iran/Hezbollah) disrupting oil chokepoint per GMT2-3; Monitor: Russia-Ukraine winter energy shock transmitting to natgas/corn; Track: CORN pricing; Track: IWM vs XLE pricing
---

## 5. Shadow Experiments (DS8)

| arch1 | 0.3242 | 0.3370 | (-0.0019) | 908 | accumulating |
| Architecture | Shadow Brier | Prod Brier | Delta | n | Status |
|-------------|-------------|-----------|-------|---|--------|
| arch2 | 0.3245 | 0.3370 | (+0.0010) | 854 | accumulating |
| arch3 | 0.3159 | 0.3370 | (-0.0097) | 854 | accumulating |