The Silk - Core Forecast

2026-09-18 04:32 · v1.0
WIDE CONFIDENCE

Situation

Interest RatesFinancial XLF 2.6σ alert p=60%Commodity CORN 2.2σ alert p=52%CurrencyCryptoFinancial → Interest Rates 2.6σ alert p=51%Interest RatesFinancial XLF 2.6σ alert p=60%Commodity CORN 2.2σ alert p=52%CurrencyCryptoRatesFinCmdFXCry
  • Interest Rates↗Expect the 10Y to grind modestly higher toward 4.7-4.8% over 20 sessions as tightening expectations hold and real yields stay elevated.
  • Financial↗OLSExpect a mean-reversion bounce in financials and small-caps over 20 sessions, but breadth erosion (-32pp/7d) caps upside and skews the index range to the downside.
  • Commodity↗Expect agricultural strength (corn) to partly mean-revert while energy stabilizes, leaving broad commodities choppy-to-firm over 20 sessions.
  • Currency↗Expect the dollar to hold firm-to-slightly-higher over 20 sessions on rate differentials, though OLS UUP -0.5% signals limited follow-through.
  • Crypto↗OLSExpect the FLAT block to persist through the next 20 sessions unless a boundary falls inside the window and the correlation sign flips positive.
Cascade threads (interpretive aid)
  • Financial spoke 2.6σ alert p=60% · DS 82% CT 56%
  • Commodity spoke 2.2σ alert p=52% · DS 73% CT 56%
  • Financial → Interest Rates chord 2.6σ alert p=51% · DS 82% CT 56%
Direction ratio 50% (-32pp/7d):breadth fracturing; bearish flip triggers below 0.40, now at the knife-edge → down bias building [n=2712 long signals 56%]

Signal

AssetPriceZ-ScoreWindowLevelTrade
XLF $55.88 -2.60σ 30d alert SHORT
CORN $19.83 +2.16σ 252d alert LONG
IWM * $285.43 -2.05σ 60d alert SHORT
XLE $64.48 +1.57σ 252d watch LONG
MSFT * $497.75 +1.56σ 252d watch LONG

Opportunity

PRIMARY
XLF (Financials): Long XLF for 4-day mean-reversion trade; note over 30 days the system runs ~7 independent 4-day trades against a fracturing-breadth backdrop that caps the trend
60%
PRIMARY
IWM (Russell 2000): Watch-size only — bounce probability ~56% [n=2712] offset by rate drag; not risk-size until breadth stabilizes above 0.40 ratio
54%
PRIMARY
CORN (Teucrium Corn Fund): Fade extension or stand aside; long-continuation only 57% [n=1615] vs reversion 77% [n=1686]
52%
SECONDARY
Breadth erosion (direction ratio -32pp/7d, momentum -12): Direction ratio at 0.50 near bearish-flip threshold of 0.40; sustained momentum <-3 for 3+ days is a breadth warning that historically precedes index softness
48%
SECONDARY
XLF/IWM at statistical extremes (-2.60σ / -2.05σ, 30-day window): 2σ+ signals mean-revert 77% within 6d [n=1686]; anchor is mean reversion, favoring a short-term bounce in financials and small-caps
51%
SECONDARY
Rate expectations tightening + 10Y grind (2y-ff +0.59%, OLS ^TNX +3.4%): Real-yield grind pressures rate-sensitive financials/small-caps; OLS ^TNX MUST-agree at 89% hit [n=36]
51%

Performance Scorecard CALIBRATED since 2026-09-18

Backtest (1042d):574/1292, 44% [42%-47%], +359.7%
Recent (7d):3/6, 50% [19%-81%], -8.7%
Brier Score:0.261 FAIL (threshold: 0.25)