The Silk - Core Forecast

2026-09-19 04:31 · v1.0
MEDIUM CONFIDENCE

Situation

Direction ratio 60% bullish but sliding -15pp/7d:breadth deteriorating toward the 0.40 bearish-flip threshold
Sigma intensity 1.60 (moderate), 0% critical / 60% alert / 40% watch:no >3σ extremes, mean-reversion base rate (77% [n=1686]) less dominant
Yield curve normal +46bp, rate expectations TIGHTENING (2y-ff +0.59%), 10Y grinding +7.4%/30d:duration-sensitive sectors (XLF, IWM, utilities) under pressure
XLF -2.29σ / IWM -2.20σ DOWN (ALERT):statistical extremes, but ALERT-tier long hit rate only 56% [n=1247]
BTC +5.9%/1d, silk_crypto block LONG since 2026-09-06, 20d corr +0.004 (barely positive):LONG persists but correlation edge is razor-thin

Signal

AssetPriceZ-ScoreWindowLevelTrade
XLF * $55.86 -2.29σ 30d alert SHORT
IWM $284.10 -2.20σ 60d alert SHORT
CORN * $19.70 +1.97σ 252d watch LONG
TSM * $434.67 +1.66σ 30d watch LONG
XLE $64.31 +1.53σ 252d watch LONG

Opportunity

PRIMARY
IWM (Russell 2000): Watch-size mean-reversion long only; edge modest given no >3σ
53%
PRIMARY
XLF (Financials): ALERT long hit rate 56% [n=1247] — modest edge, size accordingly
54%
PRIMARY
CORN (Teucrium Corn Fund): Mean-reversion short/fade against the WATCH-tier extension
55%
SECONDARY
Breadth erosion (direction ratio -15pp/7d, momentum -11): Narrowing leadership toward mega-cap tech raises reversal risk if the AI complex stalls; approaching 0.40 bearish-flip threshold
41%
SECONDARY
Rate expectations tightening + 10Y grind (2y-ff +0.59%, OLS ^TNX +3.4%): Higher-for-longer pressures XLF, IWM, utilities; 10Y +7.4%/30d with MOVE +13.2%/30d
51%
SECONDARY
XLF/IWM at statistical extremes (-2.29σ / -2.20σ, 30-day): ALERT-tier long hit rate 56% [n=1247]; mean-reversion bounce possible but no >3σ so reversion base rate weaker
46%

Performance Scorecard CALIBRATED since 2026-09-19

Backtest (1042d):574/1292, 44% [42%-47%], +359.7%
Recent (7d):1/5, 20% [4%-62%], -15.4%
Brier Score:0.261 FAIL (threshold: 0.25)