Wrap verdict
SPY +0.36% since prior close; Quality / Low-Vol Uptrend leads (+0.02%), Oversold / Mean-Reversion Watch lags (-2.27%).
Constructive RotationConstructive Rotation — historically persists ~5 trading days; p(stay) 0.80; a risk-STATE gauge — monotone in forward volatility, not direction.
Actionable Trading Ideas
High convictionregime:04 · n=194
Regime context — size to the state: Constructive Rotation
Constructive Rotation (composite 0.73, confidence 0.80)
This regime historically persists ~5 td, p_stay 0.80. Labels are monotone in forward VOLATILITY, not direction — Distribution Risk historically preceded the BEST fwd-20d returns (+2.54%).
ExpressSet gross/net to the volatility state, not the label's tone; keep position sizing modest here.
FramingA risk-state gauge: size positions, do not chase direction off the label.
InvalidationInvalidated on a confirmed regime transition (the two-run confirmation rule).
Medium convictionsigma:04 · n=28
Stretched factor — mean-reversion watch: Quality - Extended Risk d1
Quality - Extended Risk d1 = +1.63% (+2.40σ vs 60d)
2.40σ extended vs 60d (n=28). Factor and regime extremes are risk-STATE signals, not direction calls (ref: the -3.45σ Momentum-LowVol week).
ExpressExpress via the pair: fade the leg that ran — long Extended Momentum Risk / short Quality / Low-Vol Uptrend (or trim the spread).
FramingA >=2σ dislocation has historically reverted more often than it extends — this is a fade-the-extreme probability, not a directional forecast.
InvalidationInvalidated if the print keeps widening on rising volume or a fresh regime break confirms the move.
Medium convictionsigma:04 · n=252
Stretched factor — mean-reversion watch: Growth - Value d1
Growth - Value d1 = +1.85% (+2.18σ vs 252d)
2.18σ extended vs 252d (n=252). Factor and regime extremes are risk-STATE signals, not direction calls (ref: the -3.45σ Momentum-LowVol week).
ExpressExpress via the pair: fade the leg that ran — long IWD / short IWF (or trim the spread).
FramingA >=2σ dislocation has historically reverted more often than it extends — this is a fade-the-extreme probability, not a directional forecast.
InvalidationInvalidated if the print keeps widening on rising volume or a fresh regime break confirms the move.
Medium convictionsigma:04 · n=28
Stretched factor — mean-reversion watch: Oversold / Mean-Reversion Watch d1
Oversold / Mean-Reversion Watch d1 = -2.27% (-2.08σ vs 60d)
2.08σ compressed vs 60d (n=28). Factor and regime extremes are risk-STATE signals, not direction calls (ref: the -3.45σ Momentum-LowVol week).
ExpressTrim or rotate exposure in the named basket; do not add into the extreme.
FramingA >=2σ dislocation has historically reverted more often than it extends — this is a fade-the-extreme probability, not a directional forecast.
InvalidationInvalidated if the print keeps widening on rising volume or a fresh regime break confirms the move.
Low convictiongap:01 · n=74435
Gap fade — down-gap bounce into the close
IBM gapped -21.28% at the open
Down-gaps >=1% have bounced +13-14bps from 10:00 into the close (n=74,435, t=14.3, 51.6% up); strongest faders DIA/XLE/XLI/KRE/MDY/SPY.
ExpressFade intraday weakness in IBM, TSHA, APP, PHAT, RXT from ~10:00 ET toward the close.
FramingA small positive-expectancy mean-reversion, not a conviction long — tiny edge, tight risk.
InvalidationInvalidated if the gap keeps trending down through 10:30 on expanding volume.
Low convictiongap:01
Gap continuation — XHB up-gap follow-through
XHB gapped +1.28% at the open
Up-gaps show no open->close follow-through edge across proxies EXCEPT XHB (+0.22, t=2.63, 57% follow).
ExpressOnly XHB carries an up-gap continuation edge; treat other up-gaps as no-edge.
FramingA narrow, name-specific continuation edge — not a market signal.
InvalidationInvalidated on a failed open-range breakout.
SPY+0.36%gap +0.23% · open +0.12%
Best factor+0.02%Quality / Low-Vol Uptrend
Worst factor-2.27%Oversold / Mean-Reversion Watch
Breadth23%baskets +ve · A/D 464/532
Sigma Board
−3σ0+3σ
Quality - Extended Risk d1spread · +1.63% · 60d · n=28+2.40σ
Growth - Value d1spread · +1.85% · 252d · n=252+2.18σ
Oversold / Mean-Reversion Watch d1basket · -2.27% · 60d · n=28-2.08σ
Extended Momentum Risk d1basket · -1.61% · 60d · n=28-1.70σ
Momentum - LowVol d1spread · +2.59% · 252d · n=252+1.67σ
% above SMA200breadth · 67.40 · 60d · n=60+1.46σ
EqualWeight - CapWeight d1spread · -0.72% · 252d · n=252-1.39σ
Growth - Value w1spread · +2.10% · 252d · n=252+1.24σ
Momentum - LowVol w1spread · +3.84% · 252d · n=252+1.12σ
HighBeta - LowVol d1spread · +2.10% · 252d · n=252+1.10σ
Semis - Market d1spread · +2.15% · 252d · n=252+1.09σ
Credit w1spread · +0.52% · 252d · n=252+1.03σ
Realized volatility sits at the 58.1st percentile of the two-year distribution, confirming a moderate environment. True range relative to average true range (ATR) is 0.496, while intraday range relative to its 20-day average is 0.569—both below heightened stress thresholds. Across production baskets, median relative volume ranged from 0.41 (Quality / Low-Vol Uptrend) to 0.83 (Oversold / Mean-Reversion Watch), with no basket showing more than 3.6% of members trading above 1.5x normal volume, indicating broad calm.
Sector Rotation
Energy+3.22%
Real Estate+0.49%
Utilities+0.43%
Financials+0.15%
Materials-0.01%
Industrials-0.38%
Communication Services-0.51%
Consumer Staples-0.85%
Consumer Discretionary-0.87%
Information Technology-0.91%
Health Care-1.28%
Sector leadership is bifurcated: Consumer Staples, Information Technology, Industrials, and Communication Services are in a Basing / early-cycle phase, while Health Care, Financials, and Energy are in Expansion / late acceleration. Consumer Discretionary, Real Estate, Materials, and Utilities are resetting within their trends. The rotation component score is 0.65, with short-term momentum correlation positive at 0.2143 but no leadership flip, indicating orderly rotation rather than abrupt shift. Over three days, Energy led with a 3.17% gain, while Nano Cap underperformers fell 5.08%.
Themes and Keyword Baskets
Cybersecurity+1.3%1D
154 names · 71% cov
ID+1.3%WTD+1.3%MTD+2.0%YTD+16.1%
Cloud Software+0.1%1D
279 names · 80% cov
ID+0.1%WTD+0.1%MTD+2.6%YTD+12.9%
Financials / Credit+0.1%1D
694 names · 63% cov
ID+0.1%WTD+0.1%MTD+1.4%YTD+12.9%
Commodities / Materials+0.1%1D
186 names · 74% cov
ID+0.1%WTD+0.1%MTD-3.9%YTD+11.7%
Oil & Gas-0.0%1D
377 names · 78% cov
ID-0.0%WTD-0.0%MTD+0.1%YTD+22.9%
Housing / Real Estate-0.2%1D
445 names · 70% cov
ID-0.2%WTD-0.2%MTD-1.4%YTD+11.5%
Crypto / Digital Assets-0.2%1D
155 names · 69% cov
ID-0.2%WTD-0.2%MTD+1.3%YTD+16.6%
Macro Rates / Inflation-0.3%1D
505 names · 77% covaggregate only
ID-0.4%WTD-0.3%MTD-0.9%YTD+14.6%
AI Infrastructure-0.4%1D
857 names · 81% cov
ID-0.4%WTD-0.4%MTD-2.5%YTD+23.2%
Industrial Automation-0.6%1D
511 names · 77% cov
ID-0.6%WTD-0.6%MTD-3.3%YTD+23.4%
Consumer / Retail-0.7%1D
492 names · 74% cov
ID-0.7%WTD-0.7%MTD-0.5%YTD+6.5%
Energy Transition-0.7%1D
1192 names · 67% cov
ID-0.7%WTD-0.7%MTD-1.9%YTD+17.0%
Defense / Aerospace-0.9%1D
264 names · 81% cov
ID-0.9%WTD-0.9%MTD-5.7%YTD+24.8%
Semiconductors-1.1%1D
250 names · 90% cov
ID-1.1%WTD-1.1%MTD-6.2%YTD+46.8%
Healthcare / Biotech degraded-1.9%1D
641 names · 58% cov
ID-1.9%WTD-1.9%MTD-0.4%YTD+24.6%
The Thematic Momentum Leadership basket declined 0.23% on the day, though it remains up 0.70% for the week. The pattern census shows 86 breakouts versus 32 breakdowns, suggesting continued appetite for trend-following setups. Top technical setups include short double-top patterns in PSKY and RIOT, and long double-bottom in FTDR. However, intraday confirmation for screener top names was mostly negative, with only OZK confirming. The regime’s constructive rotation supports selective thematic positioning, but near-term follow-through has been inconsistent.
Factor × Sector Map
Thematic Momentum Leadershipn6
Energy
+7.0%1D
ID+7.0%WTD+7.0%MTD+16.9%
Neutral / Transitionn27
Energy
+2.9%1D
ID+2.9%WTD+2.9%MTD+5.5%
Oversold / Mean-Reversion Watchn3
Materials
+2.1%1D
ID+2.1%WTD+2.1%MTD-13.0%
Broken Momentum / Avoidn6
Energy
+1.2%1D
ID+1.2%WTD+1.2%MTD-1.1%
Broken Momentum / Avoidn3
Utilities
+1.0%1D
ID+1.0%WTD+1.0%MTD+1.0%
Broken Momentum / Avoidn12
Financials
+0.9%1D
ID+0.9%WTD+0.9%MTD+7.2%
Neutral / Transitionn50
Real Estate
+0.6%1D
ID+0.6%WTD+0.6%MTD+1.1%
Neutral / Transitionn38
Utilities
+0.6%1D
ID+0.6%WTD+0.6%MTD+1.0%
Broken Momentum / Avoidn12
Materials
+0.5%1D
ID+0.5%WTD+0.5%MTD+0.9%
Thematic Momentum Leadershipn42
Information Technology
+0.4%1D
ID+0.4%WTD+0.4%MTD-3.8%
Neutral / Transitionn103
Financials
+0.2%1D
ID+0.2%WTD+0.2%MTD+2.6%
Thematic Momentum Leadershipn5
Real Estate
+0.1%1D
ID+0.1%WTD+0.1%MTD-0.5%
Broken Momentum / Avoidn26
Industrials
+0.1%1D
ID+0.1%WTD+0.1%MTD-3.7%
Broken Momentum / Avoidn11
Real Estate
+0.0%1D
ID+0.0%WTD+0.0%MTD+0.2%
Neutral / Transitionn21
Communication Services
-0.1%1D
ID-0.1%WTD-0.1%MTD+4.2%
Thematic Momentum Leadershipn29
Financials
-0.1%1D
ID-0.1%WTD-0.1%MTD+4.7%
Neutral / Transitionn118
Industrials
-0.3%1D
ID-0.3%WTD-0.3%MTD-4.0%
Thematic Momentum Leadershipn17
Consumer Discretionary
-0.3%1D
ID-0.3%WTD-0.3%MTD+3.0%
Neutral / Transitionn22
Materials
-0.4%1D
ID-0.4%WTD-0.4%MTD-3.2%
Broken Momentum / Avoidn14
Communication Services
-0.4%1D
ID-0.4%WTD-0.4%MTD+0.3%
Broken Momentum / Avoidn23
Consumer Discretionary
-0.6%1D
ID-0.6%WTD-0.6%MTD-0.9%
Broken Momentum / Avoidn12
Consumer Staples
-0.7%1D
ID-0.7%WTD-0.7%MTD+1.0%
Broken Momentum / Avoidn19
Information Technology
-0.8%1D
ID-0.8%WTD-0.8%MTD+2.9%
Oversold / Mean-Reversion Watchn10
Industrials
-0.8%1D
ID-0.8%WTD-0.8%MTD-13.1%
Neutral / Transitionn29
Consumer Staples
-0.8%1D
ID-0.8%WTD-0.8%MTD+0.9%
Thematic Momentum Leadershipn48
Health Care
-1.0%1D
ID-1.0%WTD-1.0%MTD+1.0%
Neutral / Transitionn66
Consumer Discretionary
-1.1%1D
ID-1.1%WTD-1.1%MTD-2.1%
Neutral / Transitionn96
Information Technology
-1.1%1D
ID-1.1%WTD-1.1%MTD-3.4%
Thematic Momentum Leadershipn6
Consumer Staples
-1.2%1D
ID-1.2%WTD-1.2%MTD+1.4%
Thematic Momentum Leadershipn22
Industrials
-1.3%1D
ID-1.3%WTD-1.3%MTD-5.3%
Neutral / Transitionn70
Health Care
-1.4%1D
ID-1.4%WTD-1.4%MTD+1.0%
Thematic Momentum Leadershipn6
Communication Services
-1.6%1D
ID-1.6%WTD-1.6%MTD-3.4%
Oversold / Mean-Reversion Watchn3
Utilities
-1.7%1D
ID-1.7%WTD-1.7%MTD-4.1%
Broken Momentum / Avoidn7
Health Care
-2.1%1D
ID-2.1%WTD-2.1%MTD+0.6%
Oversold / Mean-Reversion Watchn7
Information Technology
-6.0%1D
ID-6.0%WTD-6.0%MTD-18.8%
Regime Assessment
trend+1.05
breadth+0.50
volatility+1.00
rotation+0.65
size-0.50
style+1.50
p(stay 1d)0.80
p(persist 5d)0.31
expected dwell5.0 td
samplen=194
Labels are monotone in forward VOLATILITY, not direction — size positions to the risk state, don't chase the label. Transition is empirical; a label change needs two-run confirmation.
The factor regime is Constructive Rotation with a confidence of 0.8 and composite score 0.7275. One-day persistence probability is 0.8, but five-day persistence drops to 0.31, with an expected dwell of 5.0 days. Trend scores 1.05, supported by SPY 1.33% above its 50-day and 8.19% above its 200-day moving average. Breadth is neutral at 0.5, as 62.61% of members are above their 50-day SMA but advance-decline ratio is 0.872. Volatility signals are contained with a score of 1.0, while size factor shows relative small-cap weakness at -0.5. Style factor leads at 1.5, driven by momentum-low volatility spread of 3.84% on the week.
Session Snapshot
SPY+0.4%rvol 0.6
QQQ+1.1%rvol 0.7
DIA+0.0%rvol 0.8
IWM+0.3%rvol 0.7
MDY+0.5%rvol 0.8
IJR+0.3%rvol 0.6
RSP-0.4%rvol 0.9
VTI+0.4%rvol 1.0
XLK+1.3%rvol 0.6
XLF+0.2%rvol 1.2
XLE+0.4%rvol 1.0
XLV-1.9%rvol 1.1
XLI+0.0%rvol 0.9
XLY-0.1%rvol 0.8
XLP-1.4%rvol 0.7
XLU-0.1%rvol 0.8
XLB+0.1%rvol 0.7
XLC-0.1%rvol 0.6
XLRE-0.5%rvol 0.7
MTUM+1.6%rvol 0.8
VLUE+0.8%rvol 0.5
QUAL+0.3%rvol 0.6
USMV-1.0%rvol 0.9
SPLV-0.7%rvol 0.7
SPHB+1.4%rvol 1.5
IWF+1.4%rvol 0.7
IWD-0.5%rvol 0.3
VUG+0.9%rvol 0.9
VTV-0.3%rvol 1.0
SMH+2.5%rvol 0.7
XBI+0.1%rvol 0.8
ITA+0.1%rvol 0.6
KRE-0.2%rvol 0.7
XHB+1.0%rvol 0.8
TAN+3.8%rvol 0.5
TLT+0.1%rvol 0.9
IEF+0.3%rvol 0.8
HYG+0.2%rvol 0.9
LQD+0.2%rvol 1.2
GLD+1.4%rvol 0.8
USO+2.0%rvol 1.7
UUP-0.4%rvol 1.1
The Constructive Rotation regime (composite 0.73, confidence 0.8) prevailed with volatility components near their two-year median (RV percentile 58.1, TR/ATR 0.496, intraday range 0.569 of 20-day average). Breadth was negative on the session: 62.6% of issues held above their 50-day moving average and 67.4% above their 200-day, but the advance-decline ratio stood at 0.872, indicating more decliners. Style factors extended their recent momentum with momentum versus low-volatility up 3.84% over the week and high-beta versus low-volatility up 2.66%.
What Worked Today
| Basket | Side | Ticker | Return | Weight |
|---|
| Quality / Low-Vol Uptrend | top | GTLS | +0.02% | 1.00 |
| Broken Momentum / Avoid | top | PLTR | +5.47% | 0.04 |
| Broken Momentum / Avoid | top | CRM | +2.60% | 0.02 |
| Broken Momentum / Avoid | top | COST | +0.60% | 0.07 |
| Broken Momentum / Avoid | bottom | ISRG | -6.71% | 0.02 |
| Broken Momentum / Avoid | bottom | CRWV | -10.06% | 0.01 |
| Broken Momentum / Avoid | bottom | MCD | -2.06% | 0.03 |
| Oversold / Mean-Reversion Watch | top | EQT | +1.97% | 0.04 |
| Oversold / Mean-Reversion Watch | top | SOLS | +3.36% | 0.02 |
| Oversold / Mean-Reversion Watch | top | MLI | +2.46% | 0.02 |
| Oversold / Mean-Reversion Watch | bottom | ORCL | -9.03% | 0.57 |
| Oversold / Mean-Reversion Watch | bottom | IONQ | -8.33% | 0.02 |
| Oversold / Mean-Reversion Watch | bottom | APLD | -8.60% | 0.01 |
Only Quality / Low-Vol Uptrend, a single-member basket, posted a positive return of 0.02% on the day. All other factor baskets declined, with Oversold / Mean-Reversion Watch dropping 2.27%, Smaller-Cap High-Beta Breakout down 0.46%, and Thematic Momentum Leadership off 0.23%. The broad Neutral / Transition basket fell 0.30%. The performance spread reflects a defensive bias, consistent with the low relative volume in low-volatility names and quiet selling in broken momentum.
Size and Breadth
| Size bucket | N | Intraday | D1 | WTD | Breadth |
|---|
| Large (>=5B) | 1003 | -0.33% | -0.33% | -0.33% | 46.4% adv |
| Micro Cap $250M-$1B | 220 | -1.06% | -1.05% | -1.05% | 34.4% adv |
| Nano Cap <$250M | 16 | -2.29% | -2.29% | -2.29% | 37.5% adv |
| Small Cap $1B-$5B | 805 | -0.29% | -0.29% | -0.29% | 47.6% adv |
| % > SMA50 | % > SMA200 | Advancers | Decliners | % Baskets Positive |
|---|
| 62.6% | 67.4% | 464 | 532 | 22.9% |
Small caps underperformed large caps, with the Small - Large spread down 0.93% over three days and 1.12% for the week. Breadth remained narrow but stable: 62.6% of stocks are above their 50-day moving average, yet only 22.9% of baskets are positive, and the advance-decline ratio is 0.872. The breadth score sits at 0.5, reflecting a flat internal trend. Mega-cap leadership continues to mask underlying weakness, as the equal-weighted versus cap-weighted spread was flat at -0.04%.
Volume and Participation
| Dimension | Basket | Median RVol | % Members RVol>1.5 |
|---|
| production | Broken Momentum / Avoid | 0.67 | 3.4% |
| production | Extended Momentum Risk | 0.71 | 0.0% |
| production | Neutral / Transition | 0.72 | 3.1% |
| production | Oversold / Mean-Reversion Watch | 0.83 | 3.6% |
| production | Quality / Low-Vol Uptrend | 0.41 | 0.0% |
| production | Smaller-Cap High-Beta Breakout | 0.57 | 0.0% |
| production | Thematic Momentum Leadership | 0.72 | 2.2% |
| Ticker | Basket | RVol | Return | Note |
|---|
| IBM | Neutral / Transition | 8.20 | -24.51% | distribution volume |
| BIIB | Neutral / Transition | 2.92 | -3.62% | distribution volume |
| HCA | Neutral / Transition | 2.76 | -10.57% | distribution volume |
| WFC | Neutral / Transition | 2.64 | -2.15% | distribution volume |
| GEHC | Neutral / Transition | 2.55 | -4.70% | distribution volume |
Volume was subdued across most factor baskets, with the lowest median relative volume in Quality / Low-Vol Uptrend at 0.41 and the highest in Oversold / Mean-Reversion Watch at 0.83. Distribution volume anomalies emerged in Neutral / Transition, notably IBM with 8.2x relative volume on a 24.51% decline, along with BIIB and HCA. Only 3.4% of Broken Momentum / Avoid members exceeded 1.5x relative volume, indicating that selling pressure lacked intensity. The overall low participation suggests a rotational rather than panicked market.
Cross-Asset Confirmation
CAC +1.00 — risk-supportive (positive = risk-supportive)
| Signal | 5d | Points |
|---|
| Credit (HYG−LQD) | +1.15% | +0.60 |
| Risk vs defensives | +2.55% | +0.40 |
| Dollar (−UUP) | -0.64% | -0.15 |
| Curve (IEF/TLT) | +0.80% | +0.15 |
Duration-in-disguise — 63d TLT beta of style spreads
| Spread | TLT β | β · SPY-ctrl | | β | %ile | Duration read |
|---|
| Momentum - LowVol | 1.35 | 0.24 | 100% | duration-driven (current, unstable) |
| Growth - Value | 0.23 | -0.21 | 92% | duration-driven (current, unstable) |
| HighBeta - LowVol | 1.48 | -0.01 | 100% | duration-driven (current, unstable) |
| Small - Large | 0.62 | 0.68 | 98% | duration-driven (persistent) |
Opportunity Watchlist
| Ticker | Sector | Opportunity | Wave stage | Regime fit |
|---|
| OKLO | Utilities | 93.2 | Wave 1 / accumulation | 95.8 |
| SWKS | Information Technology | 90.3 | Wave 1 / accumulation | 92.9 |
| TAP | Consumer Staples | 91.4 | Wave 1 / accumulation | 91.9 |
| OZK | Financials | 86.3 | Wave 3-5 / breakout | 91.5 |
| CGON | Health Care | 85.1 | Wave 3-5 / breakout | 90.3 |
| Ticker | Since close | Vs basket | Read |
|---|
| OKLO | -5.34% | -3.07% | diverges |
| SWKS | -6.29% | -4.02% | diverges |
| TAP | -0.79% | -0.60% | diverges |
| OZK | +0.22% | +0.52% | confirms |
| CGON | -4.61% | -4.38% | diverges |
The factor opportunity set highlights OKLO (opportunity score 93.2, Wave 1 accumulation) as the highest-ranked name, but it failed intraday confirmation, falling 5.34% after close. SWKS (90.3) also broke down post-close, declining 6.29%. In contrast, OZK (86.3, Wave 3-5 breakout) confirmed with a 0.22% gain intraday, showing relative strength versus its Neutral/Transition basket. TAP (91.4) and CGON (85.1) did not confirm, with post-close drops of 0.79% and 4.61% respectively. Long setups remain selective; only OZK provided immediate validation.
3D Summary
| Side | Dimension | Basket | Return |
|---|
| best | sector | Energy | +3.17% |
| best | sector | Utilities | +1.02% |
| best | sector | Consumer Staples | +0.70% |
| worst | size | Nano Cap <$250M | -5.08% |
| worst | style | Oversold / Mean-Reversion Watch | -3.73% |
| worst | production | Oversold / Mean-Reversion Watch | -3.73% |
| Spread | Move |
|---|
| Momentum - LowVol | +0.29% |
| HighBeta - LowVol | -1.77% |
| Growth - Value | -0.05% |
| Small - Large | -0.93% |
| EqualWeight - CapWeight | -0.04% |
| Credit | +0.38% |
| Duration | -0.49% |
| Semis - Market | -1.24% |
| Quality - Extended Risk | +1.75% |
Breadth trend: flat.
| Date | Mode | Regime | Composite | Top basket | Bottom basket | SPY D1 |
|---|
| 2026-07-10 | wrap | Constructive Rotation | 0.6 | Broken Momentum / Avoid | Extended Momentum Risk | +0.43% |
| 2026-07-13 | wrap | Choppy Neutral | 0.4 | Smaller-Cap High-Beta Breakout | Oversold / Mean-Reversion Watch | -0.77% |
Over the last three sessions, factor returns were led by sector rotations: Energy gained 3.17%, Utilities 1.02%, and Consumer Staples 0.70%. At the bottom, Nano Cap ($<250M) fell 5.08% and Oversold/Mean-Reversion Watch declined 3.73%. Spreads reflected defensive positioning: HighBeta - LowVol dropped 1.77%, while Semis - Market slid 1.24%. Momentum - LowVol inched up 0.29%, but breadth remained flat. The regime path shifted from a 0.5575 composite on July 10 to 0.3675 on July 13.
WTD Summary
| Side | Dimension | Basket | Return |
|---|
| best | sector | Energy | +3.22% |
| best | theme | Cybersecurity | +1.33% |
| best | style | Momentum Breakout / Leadership | +0.67% |
| worst | size | Nano Cap <$250M | -2.29% |
| worst | style | Oversold / Mean-Reversion Watch | -2.27% |
| worst | production | Oversold / Mean-Reversion Watch | -2.27% |
| Spread | Move |
|---|
| Momentum - LowVol | +0.28% |
| HighBeta - LowVol | -1.20% |
| Growth - Value | -0.39% |
| Small - Large | -0.09% |
| EqualWeight - CapWeight | +0.02% |
| Credit | +0.20% |
| Duration | -0.46% |
| Semis - Market | -1.34% |
| Quality - Extended Risk | +1.63% |
Breadth trend: flat.
| Date | Mode | Regime | Composite | Top basket | Bottom basket | SPY D1 |
|---|
| 2026-07-13 | wrap | Choppy Neutral | 0.4 | Smaller-Cap High-Beta Breakout | Oversold / Mean-Reversion Watch | -0.77% |
Week-to-date through July 13, Energy led with a 3.22% return, followed by Cybersecurity at 1.33% and Momentum Breakout/Leadership at 0.67%. Nano Cap ($<250M) and Oversold/Mean-Reversion Watch both declined around 2.3%. Risk spreads favored low volatility: HighBeta - LowVol contracted 1.20%, while Semis - Market fell 1.34%. The Choppy Neutral regime on July 13 registered a composite of 0.3675, with flat breadth and no single-day path preceding it in the digest.
MTD Summary
| Side | Dimension | Basket | Return |
|---|
| best | production | Smaller-Cap High-Beta Breakout | +12.81% |
| best | style | High-Vol Momentum | +12.81% |
| best | production | Extended Momentum Risk | +7.44% |
| worst | style | Oversold / Mean-Reversion Watch | -14.27% |
| worst | production | Oversold / Mean-Reversion Watch | -14.27% |
| worst | theme | Semiconductors | -6.15% |
| Spread | Move |
|---|
| Momentum - LowVol | -7.16% |
| HighBeta - LowVol | -6.36% |
| Growth - Value | -2.38% |
| Small - Large | -2.65% |
| EqualWeight - CapWeight | -0.36% |
| Credit | +1.34% |
| Duration | -2.71% |
| Semis - Market | -9.15% |
| Quality - Extended Risk | -6.98% |
Breadth trend: deteriorating.
| Date | Mode | Regime | Composite | Top basket | Bottom basket | SPY D1 |
|---|
| 2026-07-08 | wrap | Choppy Neutral | -0.2 | Oversold / Mean-Reversion Watch | Extended Momentum Risk | -0.31% |
| 2026-07-09 | wrap | Choppy Neutral | 0.3 | Oversold / Mean-Reversion Watch | Extended Momentum Risk | +0.85% |
| 2026-07-10 | wrap | Constructive Rotation | 0.6 | Broken Momentum / Avoid | Extended Momentum Risk | +0.43% |
| 2026-07-13 | wrap | Choppy Neutral | 0.4 | Smaller-Cap High-Beta Breakout | Oversold / Mean-Reversion Watch | -0.77% |
Month-to-date, Smaller-Cap High-Beta Breakout and High-Vol Momentum have surged 12.81%, with Extended Momentum Risk up 7.44%. Conversely, Oversold/Mean-Reversion Watch has plummeted 14.27% and Semiconductors shed 6.15%. Factor spread decompression is pronounced: Momentum - LowVol collapsed 7.16%, Semis - Market plunged 9.15%, and Quality - Extended Risk dropped 6.98%. Breadth is deteriorating. The regime flip-flopped from Choppy Neutral to Constructive Rotation on July 10 (composite 0.5575) and back to Choppy Neutral on July 13 (0.3675).
Structural View (QTD YTD 1Y 2Y)
| Basket | QTD | YTD | 1Y | 2Y |
|---|
| production: Broken Momentum / Avoid | +0.36% | -15.87% | -13.86% | +10.66% |
| production: Extended Momentum Risk | +7.44% | +7.88% | -8.54% | +6.87% |
| production: Neutral / Transition | -0.49% | +15.33% | +29.23% | +48.76% |
| production: Oversold / Mean-Reversion Watch | -14.27% | +3.07% | +31.39% | +122.21% |
| production: Quality / Low-Vol Uptrend | +0.46% | +1.78% | +25.06% | +49.52% |
| production: Smaller-Cap High-Beta Breakout | +12.81% | +51.05% | n/a | n/a |
| production: Thematic Momentum Leadership | +0.15% | +59.46% | +86.45% | +115.93% |
| theme: AI Infrastructure | -2.50% | +23.24% | +41.51% | +65.98% |
| theme: Cloud Software | +2.60% | +12.95% | +18.40% | +41.42% |
| theme: Commodities / Materials | -3.87% | +11.68% | +38.32% | +52.31% |
| theme: Consumer / Retail | -0.53% | +6.50% | +8.08% | +23.34% |
| theme: Crypto / Digital Assets | +1.29% | +16.63% | +30.48% | +60.37% |
| theme: Cybersecurity | +1.99% | +16.09% | +22.41% | +56.52% |
| theme: Defense / Aerospace | -5.74% | +24.83% | +53.30% | +101.03% |
| theme: Energy Transition | -1.89% | +16.99% | +34.38% | +48.22% |
| theme: Financials / Credit | +1.36% | +12.95% | +18.74% | +37.32% |
| theme: Healthcare / Biotech | -0.38% | +24.58% | +72.68% | +70.64% |
| theme: Housing / Real Estate | -1.35% | +11.47% | +14.87% | +25.75% |
| theme: Industrial Automation | -3.34% | +23.38% | +39.47% | +61.63% |
| theme: Macro Rates / Inflation | -0.95% | +14.62% | +24.50% | +38.46% |
| theme: Oil & Gas | +0.09% | +22.93% | +47.85% | +52.45% |
| theme: Semiconductors | -6.15% | +46.81% | +72.16% | +79.92% |
| sector: Communication Services | +1.10% | -4.63% | +15.89% | +66.29% |
| sector: Consumer Discretionary | -1.04% | +5.69% | +9.08% | +28.30% |
| sector: Consumer Staples | +1.00% | +6.18% | +0.66% | +9.56% |
| sector: Energy | +5.91% | +34.91% | +32.54% | +37.77% |
| sector: Financials | +3.20% | +9.40% | +16.16% | +53.51% |
| sector: Health Care | +0.74% | +26.51% | +67.01% | +68.88% |
| sector: Industrials | -4.60% | +19.22% | +33.39% | +70.51% |
| sector: Information Technology | -3.25% | +40.62% | +69.16% | +94.14% |
| sector: Materials | -3.10% | +14.40% | +28.16% | +42.73% |
| sector: Real Estate | +0.85% | +10.29% | +10.93% | +23.27% |
| sector: Utilities | +0.64% | +7.95% | +14.72% | +49.48% |
| size: Large (>=5B) | -0.60% | +18.52% | +33.56% | +57.65% |
| size: Micro Cap $250M-$1B | -1.07% | +16.01% | +40.63% | +48.54% |
| size: Nano Cap <$250M | -5.56% | +26.63% | -1.71% | +18.30% |
| size: Small Cap $1B-$5B | -0.86% | +20.53% | +38.87% | +50.93% |
| style: Base Building / Coiled | -1.17% | +11.50% | +21.44% | +40.07% |
| style: Extended Overbought Momentum | +7.30% | +27.33% | +56.44% | +55.96% |
| style: High-Vol Breakdown | -1.02% | -22.89% | -20.89% | -9.82% |
| style: High-Vol Momentum | +12.81% | +51.05% | n/a | n/a |
| style: Low-Vol Uptrend | -1.41% | +6.52% | +14.46% | +24.50% |
| style: Momentum Breakout / Leadership | +4.10% | +45.21% | +73.02% | +110.55% |
| style: Neutral / Transition | -1.97% | +21.60% | +39.27% | +59.00% |
| style: Normal Vol/Trend | -0.30% | +22.86% | +40.98% | +68.24% |
| style: Oversold / Mean-Reversion Watch | -14.27% | +3.07% | +31.39% | +122.21% |
| style: Persistent Uptrend / Compounder | +1.81% | +25.41% | +35.37% | +56.02% |
| style: Weak Downtrend / Avoid Momentum | +0.36% | -15.87% | -13.86% | +10.66% |
No structural factor signals are currently flagged in the system.
Chart Pattern and Wave Census
| Breakouts | Breakdowns | Oversold |
|---|
| 86 | 32 | 29 |
| Setup type | Count |
|---|
| donchian_breakdown | 8 |
| tight_base | 8 |
| double_top | 8 |
| bear_flag | 8 |
| double_bottom | 8 |
| bull_flag | 8 |
| donchian_breakout | 8 |
| head_shoulders | 8 |
| gap_up_unfilled | 3 |
| Ticker | Pattern | Direction | Score |
|---|
| PSKY | double_top | short | 73.6 |
| RIOT | double_top | short | 73.5 |
| SMCI | head_shoulders | short | 70.9 |
| FLS | head_shoulders | short | 66.7 |
| FTDR | double_bottom | long | 65.3 |
| CWEN | double_top | short | 62.1 |
| TMHC | tight_base | long | 61.7 |
| LNC | double_bottom | long | 60.7 |
| CWAN | donchian_breakout | long | 56.5 |
| RBLX | double_bottom | long | 53.6 |
| Ticker | From stage | To stage |
|---|
| AUR | pullback | markup |
| ELS | pullback | markup |
| TXNM | accumulation | pullback |
| OZK | mixed | breakout |
| GME | mixed | pullback |
| OSCR | mixed | markup |
| CGNX | mixed | pullback |
| IBRX | mixed | pullback |
| ALGM | mixed | pullback |
| VNO | mixed | pullback |
| CARR | mixed | pullback |
| TVTX | mixed | pullback |
| GNTX | mixed | pullback |
| AVTR | mixed | markup |
| UHAL | mixed | breakout |
The pattern census identifies 86 breakouts against 32 breakdowns and 29 oversold signals. Top short setups include PSKY (double top, score 73.64) and RIOT (double top, 73.48), while long candidates like FTDR (double bottom, 65.3) and TMHC (tight base, 61.68) appear lower-ranked. Notable stage transitions: OZK moved from mixed to breakout, while multiple names such as CARR and AVTR shifted toward markup or pullback, indicating active repositioning within factor baskets.
Tomorrow Setup
| Spread | Legs | Intraday | D1 | WTD | MTD |
|---|
| Momentum - LowVol | MTUM − USMV | +2.59% | +2.59% | +0.28% | -7.16% |
| HighBeta - LowVol | SPHB − SPLV | +2.10% | +2.10% | -1.20% | -6.36% |
| Growth - Value | IWF − IWD | +1.85% | +1.85% | -0.39% | -2.38% |
| Small - Large | IWM − SPY | -0.00% | -0.00% | -0.09% | -2.65% |
| EqualWeight - CapWeight | RSP − SPY | -0.72% | -0.72% | +0.02% | -0.36% |
| Credit | HYG − LQD | -0.03% | -0.03% | +0.20% | +1.34% |
| Duration | TLT | +0.13% | +0.13% | -0.46% | -2.71% |
| Semis - Market | SMH − SPY | +2.15% | +2.15% | -1.34% | -9.15% |
| Momentum Leadership - Broken Momentum | Mega-Cap Liquid Momentum Leadership − Broken Momentum / Avoid | n/a | n/a | n/a | n/a |
| Quality - Extended Risk | Quality / Low-Vol Uptrend − Extended Momentum Risk | +1.63% | +1.63% | +1.63% | -6.98% |
For tomorrow's session under Constructive Rotation, the screener highlights OKLO (93.2) and SWKS (90.3) as top opportunities, but both failed intraday confirmation with declines exceeding 5%. Only OZK (86.3) confirmed with a modest 0.22% gain against its basket. TAP and CGON also failed to confirm, suggesting caution on overnight gap follow-through. Favor confirmed setups like OZK, which shows relative strength and a Wave 3-5 breakout within Financials.
Top Single-Stock Setups (4h–1 Week)
#1FFIVInformation Technology100
▲Momentum continuation4h–1 week
Thematic Momentum Leadership · factor score 8.0/10 (top quintile)
Leadership/uptrend with room — flow-confirmed
UptrendQ1RSI 611w +5.5%MACD+CMF+Force+
Last$420.95
RSI61
1wk+5.5%
ATR stop−4.7%
1-week return vs Thematic Momentum Leadership basket (n=183)
-14%+18%
#2CGONHealth Care100
▲Momentum continuation4h–1 week
Thematic Momentum Leadership · factor score 7.8/10 (top quintile)
Leadership/uptrend with room — flow-confirmed
UptrendQ1RSI 611w +6.9%MACD+CMF+Force+
Last$72.55
RSI61
1wk+6.9%
ATR stop−7.9%
1-week return vs Thematic Momentum Leadership basket (n=183)
-14%+18%
#3CARTConsumer Discretionary100
▲Momentum continuation4h–1 week
Thematic Momentum Leadership · factor score 7.5/10 (top quintile)
Leadership/uptrend with room — flow-confirmed
UptrendQ1RSI 611w +5.7%MACD+CMF+Force+
Last$47.92
RSI62
1wk+5.7%
ATR stop−6.0%
1-week return vs Thematic Momentum Leadership basket (n=183)
-14%+18%
#4CROXConsumer Discretionary100
▲Momentum continuation4h–1 week
Thematic Momentum Leadership · factor score 7.3/10 (top quintile)
Leadership/uptrend with room — flow-confirmed
UptrendQ1RSI 601w +6.0%MACD+CMF+Force+
Last$130.46
RSI61
1wk+6.0%
ATR stop−5.8%
1-week return vs Thematic Momentum Leadership basket (n=183)
-14%+18%
#5PFGFinancials99
▲Momentum continuation4h–1 week
Thematic Momentum Leadership · factor score 7.1/10 (top quintile)
Leadership/uptrend with room — flow-confirmed
UptrendQ1RSI 631w +1.2%MACD+CMF+Force+
Last$113.61
RSI64
1wk+1.2%
ATR stop−3.1%
1-week return vs Thematic Momentum Leadership basket (n=183)
-14%+18%
Long-only opportunity lens: names where the factor basket and the technical state agree over a 4-hour-to-1-week window. Confluence score, not a price target — size to the ATR stop and treat every setup as a probability, not a promise.
Long-only confluence screen: the factor engine's basket and the technical state pointing the same way over a 4-hour-to-1-week window.
Data Quality and Coverage
| Source | As of |
|---|
| intraday_bars | 2026-07-14T18:45:00-04:00 |
| warehouse_snapshot | 2026-07-14 |
| proxy_daily | 2026-07-13 |
| screener_artifact | 2026-07-13T20:54:29.913442-04:00 |
| grouped_daily | 2026-07-14 |
- Overall coverage: 99.8%
- Degraded baskets: theme:Healthcare / Biotech
- Missing archived report days: 2026-07-01, 2026-07-02, 2026-07-06, 2026-07-07
- Report generated at 2026-07-14T19:00:51-04:00; every figure above is computed deterministically from report.json