BoltFactors — AI-Powered Factor Briefing

Midday verdict

SPY -0.38% since prior close; Extended Momentum Risk leads (+20.38%), Unclassified / Insufficient Data lags (-10.18%).

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 convictionsigma:04 · n=29

Stretched factor — mean-reversion watch: Quality - Extended Risk d1

Quality - Extended Risk d1 = -19.39% (-29.20σ vs 60d)

29.20σ compressed vs 60d (n=29). 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.

High convictionsigma:04 · n=29

Stretched factor — mean-reversion watch: Extended Momentum Risk d1

Extended Momentum Risk d1 = +20.38% (+20.30σ vs 60d)

20.30σ extended vs 60d (n=29). 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.

High convictionsigma:04 · n=29

Stretched factor — mean-reversion watch: Oversold / Mean-Reversion Watch d1

Oversold / Mean-Reversion Watch d1 = -5.30% (-4.58σ vs 60d)

4.58σ compressed vs 60d (n=29). 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.

High convictionregime:04 · n=194

Regime context — size to the state: Constructive Rotation

Constructive Rotation (composite 0.54, 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=252

Stretched factor — mean-reversion watch: Momentum - LowVol d1

Momentum - LowVol d1 = -3.84% (-2.62σ vs 252d)

2.62σ compressed 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 USMV / short MTUM (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 = -2.28% (-2.57σ vs 252d)

2.57σ compressed 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.

SPY-0.38%gap -0.27% · open -0.11%

Best factor+20.38%Extended Momentum Risk

Worst factor-10.18%Unclassified / Insufficient Data

Breadth53%baskets +ve · A/D 599/398

Sigma Board

−3σ0+3σ

Quality - Extended Risk d1spread · -19.39% · 60d · n=29-29.20σ

Extended Momentum Risk d1basket · +20.38% · 60d · n=29+20.30σ

Oversold / Mean-Reversion Watch d1basket · -5.30% · 60d · n=29-4.58σ

Momentum - LowVol d1spread · -3.84% · 252d · n=252-2.62σ

Growth - Value d1spread · -2.28% · 252d · n=252-2.57σ

HighBeta - LowVol d1spread · -4.29% · 252d · n=252-2.48σ

Semis - Market w1spread · -6.55% · 252d · n=252-2.26σ

% above SMA200breadth · 70.19 · 60d · n=60+2.15σ

The volatility panel reads neutral with a score of 1.0, as 20-day realized volatility sits at the 43.3rd percentile of its two-year range, and intraday range relative to 20-day average is 0.487. Sector-level relative volume medians are modest, with Financials at 0.81, Health Care at 0.80, and Real Estate at 0.59, indicating no broad capitulation.

Intraday Factor Moves

Extended Momentum Risk thin — n<10+20.38%

1 names · 100% cov · rvol 3.18

ID+20.4%

1D+20.4%

3D+20.4%

1W+26.6%

MTD+32.8%

1M+35.0%

3M+15.7%

YTD-1.8%

1Y-21.4%

2Y-4.8%

Broken Momentum / Avoid+1.49%

149 names · 100% cov · rvol 0.74

ID+1.5%

1D+1.5%

3D+1.5%

1W+1.2%

MTD+0.9%

1M-4.0%

3M-15.1%

YTD-14.7%

1Y-10.2%

2Y+5.4%

Quality / Low-Vol Uptrend+1.00%

152 names · 99% cov · rvol 0.76

ID+1.0%

1D+1.0%

3D+1.0%

1W+2.0%

MTD+2.9%

1M+5.8%

3M+9.1%

YTD+14.7%

1Y+20.9%

2Y+33.6%

Thematic Momentum Leadership+0.38%

93 names · 100% cov · rvol 0.75

ID+0.4%

1D+0.4%

3D+0.4%

1W+0.1%

MTD+2.7%

1M+8.6%

3M+27.8%

YTD+30.9%

1Y+42.2%

2Y+73.0%

Neutral / Transition+0.31%

491 names · 100% cov · rvol 0.70

ID+0.3%

1D+0.3%

3D+0.3%

1W-0.1%

MTD-0.8%

1M-0.7%

3M+6.7%

YTD+18.0%

1Y+35.4%

2Y+52.0%

Institutional Large-Cap Accumulation-0.41%

19 names · 100% cov · rvol 0.84

ID-0.4%

1D-0.4%

3D-0.4%

1W+0.1%

MTD+5.8%

1M+11.6%

3M+41.8%

YTD+35.5%

1Y+37.3%

2Y+92.5%

Smaller-Cap High-Beta Breakout-0.51%

56 names · 100% cov · rvol 0.75

ID-0.5%

1D-0.5%

3D-0.5%

1W-3.6%

MTD-2.5%

1M+14.6%

3M+51.0%

YTD+77.5%

1Y+135.9%

2Y+142.8%

Mega-Cap Liquid Momentum Leadership-3.89%

12 names · 100% cov · rvol 1.31

ID-3.9%

1D-3.9%

3D-3.9%

1W-6.0%

MTD-11.2%

1M-4.4%

3M+42.6%

YTD+92.3%

1Y+162.5%

2Y+182.8%

Oversold / Mean-Reversion Watch-5.30%

29 names · 97% cov · rvol 0.95

ID-5.3%

1D-5.3%

3D-5.3%

1W-9.8%

MTD-18.3%

1M-23.8%

3M-13.8%

YTD-1.1%

1Y+32.1%

2Y+109.2%

Unclassified / Insufficient Data thin — n<10-10.18%

1 names · 100% cov · rvol 1.18

ID-10.2%

1D-10.2%

3D-10.2%

1W-16.4%

MTD-14.1%

1M-9.4%

Factor moves this week show strong style dispersion, with momentum underperforming low volatility by 4.85%, high beta lagging low vol by 6.16%, and growth trailing value by 2.43%. Credit spreads are stable at +0.27%. Size effects are mixed; small caps outperformed large by 0.33% today but trail by 0.58% over the week.

Sector Rotation

Real Estate+2.43%

Consumer Discretionary+1.93%

Financials+1.51%

Communication Services+1.01%

Consumer Staples+0.96%

Industrials+0.78%

Energy+0.16%

Health Care-0.01%

Materials-0.54%

Utilities-1.15%

Information Technology-2.48%

Real Estate leads all sectors intraday with a 2.43% gain, followed by Consumer Discretionary at 1.93% and Financials at 1.51%. On the downside, Information Technology falls 2.48%, Utilities drop 1.15%, and Materials shed 0.54%. Week-to-date, Real Estate remains top at 2.95%, while Technology is down 4.0%.

Themes and Keyword Baskets

Housing / Real Estate+1.1%1D

440 names · 71% cov

ID+2.0%WTD+0.6%MTD-0.6%YTD+11.4%

Consumer / Retail+0.9%1D

492 names · 75% cov

ID+1.7%WTD+0.6%MTD+0.8%YTD+8.2%

Cybersecurity+0.6%1D

95 names · 71% cov

ID+1.1%WTD+1.1%MTD+2.6%YTD+15.3%

Financials / Credit+0.6%1D

649 names · 62% cov

ID+1.2%WTD+0.7%MTD+2.3%YTD+13.4%

Macro Rates / Inflation+0.5%1D

509 names · 77% covaggregate only

ID+0.9%WTD-0.1%MTD-0.8%YTD+15.0%

Crypto / Digital Assets+0.5%1D

150 names · 69% cov

ID+0.7%WTD-0.4%MTD+1.3%YTD+12.9%

Oil & Gas+0.1%1D

269 names · 85% cov

ID+0.2%WTD+0.6%MTD-0.0%YTD+19.3%

Cloud Software+0.1%1D

275 names · 79% cov

ID+0.1%WTD+0.4%MTD+3.0%YTD+14.1%

Healthcare / Biotech degraded+0.1%1D

678 names · 59% cov

ID+0.2%WTD-1.1%MTD+0.3%YTD+24.0%

Industrial Automation-0.1%1D

515 names · 77% cov

ID-0.1%WTD-1.1%MTD-3.7%YTD+22.0%

Commodities / Materials-0.3%1D

163 names · 74% cov

ID-0.6%WTD-1.5%MTD-5.3%YTD+8.6%

AI Infrastructure-0.3%1D

859 names · 81% cov

ID-0.5%WTD-1.2%MTD-3.0%YTD+20.9%

Energy Transition-0.6%1D

243 names · 82% cov

ID-1.0%WTD-1.6%MTD-6.0%YTD+20.9%

Defense / Aerospace-0.6%1D

211 names · 78% cov

ID-1.1%WTD-2.9%MTD-8.0%YTD+25.0%

Semiconductors-1.1%1D

255 names · 91% cov

ID-1.6%WTD-3.0%MTD-7.4%YTD+42.2%

Theme rotation mirrors sector action, with Housing/Real Estate up 1.98% intraday, Consumer/Retail gaining 1.66%, and Financials/Credit advancing 1.24%. Laggards include Semiconductors at -1.63%, Defense/Aerospace at -1.15%, and Energy Transition off 1.01%.

Factor × Sector Map

Broken Momentum / Avoidn11

Financials

+3.3%1D

ID+3.3%WTD+1.9%MTD+6.5%

Thematic Momentum Leadershipn11

Consumer Discretionary

+2.6%1D

ID+2.6%WTD+2.1%MTD+4.8%

Neutral / Transitionn25

Real Estate

+2.5%1D

ID+2.5%WTD+2.9%MTD+2.4%

Broken Momentum / Avoidn24

Consumer Discretionary

+2.5%1D

ID+2.5%WTD+2.4%MTD+1.9%

Quality / Low-Vol Uptrendn25

Real Estate

+2.3%1D

ID+2.3%WTD+3.1%MTD+4.5%

Thematic Momentum Leadershipn4

Real Estate

+2.2%1D

ID+2.2%WTD+3.1%MTD+4.9%

Broken Momentum / Avoidn15

Communication Services

+2.1%1D

ID+2.1%WTD+3.0%MTD+3.1%

Broken Momentum / Avoidn33

Industrials

+2.1%1D

ID+2.1%WTD+0.6%MTD-3.2%

Broken Momentum / Avoidn11

Real Estate

+2.0%1D

ID+2.0%WTD+2.2%MTD+2.4%

Quality / Low-Vol Uptrendn54

Financials

+1.8%1D

ID+1.8%WTD+2.3%MTD+4.1%

Neutral / Transitionn61

Consumer Discretionary

+1.7%1D

ID+1.7%WTD+0.6%MTD-0.4%

Neutral / Transitionn22

Consumer Staples

+1.7%1D

ID+1.7%WTD+2.3%MTD+4.5%

Smaller-Cap High-Beta Breakoutn3

Consumer Discretionary

+1.6%1D

ID+1.6%WTD+1.7%MTD+8.6%

Broken Momentum / Avoidn14

Information Technology

+1.4%1D

ID+1.4%WTD+1.1%MTD+4.1%

Neutral / Transitionn47

Financials

+1.4%1D

ID+1.4%WTD+1.6%MTD+4.7%

Quality / Low-Vol Uptrendn15

Industrials

+1.2%1D

ID+1.3%WTD+2.0%MTD+4.5%

Institutional Large-Cap Accumulationn8

Information Technology

+1.2%1D

ID+1.2%WTD+2.4%MTD+5.4%

Thematic Momentum Leadershipn23

Financials

+1.2%1D

ID+1.2%WTD+1.4%MTD+6.8%

Thematic Momentum Leadershipn17

Industrials

+1.1%1D

ID+1.1%WTD+0.1%MTD-2.9%

Quality / Low-Vol Uptrendn5

Consumer Discretionary

+1.1%1D

ID+1.1%WTD+0.6%MTD+1.0%

Neutral / Transitionn59

Health Care

+1.0%1D

ID+1.0%WTD+0.5%MTD+3.0%

Broken Momentum / Avoidn12

Consumer Staples

+0.9%1D

ID+0.9%WTD+1.1%MTD+3.1%

Oversold / Mean-Reversion Watchn7

Industrials

+0.7%1D

ID+0.7%WTD-0.4%MTD-13.5%

Neutral / Transitionn18

Communication Services

+0.7%1D

ID+0.7%WTD+0.1%MTD+3.8%

Neutral / Transitionn23

Materials

+0.5%1D

ID+0.5%WTD+0.0%MTD-2.3%

Neutral / Transitionn100

Industrials

+0.4%1D

ID+0.4%WTD-0.8%MTD-5.4%

Quality / Low-Vol Uptrendn7

Consumer Staples

+0.4%1D

ID+0.4%WTD+0.4%MTD+2.2%

Thematic Momentum Leadershipn4

Communication Services

+0.3%1D

ID+0.3%WTD+1.1%MTD+4.8%

Thematic Momentum Leadershipn5

Consumer Staples

+0.2%1D

ID+0.2%WTD-0.1%MTD+1.0%

Broken Momentum / Avoidn3

Utilities

+0.1%1D

ID+0.1%WTD+0.5%MTD+0.5%

Quality / Low-Vol Uptrendn4

Communication Services

+0.0%1D

ID+0.0%WTD+2.2%MTD+1.6%

Neutral / Transitionn28

Energy

-0.1%1D

ID-0.1%WTD+2.5%MTD+5.0%

Broken Momentum / Avoidn10

Health Care

-0.4%1D

ID-0.4%WTD-1.2%MTD+1.6%

Quality / Low-Vol Uptrendn3

Information Technology

-0.5%1D

ID-0.5%WTD-0.3%MTD+0.4%

Smaller-Cap High-Beta Breakoutn31

Health Care

-0.5%1D

ID-0.5%WTD-2.0%MTD+0.0%

Quality / Low-Vol Uptrendn28

Utilities

-0.7%1D

ID-0.7%WTD-0.0%MTD+0.6%

Smaller-Cap High-Beta Breakoutn3

Industrials

-0.8%1D

ID-0.8%WTD-2.3%MTD-7.6%

Neutral / Transitionn10

Utilities

-1.4%1D

ID-1.4%WTD-1.0%MTD-1.4%

Broken Momentum / Avoidn5

Energy

-1.4%1D

ID-1.4%WTD-0.9%MTD-5.7%

Broken Momentum / Avoidn11

Materials

-1.5%1D

ID-1.5%WTD-3.0%MTD-3.7%

Quality / Low-Vol Uptrendn8

Health Care

-1.6%1D

ID-1.6%WTD-1.2%MTD-0.3%

Thematic Momentum Leadershipn11

Information Technology

-1.9%1D

ID-1.9%WTD-3.6%MTD+0.0%

Thematic Momentum Leadershipn15

Health Care

-2.0%1D

ID-2.0%WTD-2.2%MTD+0.6%

Neutral / Transitionn98

Information Technology

-2.2%1D

ID-2.2%WTD-3.5%MTD-5.2%

Institutional Large-Cap Accumulationn7

Financials

-3.4%1D

ID-3.4%WTD-2.1%MTD+3.7%

Smaller-Cap High-Beta Breakoutn13

Information Technology

-3.5%1D

ID-3.5%WTD-6.0%MTD-12.9%

Oversold / Mean-Reversion Watchn3

Materials

-4.7%1D

ID-4.7%WTD-4.8%MTD-18.9%

Mega-Cap Liquid Momentum Leadershipn7

Information Technology

-5.7%1D

ID-5.7%WTD-8.7%MTD-16.0%

Oversold / Mean-Reversion Watchn11

Information Technology

-9.1%1D

ID-9.1%WTD-13.8%MTD-23.4%

Where each factor basket is working by sector — sorted by 1-day equal-weight return, ≥3 names per cell.

Regime Assessment

trend+1.05

breadth+1.20

volatility+1.00

rotation+1.15

size-0.25

style-1.25

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 current regime is “Constructive Rotation,” a choppy neutral environment validated with a composite score of 0.5425 and 80% confidence. Breadth (1.2) and rotation (1.15) are the primary positive drivers, offset by negative style (-1.25) and size (-0.25). The expected dwell time is 5 trading days, with an 80% probability of persisting over the next day but only 31% over five days. This regime historically precedes elevated volatility, not a directional market call.

Session Snapshot

SPY-0.4%rvol 0.9

QQQ-1.4%rvol 1.2

DIA-0.1%rvol 1.4

IWM-0.1%rvol 1.4

MDY+0.2%rvol 0.6

IJR+0.7%rvol 0.9

RSP+0.7%rvol 1.1

VTI-0.3%rvol 1.4

XLK-2.5%rvol 1.1

XLF+0.1%rvol 1.3

XLE+0.8%rvol 1.3

XLV+2.0%rvol 1.9

XLI-0.4%rvol 1.2

XLY+0.5%rvol 1.0

XLP+2.4%rvol 1.4

XLU-0.0%rvol 1.0

XLB+0.3%rvol 1.0

XLC+0.3%rvol 1.0

XLRE+1.6%rvol 1.2

MTUM-3.0%rvol 1.9

VLUE-1.0%rvol 0.3

QUAL+0.3%rvol 0.9

USMV+0.8%rvol 1.4

SPLV+1.5%rvol 0.8

SPHB-2.8%rvol 3.0

IWF-1.5%rvol 0.8

IWD+0.7%rvol 0.5

VUG-0.9%rvol 1.7

VTV+0.3%rvol 1.3

SMH-3.8%rvol 1.4

XBI-2.7%rvol 1.3

ITA-3.0%rvol 1.3

KRE+2.7%rvol 2.5

XHB+1.1%rvol 0.8

TAN-3.1%rvol 0.7

TLT-0.3%rvol 1.3

IEF-0.2%rvol 1.1

HYG-0.0%rvol 1.2

LQD-0.1%rvol 1.7

GLD-1.7%rvol 2.2

USO-1.2%rvol 1.1

UUP+0.3%rvol 1.7

Midday action is marked by a sharp sector rotation, with Real Estate up 2.43%, Consumer Discretionary up 1.93%, and Financials up 1.51%, while Information Technology drops 2.48% and Utilities fall 1.15%. The quant regime reads 'Constructive Rotation' at a composite of 0.5425 and 0.8 confidence. Anomalies point to distribution in IBM (‑25.47%, 4.38x relative volume).

Size and Breadth

Size bucket	N	Intraday	D1	WTD	Breadth
Large (>=5B)	1003	+0.34%	+0.34%	-0.09%	60.0% adv
Micro Cap $250M-$1B	204	n/a	+0.00%	-1.50%	0.0% adv
Nano Cap <$250M	16	n/a	+0.00%	+9.63%	0.0% adv
Small Cap $1B-$5B	805	n/a	+0.00%	-0.43%	0.0% adv

% > SMA50	% > SMA200	Advancers	Decliners	% Baskets Positive
66.5%	70.2%	599	398	53.2%

The market’s internal architecture reveals a bifurcation: small-cap stocks underperformed large caps over the past week (small_large_w1 -0.578), though they are positive on the day (0.327) and month (0.713). Breadth metrics remain constructive with 66.5% of stocks above their 50-day moving average and 70.19% above the 200-day. The advance-decline ratio stands at 1.505, and 53.19% of production baskets are positive. Sector breadth ranges wide, from Real Estate at 87.88% advancing to Information Technology at just 36.97%, highlighting a rotation rather than uniform strength.

Volume and Participation

Dimension	Basket	Median RVol	% Members RVol>1.5
production	Broken Momentum / Avoid	0.74	4.7%
production	Extended Momentum Risk	3.18	100.0%
production	Institutional Large-Cap Accumulation	0.84	0.0%
production	Mega-Cap Liquid Momentum Leadership	1.31	25.0%
production	Neutral / Transition	0.70	6.7%
production	Oversold / Mean-Reversion Watch	0.95	32.1%
production	Quality / Low-Vol Uptrend	0.76	10.7%
production	Smaller-Cap High-Beta Breakout	0.75	3.6%
production	Thematic Momentum Leadership	0.75	6.5%
production	Unclassified / Insufficient Data	1.18	0.0%

Ticker	Basket	RVol	Return	Note
IBM	Oversold / Mean-Reversion Watch	4.38	-25.47%	distribution volume
ASTS	Oversold / Mean-Reversion Watch	4.33	-19.72%	distribution volume
ABT	Neutral / Transition	3.79	+7.61%	breakout volume
JBHT	Neutral / Transition	3.76	+4.07%	breakout volume
FHN	Quality / Low-Vol Uptrend	3.34	-2.77%	distribution volume

Volume profiles concentrate risk in pockets: the Extended Momentum Risk basket shows a median relative volume of 3.18 with 100% of members trading above 1.5 times average volume, while the Mega-Cap Liquid Momentum Leadership basket records a median rvol of 1.31 and 25% above 1.5. Distribution dominates the anomaly list: IBM (rvol 4.38, -25.47%) and ASTS (rvol 4.33, -19.72%) are under severe selling pressure. Conversely, ABT (rvol 3.79, +7.61%) and JBHT (rvol 3.76, +4.07%) break out on heavy volume, signaling institutional accumulation in those names.

Cross-Asset Confirmation

CAC +0.85 — risk-supportive (positive = risk-supportive)

Signal	5d	Points
Credit (HYG−LQD)	+0.27%	+0.30
Risk vs defensives	+1.61%	+0.40
Dollar (−UUP)	+0.39%	+0.00
Curve (IEF/TLT)	+0.43%	+0.15

Duration-in-disguise — 63d TLT beta of style spreads

Spread	TLT β	β · SPY-ctrl		β
Momentum - LowVol	1.34	0.25	100%	duration-driven (current, unstable)
Growth - Value	0.21	-0.21	83%	factor-driven (current, unstable)
HighBeta - LowVol	1.45	0.01	100%	duration-driven (current, unstable)
Small - Large	0.62	0.67	98%	duration-driven (persistent)

Opportunity Watchlist

Ticker	Sector	Opportunity	Wave stage	Regime fit
OKLO	Utilities	93.6	Wave 1 / accumulation	100.0
TAP	Consumer Staples	91.0	Wave 1 / accumulation	93.2
OZK	Financials	87.3	Wave 3 / markup leader	92.9
SWKS	Information Technology	86.3	Wave 1 / accumulation	91.0
LNC	Financials	82.1	Wave 3-5 / breakout	88.7

Ticker	Since close	Vs basket	Read
OKLO	-10.01%	-4.71%	diverges
TAP	+4.19%	+2.70%	confirms
OZK	+4.57%	+4.26%	confirms
SWKS	-4.17%	+1.13%	diverges
LNC	+1.84%	+1.53%	confirms

Top opportunity scores are led by OKLO (93.6) in Wave 1 accumulation with a perfect regime fit, but it failed intraday confirmation (-10.01%). LNC (82.1) presents a Wave 3-5 breakout and confirmed with a 1.84% gain. Other high scorers include TAP (91.0) and OZK (87.3), both confirmed. Pattern-based setups highlight LNC’s double bottom and PSKY’s double top (short). Sector wave distribution shows 5 sectors in Reset within trend, 3 in Basing/early-cycle, and 3 in Expansion/late acceleration, indicating a mixed opportunity landscape.

Multi-Horizon Context

Basket	D3	WTD	MTD
production: Broken Momentum / Avoid	+1.49%	+0.99%	+0.86%
production: Extended Momentum Risk	+20.38%	+23.83%	+32.84%
production: Institutional Large-Cap Accumulation	-0.41%	+1.08%	+5.79%
production: Mega-Cap Liquid Momentum Leadership	-3.89%	-6.14%	-11.17%
production: Neutral / Transition	+0.31%	-0.19%	-0.77%
production: Oversold / Mean-Reversion Watch	-5.30%	-8.23%	-18.30%
production: Quality / Low-Vol Uptrend	+0.99%	+1.57%	+2.94%
production: Smaller-Cap High-Beta Breakout	-0.51%	-2.21%	-2.45%
production: Thematic Momentum Leadership	+0.38%	+0.13%	+2.71%
production: Unclassified / Insufficient Data	-10.18%	-14.67%	-14.09%
theme: AI Infrastructure	-0.29%	-1.21%	-3.01%
theme: Cloud Software	+0.08%	+0.41%	+2.99%
theme: Commodities / Materials	-0.28%	-1.50%	-5.28%
theme: Consumer / Retail	+0.94%	+0.63%	+0.78%
theme: Crypto / Digital Assets	+0.47%	-0.42%	+1.31%
theme: Cybersecurity	+0.64%	+1.08%	+2.62%
theme: Defense / Aerospace	-0.62%	-2.88%	-8.00%
theme: Energy Transition	-0.58%	-1.65%	-6.05%
theme: Financials / Credit	+0.62%	+0.72%	+2.34%
theme: Healthcare / Biotech	+0.07%	-1.09%	+0.31%
theme: Housing / Real Estate	+1.08%	+0.59%	-0.56%
theme: Industrial Automation	-0.09%	-1.10%	-3.71%
theme: Macro Rates / Inflation	+0.52%	-0.09%	-0.82%
theme: Oil & Gas	+0.10%	+0.64%	-0.01%
theme: Semiconductors	-1.11%	-3.03%	-7.38%
sector: Communication Services	+1.01%	+1.32%	+2.97%
sector: Consumer Discretionary	+1.93%	+1.17%	+1.00%
sector: Consumer Staples	+0.96%	+1.22%	+3.09%
sector: Energy	+0.16%	+2.81%	+5.52%
sector: Financials	+1.51%	+1.64%	+4.77%
sector: Health Care	-0.01%	-0.67%	+1.38%
sector: Industrials	+0.78%	-0.29%	-4.40%
sector: Information Technology	-2.48%	-4.00%	-5.77%
sector: Materials	-0.54%	-1.38%	-4.31%
sector: Real Estate	+2.43%	+2.95%	+3.33%
sector: Utilities	-1.15%	-0.74%	-0.51%
size: Large (>=5B)	+0.34%	-0.09%	-0.23%
size: Micro Cap $250M-$1B	+0.00%	-1.50%	-1.09%
size: Nano Cap <$250M	+0.00%	+9.63%	+13.81%
size: Small Cap $1B-$5B	+0.00%	-0.43%	-0.93%
style: Base Building / Coiled	+1.12%	+0.73%	-0.25%
style: Extended Overbought Momentum	+10.27%	+12.06%	+16.91%
style: High-Vol Breakdown	-0.59%	-2.24%	-4.90%
style: High-Vol Momentum	-1.38%	-3.22%	-3.76%
style: Low-Vol Uptrend	+0.91%	+1.47%	+2.97%
style: Momentum Breakout / Leadership	+1.20%	+1.62%	+5.60%
style: Neutral / Transition	-0.10%	-0.74%	-1.81%
style: Normal Vol/Trend	-0.05%	-0.59%	-0.47%
style: Oversold / Mean-Reversion Watch	-5.30%	-8.23%	-18.30%
style: Persistent Uptrend / Compounder	+1.08%	+1.28%	+3.60%
style: Weak Downtrend / Avoid Momentum	+1.49%	+0.99%	+0.86%

Multi-horizon returns exhibit a sharp divergence: Energy has risen 5.52% month-to-date and 34.38% year-to-date, while Information Technology is down 5.77% in July despite a 33.39% YTD gain and a 60.73% one-year return. Health Care surged 8.95% over the past month and 16.85% over three. Themes reinforce the rotation: Semiconductors are down 7.38% MTD but up 42.21% YTD, while Defense/Aerospace shows a 108.62% two-year return yet a painful 8.0% MTD decline, reflecting a market rewarding cyclical and defensive sectors near term while preserving long-duration growth gains.

Top Single-Stock Setups (4h–1 Week)

#1OUTReal Estate100

▲Momentum continuation4h–1 week

Thematic Momentum Leadership · factor score 7.1/10 (top quintile)

Leadership/uptrend with room — flow-confirmed

UptrendQ1RSI 601w +2.0%MACD+CMF+Force+

Last$33.39

RSI60

1wk+2.0%

ATR stop−4.1%

1-week return vs Thematic Momentum Leadership basket (n=93)

-16%+12%

#2AHRReal Estate99

▲Momentum continuation4h–1 week

Thematic Momentum Leadership · factor score 7.4/10 (top quintile)

Leadership/uptrend with room — flow-confirmed

UptrendQ1RSI 631w +1.0%MACD+CMF+Force+

Last$54.19

RSI63

1wk+1.0%

ATR stop−4.1%

1-week return vs Thematic Momentum Leadership basket (n=93)

-16%+12%

#3WELLReal Estate98

▲Momentum continuation4h–1 week

Thematic Momentum Leadership · factor score 7.9/10 (top quintile)

Leadership/uptrend with room — flow-confirmed

UptrendQ1RSI 611w +0.8%MACD+CMF+Force+

Last$233.29

RSI62

1wk+0.8%

ATR stop−3.4%

1-week return vs Thematic Momentum Leadership basket (n=93)

-16%+12%

#4MOHHealth Care98

▲Momentum continuation4h–1 week

Smaller-Cap High-Beta Breakout · factor score 8.5/10 (top quintile)

Leadership/uptrend with room — flow-confirmed

UptrendQ1RSI 631w +6.7%MACD+CMF+Force+

Last$233.36

RSI64

1wk+6.7%

ATR stop−6.6%

1-week return vs Smaller-Cap High-Beta Breakout basket (n=56)

-18%+17%

#5EATConsumer Discretionary98

▲Momentum continuation4h–1 week

Smaller-Cap High-Beta Breakout · factor score 7.8/10 (top quintile)

Leadership/uptrend with room — flow-confirmed

UptrendQ1RSI 601w +7.4%MACD+CMF+Force+

Last$178.64

RSI60

1wk+7.4%

ATR stop−6.6%

1-week return vs Smaller-Cap High-Beta Breakout basket (n=56)

-18%+17%

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	2026-07-16T12:45:00-04:00
warehouse_snapshot	2026-07-16
proxy_daily	2026-07-15
screener_artifact	2026-07-16T07:22:54.831554-04:00
grouped_daily	unavailable

Overall coverage: 99.6%
Degraded baskets: theme:Healthcare / Biotech
Missing archived report days: 2026-07-01, 2026-07-02, 2026-07-06, 2026-07-07
Warning: thin production basket: Extended Momentum Risk n_members=1 (<10); exclude from broad leadership claims
Warning: thin production basket: Unclassified / Insufficient Data n_members=1 (<10); exclude from broad leadership claims
Report generated at 2026-07-16T13:01:45-04:00; every figure above is computed deterministically from report.json