BoltFactors — AI-Powered Factor Briefing

Morning verdict

SPY -0.47% since prior close; Extended Momentum Risk leads (+17.46%), Unclassified / Insufficient Data lags (-10.45%).

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 = -16.71% (-25.19σ vs 60d)

25.19σ 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 = +17.46% (+17.39σ vs 60d)

17.39σ 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 = -4.50% (-3.91σ vs 60d)

3.91σ 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 0.62, 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: Growth - Value d1

Growth - Value d1 = -2.07% (-2.33σ vs 252d)

2.33σ 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.

Medium convictionsigma:04 · n=252

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

HighBeta - LowVol d1 = -3.63% (-2.11σ vs 252d)

2.11σ 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 SPLV / short SPHB (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-0.47%gap -0.27% · open -0.20%

Best factor+17.46%Extended Momentum Risk

Worst factor-10.45%Unclassified / Insufficient Data

Breadth60%baskets +ve · A/D 595/403

Sigma Board

−3σ0+3σ

Quality - Extended Risk d1spread · -16.71% · 60d · n=29-25.19σ

Extended Momentum Risk d1basket · +17.46% · 60d · n=29+17.39σ

Oversold / Mean-Reversion Watch d1basket · -4.50% · 60d · n=29-3.91σ

Growth - Value d1spread · -2.07% · 252d · n=252-2.33σ

HighBeta - LowVol d1spread · -3.63% · 252d · n=252-2.11σ

% above SMA200breadth · 69.99 · 60d · n=60+2.10σ

Semis - Market w1spread · -5.91% · 252d · n=252-2.07σ

EqualWeight - CapWeight d1spread · +0.99% · 252d · n=252+1.99σ

The regime board shows trend at 1.05, breadth at 1.0, volatility at 1.0, and rotation at 1.15. Size registers 0.55, while style scores -1.25. Within volatility, the 20-day realized volatility stands at the 43.3rd percentile of its two-year range, and the current intraday range is 0.304 of the 20-day average true range. The negative style reading is driven by momentum-to-low-volatility spread of -3.68, high-beta-to-low-volatility spread of -5.51, and growth-to-value spread of -2.21 week-over-week.

Intraday Factor Moves

Extended Momentum Risk thin — n<10+17.46%

1 names · 100% cov · rvol 4.29

ID+17.5%

1D+17.5%

3D+17.5%

1W+23.5%

MTD+29.6%

1M+31.7%

3M+12.9%

YTD-4.1%

1Y-23.3%

2Y-7.1%

Broken Momentum / Avoid+1.05%

149 names · 100% cov · rvol 0.53

ID+1.1%

1D+1.1%

3D+1.1%

1W+0.7%

MTD+0.4%

1M-4.4%

3M-15.4%

YTD-15.0%

1Y-10.3%

2Y+5.2%

Quality / Low-Vol Uptrend+0.75%

152 names · 99% cov · rvol 0.45

ID+0.8%

1D+0.8%

3D+0.8%

1W+1.8%

MTD+2.7%

1M+5.6%

3M+8.8%

YTD+14.5%

1Y+20.6%

2Y+33.3%

Smaller-Cap High-Beta Breakout+0.47%

56 names · 100% cov · rvol 0.51

ID+0.5%

1D+0.5%

3D+0.5%

1W-2.7%

MTD-1.5%

1M+15.7%

3M+52.6%

YTD+79.8%

1Y+137.7%

2Y+144.9%

Thematic Momentum Leadership+0.36%

93 names · 100% cov · rvol 0.49

ID+0.4%

1D+0.4%

3D+0.4%

1W+0.1%

MTD+2.7%

1M+8.5%

3M+27.9%

YTD+31.0%

1Y+42.5%

2Y+73.0%

Neutral / Transition+0.28%

491 names · 100% cov · rvol 0.47

ID+0.3%

1D+0.3%

3D+0.3%

1W-0.1%

MTD-0.9%

1M-0.8%

3M+6.7%

YTD+18.3%

1Y+35.8%

2Y+52.3%

Institutional Large-Cap Accumulation-0.13%

19 names · 100% cov · rvol 0.67

ID-0.1%

1D-0.1%

3D-0.1%

1W+0.4%

MTD+6.1%

1M+11.9%

3M+42.2%

YTD+35.8%

1Y+37.7%

2Y+93.3%

Mega-Cap Liquid Momentum Leadership-2.81%

12 names · 100% cov · rvol 1.38

ID-2.8%

1D-2.8%

3D-2.8%

1W-5.0%

MTD-10.2%

1M-3.4%

3M+44.4%

YTD+94.6%

1Y+164.2%

2Y+184.3%

Oversold / Mean-Reversion Watch-4.50%

29 names · 97% cov · rvol 0.75

ID-4.5%

1D-4.5%

3D-4.5%

1W-9.0%

MTD-17.7%

1M-23.3%

3M-13.3%

YTD-0.4%

1Y+33.5%

2Y+111.6%

Unclassified / Insufficient Data thin — n<10-10.45%

1 names · 100% cov · rvol 1.03

ID-10.4%

1D-10.4%

3D-10.4%

1W-16.6%

MTD-14.3%

1M-9.7%

Momentum Breakout / Leadership leads with an intraday gain of 1.49% and a week-to-date return of 1.91%. At the other end, Oversold / Mean-Reversion Watch is the worst performer, down 4.5% intraday and 7.49% week-to-date. Mega-Cap Liquid Momentum Leadership has declined 2.81% intraday and 5.09% week-to-date.

Sector Rotation

Consumer Discretionary+1.89%

Real Estate+1.61%

Financials+1.21%

Industrials+0.72%

Communication Services+0.55%

Consumer Staples+0.52%

Energy+0.52%

Health Care+0.49%

Materials+0.10%

Utilities-0.33%

Information Technology-2.56%

Consumer Discretionary leads with an intraday gain of 1.89% and a week-to-date return of 1.13%. Real Estate follows with 1.61% intraday and 2.12% week-to-date. At the bottom, Information Technology is down 2.56% intraday and 4.13% week-to-date. Breadth within IT is just 25.45% advancing members, while Consumer Discretionary breadth sits at 75.47%.

Themes and Keyword Baskets

Housing / Real Estate+0.8%1D

440 names · 71% cov

ID+1.6%WTD+0.3%MTD-0.8%YTD+11.2%

Consumer / Retail+0.7%1D

492 names · 75% cov

ID+1.3%WTD+0.4%MTD+0.6%YTD+8.0%

Crypto / Digital Assets+0.6%1D

150 names · 69% cov

ID+0.8%WTD-0.3%MTD+1.3%YTD+13.2%

Financials / Credit+0.5%1D

649 names · 62% cov

ID+0.9%WTD+0.6%MTD+2.2%YTD+13.4%

Macro Rates / Inflation+0.5%1D

509 names · 77% covaggregate only

ID+0.8%WTD-0.2%MTD-0.9%YTD+15.0%

Cybersecurity+0.3%1D

95 names · 71% cov

ID+0.5%WTD+0.7%MTD+2.2%YTD+15.2%

Oil & Gas+0.2%1D

269 names · 85% cov

ID+0.4%WTD+0.8%MTD+0.1%YTD+19.5%

Healthcare / Biotech degraded+0.2%1D

678 names · 59% cov

ID+0.5%WTD-1.0%MTD+0.4%YTD+24.3%

Commodities / Materials+0.0%1D

163 names · 74% cov

ID+0.0%WTD-1.2%MTD-5.0%YTD+9.0%

Industrial Automation-0.1%1D

515 names · 77% cov

ID-0.2%WTD-1.1%MTD-3.8%YTD+22.1%

AI Infrastructure-0.3%1D

859 names · 81% cov

ID-0.5%WTD-1.2%MTD-3.1%YTD+21.1%

Energy Transition-0.3%1D

243 names · 82% cov

ID-0.6%WTD-1.4%MTD-5.9%YTD+21.2%

Defense / Aerospace-0.4%1D

211 names · 78% cov

ID-0.7%WTD-2.6%MTD-7.8%YTD+25.4%

Cloud Software-0.4%1D

275 names · 79% cov

ID-0.6%WTD-0.1%MTD+2.5%YTD+13.8%

Semiconductors-0.9%1D

255 names · 91% cov

ID-1.4%WTD-2.9%MTD-7.3%YTD+42.9%

Within themes, Housing / Real Estate tops with an intraday return of 1.55% and a week-to-date return of 0.35%. Consumer / Retail also gains 1.29% intraday and 0.42% week-to-date. The weakest theme is Semiconductors, down 1.36% intraday and 2.86% week-to-date, with advancing breadth at 37.11%. Defense / Aerospace falls 0.66% intraday and 2.63% week-to-date.

Factor × Sector Map

Thematic Momentum Leadershipn11

Consumer Discretionary

+2.7%1D

ID+2.7%WTD+2.2%MTD+4.9%

Broken Momentum / Avoidn11

Financials

+2.3%1D

ID+2.3%WTD+0.9%MTD+5.4%

Broken Momentum / Avoidn24

Consumer Discretionary

+2.0%1D

ID+2.0%WTD+1.9%MTD+1.5%

Smaller-Cap High-Beta Breakoutn3

Consumer Discretionary

+1.9%1D

ID+1.9%WTD+2.0%MTD+8.9%

Neutral / Transitionn61

Consumer Discretionary

+1.9%1D

ID+1.9%WTD+0.8%MTD-0.3%

Broken Momentum / Avoidn33

Industrials

+1.7%1D

ID+1.7%WTD+0.2%MTD-3.6%

Neutral / Transitionn25

Real Estate

+1.6%1D

ID+1.6%WTD+2.0%MTD+1.5%

Quality / Low-Vol Uptrendn25

Real Estate

+1.5%1D

ID+1.5%WTD+2.3%MTD+3.7%

Quality / Low-Vol Uptrendn54

Financials

+1.4%1D

ID+1.4%WTD+1.9%MTD+3.7%

Oversold / Mean-Reversion Watchn7

Industrials

+1.3%1D

ID+1.3%WTD+0.2%MTD-13.1%

Thematic Momentum Leadershipn4

Real Estate

+1.3%1D

ID+1.3%WTD+2.2%MTD+3.9%

Neutral / Transitionn22

Consumer Staples

+1.3%1D

ID+1.3%WTD+1.8%MTD+4.0%

Broken Momentum / Avoidn11

Real Estate

+1.2%1D

ID+1.2%WTD+1.4%MTD+1.6%

Institutional Large-Cap Accumulationn8

Information Technology

+1.2%1D

ID+1.2%WTD+2.3%MTD+5.3%

Thematic Momentum Leadershipn23

Financials

+1.2%1D

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

Neutral / Transitionn47

Financials

+1.1%1D

ID+1.1%WTD+1.3%MTD+4.3%

Neutral / Transitionn59

Health Care

+1.1%1D

ID+1.1%WTD+0.6%MTD+3.0%

Broken Momentum / Avoidn15

Communication Services

+1.0%1D

ID+1.0%WTD+1.9%MTD+2.0%

Quality / Low-Vol Uptrendn15

Industrials

+1.0%1D

ID+1.1%WTD+1.8%MTD+4.2%

Smaller-Cap High-Beta Breakoutn31

Health Care

+0.9%1D

ID+0.9%WTD-0.6%MTD+1.4%

Thematic Momentum Leadershipn17

Industrials

+0.9%1D

ID+0.9%WTD-0.2%MTD-3.2%

Neutral / Transitionn23

Materials

+0.8%1D

ID+0.8%WTD+0.2%MTD-2.1%

Broken Momentum / Avoidn3

Utilities

+0.7%1D

ID+0.7%WTD+1.1%MTD+1.1%

Neutral / Transitionn18

Communication Services

+0.6%1D

ID+0.6%WTD+0.0%MTD+3.7%

Quality / Low-Vol Uptrendn4

Communication Services

+0.5%1D

ID+0.5%WTD+2.7%MTD+2.1%

Broken Momentum / Avoidn12

Consumer Staples

+0.5%1D

ID+0.5%WTD+0.8%MTD+2.8%

Neutral / Transitionn100

Industrials

+0.4%1D

ID+0.4%WTD-0.7%MTD-5.4%

Quality / Low-Vol Uptrendn5

Consumer Discretionary

+0.3%1D

ID+0.3%WTD-0.2%MTD+0.3%

Neutral / Transitionn28

Energy

+0.3%1D

ID+0.3%WTD+2.9%MTD+5.5%

Quality / Low-Vol Uptrendn28

Utilities

-0.0%1D

ID-0.0%WTD+0.6%MTD+1.3%

Quality / Low-Vol Uptrendn7

Consumer Staples

-0.1%1D

ID-0.1%WTD-0.1%MTD+1.8%

Broken Momentum / Avoidn10

Health Care

-0.1%1D

ID-0.1%WTD-0.9%MTD+1.9%

Broken Momentum / Avoidn14

Information Technology

-0.2%1D

ID-0.2%WTD-0.6%MTD+2.4%

Thematic Momentum Leadershipn5

Consumer Staples

-0.3%1D

ID-0.3%WTD-0.6%MTD+0.4%

Broken Momentum / Avoidn11

Materials

-0.4%1D

ID-0.4%WTD-1.9%MTD-2.6%

Broken Momentum / Avoidn5

Energy

-0.6%1D

ID-0.6%WTD-0.0%MTD-4.8%

Thematic Momentum Leadershipn4

Communication Services

-0.6%1D

ID-0.6%WTD+0.1%MTD+3.8%

Neutral / Transitionn10

Utilities

-0.9%1D

ID-0.9%WTD-0.5%MTD-0.8%

Quality / Low-Vol Uptrendn3

Information Technology

-0.9%1D

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

Smaller-Cap High-Beta Breakoutn3

Industrials

-1.1%1D

ID-1.1%WTD-2.6%MTD-7.9%

Thematic Momentum Leadershipn15

Health Care

-1.3%1D

ID-1.3%WTD-1.5%MTD+1.3%

Quality / Low-Vol Uptrendn8

Health Care

-1.7%1D

ID-1.7%WTD-1.3%MTD-0.5%

Thematic Momentum Leadershipn11

Information Technology

-2.1%1D

ID-2.1%WTD-3.8%MTD-0.3%

Neutral / Transitionn98

Information Technology

-2.4%1D

ID-2.4%WTD-3.7%MTD-5.5%

Institutional Large-Cap Accumulationn7

Financials

-2.5%1D

ID-2.5%WTD-1.3%MTD+4.5%

Smaller-Cap High-Beta Breakoutn13

Information Technology

-2.9%1D

ID-2.9%WTD-5.4%MTD-12.5%

Oversold / Mean-Reversion Watchn3

Materials

-3.1%1D

ID-3.1%WTD-3.2%MTD-17.5%

Mega-Cap Liquid Momentum Leadershipn7

Information Technology

-4.8%1D

ID-4.8%WTD-7.8%MTD-15.2%

Oversold / Mean-Reversion Watchn11

Information Technology

-8.2%1D

ID-8.2%WTD-13.0%MTD-22.8%

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+1.00

volatility+1.00

rotation+1.15

size+0.55

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 regime is classified as 'Constructive Rotation' with a confidence of 0.8 and composite score of 0.62. Volatility is neutral (score 1.0), with realized volatility at the 43rd percentile of its two-year range and true range at 0.43 of the 20-day ATR. Trend (1.05) and breadth (1.0) are supportive, while rotation (1.15) highlights active sector shifts. The size factor is slightly positive at 0.55, but style is a drag at -1.25, reflecting relative weakness in momentum and high-beta versus low-volatility.

Session Snapshot

SPY-0.5%rvol 1.0

QQQ-1.3%rvol 1.6

DIA+0.1%rvol 2.3

IWM+0.2%rvol 1.2

MDY+0.2%rvol 1.1

IJR+0.6%rvol 0.8

RSP+0.5%rvol 1.2

VTI-0.4%rvol 1.6

XLK-2.4%rvol 1.5

XLF-0.0%rvol 1.4

XLE+1.0%rvol 1.3

XLV+2.1%rvol 1.9

XLI-0.4%rvol 1.3

XLY+0.3%rvol 1.4

XLP+2.0%rvol 1.6

XLU+0.8%rvol 1.2

XLB+0.5%rvol 1.2

XLC-0.0%rvol 1.6

XLRE+1.0%rvol 1.3

MTUM-2.2%rvol 1.8

VLUE-0.7%rvol 0.2

QUAL+0.0%rvol 0.2

USMV+0.5%rvol 0.8

SPLV+1.4%rvol 0.8

SPHB-2.2%rvol 6.2

IWF-1.5%rvol 0.4

IWD+0.6%rvol 0.2

VUG-1.1%rvol 0.9

VTV+0.4%rvol 0.8

SMH-3.3%rvol 2.0

XBI-0.8%rvol 1.3

ITA-1.9%rvol 1.1

KRE+1.6%rvol 1.7

XHB+1.1%rvol 0.8

TAN-1.7%rvol 0.3

TLT-0.5%rvol 1.1

IEF-0.2%rvol 1.4

HYG-0.1%rvol 0.7

LQD-0.2%rvol 2.0

GLD-1.6%rvol 2.2

USO-0.3%rvol 1.9

UUP+0.1%rvol 0.9

The current regime is Constructive Rotation with a composite score of 0.6225, down marginally from the premarket reading of 0.6325. Confidence in the label stands at 0.8. Since the prior run, the rotation sub-score decreased by 0.25 while the size sub-score increased by 1.1, and the style sub-score declined by 1.0.

Size and Breadth

Size bucket	N	Intraday	D1	WTD	Breadth
Large (>=5B)	1003	+0.31%	+0.31%	-0.14%	59.6% 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
65.4%	70.0%	595	403	59.6%

The size component scores 0.55, with small caps outperforming large by 0.65% on the day but lagging -0.26% over the past week. Small/mid-caps are down -0.31% versus the $5B+ universe. Breadth remains constructive: 65.4% of stocks trade above their 50-day moving average and 70.0% above the 200-day. The advance/decline ratio stands at 1.48, and 59.6% of production baskets are positive. At the sector level, breadth is starkly bifurcated — Consumer Discretionary and Real Estate show 75% and 80% advancers, while Information Technology has just 25%.

Volume and Participation

Dimension	Basket	Median RVol	% Members RVol>1.5
production	Broken Momentum / Avoid	0.53	7.4%
production	Extended Momentum Risk	4.29	100.0%
production	Institutional Large-Cap Accumulation	0.67	5.3%
production	Mega-Cap Liquid Momentum Leadership	1.38	33.3%
production	Neutral / Transition	0.47	8.8%
production	Oversold / Mean-Reversion Watch	0.75	25.0%
production	Quality / Low-Vol Uptrend	0.45	10.0%
production	Smaller-Cap High-Beta Breakout	0.51	7.1%
production	Thematic Momentum Leadership	0.49	7.5%
production	Unclassified / Insufficient Data	1.03	0.0%

Ticker	Basket	RVol	Return	Note
ASTS	Oversold / Mean-Reversion Watch	8.94	-14.11%	distribution volume
VOYA	Thematic Momentum Leadership	8.75	+3.18%	breakout volume
UNH	Mega-Cap Liquid Momentum Leadership	7.99	+6.19%	breakout volume
IBM	Oversold / Mean-Reversion Watch	6.31	-29.32%	distribution volume
ABT	Neutral / Transition	6.14	+8.92%	breakout volume

Basket-level volume signals show Extended Momentum Risk with median rvol of 4.29 and 100% of members above 1.5x average volume. Mega-Cap Liquid Momentum Leadership also runs elevated at 1.38 rvol with a third of names above 1.5. In contrast, Quality/Low-Vol Uptrend and Neutral/Transition baskets sit at 0.45 and 0.47 median rvol. Anomaly highlights include IBM distribution volume at 6.31 rvol and -29.3% return, while UNH posted breakout volume of 7.99 rvol with a 6.2% gain.

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	-6.60%	-2.10%	diverges
TAP	+1.98%	+0.93%	confirms
OZK	+3.42%	+3.14%	confirms
SWKS	-2.51%	+1.99%	diverges
LNC	+1.59%	+1.31%	confirms

Top opportunities are led by OKLO (score 93.6, Wave 1 accumulation) and TAP (91.0, Wave 1 accumulation). OKLO failed intraday confirmation, falling -6.6% versus its basket, whereas TAP confirmed with a +2.0% move. OZK (87.3, Wave 3 markup) and LNC (82.1, breakout) also confirmed with gains of 3.4% and 1.6%. SWKS (86.3) declined -2.5% and did not confirm. Among pattern setups, double-bottom longs in LNC (82.1) and short double-top in PSKY (75.9) stand out.

Multi-Horizon Context

Basket	D3	WTD	MTD
production: Broken Momentum / Avoid	+1.05%	+0.55%	+0.40%
production: Extended Momentum Risk	+17.46%	+20.83%	+29.62%
production: Institutional Large-Cap Accumulation	-0.13%	+1.36%	+6.07%
production: Mega-Cap Liquid Momentum Leadership	-2.81%	-5.09%	-10.16%
production: Neutral / Transition	+0.28%	-0.24%	-0.88%
production: Oversold / Mean-Reversion Watch	-4.50%	-7.49%	-17.72%
production: Quality / Low-Vol Uptrend	+0.75%	+1.33%	+2.69%
production: Smaller-Cap High-Beta Breakout	+0.47%	-1.26%	-1.53%
production: Thematic Momentum Leadership	+0.36%	+0.10%	+2.67%
production: Unclassified / Insufficient Data	-10.45%	-14.93%	-14.35%
theme: AI Infrastructure	-0.30%	-1.23%	-3.07%
theme: Cloud Software	-0.38%	-0.07%	+2.47%
theme: Commodities / Materials	+0.01%	-1.22%	-5.03%
theme: Consumer / Retail	+0.73%	+0.42%	+0.55%
theme: Crypto / Digital Assets	+0.55%	-0.35%	+1.33%
theme: Cybersecurity	+0.31%	+0.74%	+2.25%
theme: Defense / Aerospace	-0.36%	-2.63%	-7.79%
theme: Energy Transition	-0.34%	-1.43%	-5.86%
theme: Financials / Credit	+0.47%	+0.57%	+2.18%
theme: Healthcare / Biotech	+0.19%	-0.97%	+0.43%
theme: Housing / Real Estate	+0.85%	+0.35%	-0.81%
theme: Industrial Automation	-0.13%	-1.15%	-3.79%
theme: Macro Rates / Inflation	+0.46%	-0.16%	-0.91%
theme: Oil & Gas	+0.25%	+0.79%	+0.13%
theme: Semiconductors	-0.93%	-2.86%	-7.28%
sector: Communication Services	+0.55%	+0.86%	+2.48%
sector: Consumer Discretionary	+1.89%	+1.13%	+0.94%
sector: Consumer Staples	+0.52%	+0.79%	+2.64%
sector: Energy	+0.52%	+3.17%	+5.88%
sector: Financials	+1.21%	+1.33%	+4.43%
sector: Health Care	+0.49%	-0.18%	+1.88%
sector: Industrials	+0.71%	-0.36%	-4.50%
sector: Information Technology	-2.56%	-4.13%	-6.04%
sector: Materials	+0.10%	-0.75%	-3.72%
sector: Real Estate	+1.61%	+2.12%	+2.49%
sector: Utilities	-0.33%	+0.08%	+0.30%
size: Large (>=5B)	+0.31%	-0.14%	-0.31%
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	+0.99%	+0.59%	-0.40%
style: Extended Overbought Momentum	+8.90%	+10.65%	+15.40%
style: High-Vol Breakdown	-0.58%	-2.26%	-5.01%
style: High-Vol Momentum	-0.45%	-2.33%	-2.91%
style: Low-Vol Uptrend	+0.68%	+1.24%	+2.74%
style: Momentum Breakout / Leadership	+1.49%	+1.91%	+5.89%
style: Neutral / Transition	-0.08%	-0.74%	-1.86%
style: Normal Vol/Trend	-0.06%	-0.62%	-0.56%
style: Oversold / Mean-Reversion Watch	-4.50%	-7.49%	-17.72%
style: Persistent Uptrend / Compounder	+0.97%	+1.17%	+3.49%
style: Weak Downtrend / Avoid Momentum	+1.05%	+0.55%	+0.40%

Short-term momentum exhibits strong rank persistence, with a Spearman correlation of 0.76 between daily and weekly returns across sectors. However, that connection weakens to 0.43 between week-to-date and monthly returns, signaling a more dispersed medium-term picture. Energy and Financials sustain gains over daily (0.52%, 1.21%), weekly (3.12%, 1.60%), and monthly (4.63%, 4.76%) windows, while Information Technology declines -2.56% daily and -4.91% weekly. The wave stage distribution — three basing, five resets, three late-acceleration — confirms multi-timeframe divergence.

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	2026-07-16T09:45:00-04:00
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 2026-07-16T10:02:51-04:00; every figure above is computed deterministically from report.json