High convictionsigma:04 · n=29
Stretched factor — mean-reversion watch: Quality - Extended Risk d1
Quality - Extended Risk d1 = -15.64% (-23.58σ vs 60d)
23.58σ 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 = +15.42% (+15.35σ vs 60d)
15.35σ 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 convictionregime:04 · n=194
Regime context — size to the state: Constructive Rotation
Constructive Rotation (composite 0.63, 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=29
Stretched factor — mean-reversion watch: Oversold / Mean-Reversion Watch d1
Oversold / Mean-Reversion Watch d1 = -2.58% (-2.31σ vs 60d)
2.31σ 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.
Low convictionwarehouse:09
Event risk — crowded short float
MARA short float 28.0% (13 names >=20%)
High short-float names carry ~2.5x baseline odds of a +15% 10-day move (16.9% vs 6.8%), in BOTH directions.
ExpressTreat MARA, PATH, HIMS, TNGX as elevated-variance event risk; size for a two-sided move, not a squeeze long.
FramingEvent risk, not a buy signal — the distribution is fat-tailed both ways.
InvalidationNot a trade until a catalyst and confirmation align.