High convictionregime:04 · n=506
Regime context — size to the state: Choppy Neutral
Choppy Neutral (composite 0.43, confidence 0.87)
This regime historically persists ~8 td, p_stay 0.87. 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: Semis - Market w1
Semis - Market w1 = -7.90% (-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 SPY / short SMH (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 w1
HighBeta - LowVol w1 = -8.21% (-2.44σ vs 252d)
2.44σ 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.
Medium convictionsigma:04 · n=252
Stretched factor — mean-reversion watch: Momentum - LowVol w1
Momentum - LowVol w1 = -6.49% (-2.34σ vs 252d)
2.34σ 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 w1
Growth - Value w1 = -4.25% (-2.20σ vs 252d)
2.20σ 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=60
Stretched factor — mean-reversion watch: % above SMA200
% above SMA200 = 70.58 (+2.03σ vs 60d)
2.03σ extended vs 60d (n=60). Factor and regime extremes are risk-STATE signals, not direction calls (ref: the -3.45σ Momentum-LowVol week).
ExpressIndex-level breadth print; hedge/express via SPY vs RSP.
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.