BoltFactors — AI-Powered Factor Briefing

Wrap · market state

Choppy Neutralheld 0 td · typically ~8 td · ~8 td left · fresh · p(stay) 0.87

0td in — ~8td of typical dwell leftfresh

age 0tdtypical dwell ~8td

SPY -0.99% since prior close; Smaller-Cap High-Beta Breakout leads (+1.31%), Broken Momentum / Avoid lags (-1.23%).

Risk-STATE gauge — monotone in forward volatility, not direction. Size to the state; don't chase the label.

Session Snapshot

CAC +0.85risk-supportive

−risk-off0+risk-on

Equitiesbroad index tape · 0/8 adv

-0.78%med

IWM -0.5%MDY -0.6%DIA -0.8%IJR -0.8%RSP -0.8%VTI -1.0%SPY -1.0%QQQ -1.5%

Rates & Creditduration + credit spread · 3/4 adv

+0.10%med

TLT +0.4%IEF +0.1%LQD +0.1%HYG -0.2%

Commodities & FXgold · oil · the dollar · 2/3 adv

+0.95%med

USO +3.9%GLD +0.9%UUP -0.0%

Globalnot in snapshot

No proxy for this band in the current snapshot — data-plumbing follow-up.

SPY-1.0%rvol 1.2

QQQ-1.5%rvol 1.3

DIA-0.8%rvol 1.1

IWM-0.5%rvol 1.2

MDY-0.6%rvol 0.8

IJR-0.8%rvol 1.0

RSP-0.8%rvol 1.2

VTI-1.0%rvol 0.9

XLK-1.1%rvol 1.1

XLF-0.9%rvol 1.3

XLE+1.2%rvol 1.0

XLV-0.4%rvol 0.8

XLI-0.4%rvol 1.1

XLY-1.6%rvol 1.2

XLP-0.7%rvol 1.3

XLU-0.7%rvol 1.0

XLB-0.7%rvol 0.8

XLC-1.8%rvol 1.0

XLRE-0.1%rvol 0.7

MTUM-0.4%rvol 1.9

VLUE-0.3%rvol 0.2

QUAL-1.3%rvol 0.7

USMV-0.6%rvol 1.4

SPLV-0.5%rvol 0.9

SPHB-1.4%rvol 1.8

IWF-1.5%rvol 1.4

IWD-0.6%rvol 0.5

VUG-1.5%rvol 1.0

VTV-0.4%rvol 0.9

SMH-2.2%rvol 1.9

XBI+1.5%rvol 1.1

ITA-0.1%rvol 1.1

KRE-1.6%rvol 1.1

XHB-2.3%rvol 0.7

TAN-0.5%rvol 0.6

TLT+0.4%rvol 0.9

IEF+0.1%rvol 1.2

HYG-0.2%rvol 1.4

LQD+0.1%rvol 0.9

GLD+0.9%rvol 0.9

USO+3.9%rvol 1.0

UUP-0.0%rvol 0.5

The market closed with the Neutral / Transition basket down 0.7%. The regime composite stood at 0.0975, driven by strong rotation (0.9) and size (1.0) signals, offset by absent trend and volatility (both 0.0) and a style headwind of -1.75.

SPY-0.99%gap -1.15% · open +0.16%

Best factor+1.31%Smaller-Cap High-Beta Breakout

Worst factor-1.23%Broken Momentum / Avoid

Breadth12%baskets +ve · A/D 326/674

Actionable Trading Ideas

High convictionregime:04 · n=506

Size the book to Choppy Neutral, don't chase it — the label reads forward volatility, not direction (persists ~8 td, p_stay 0.87).

Regime context — size to the state: Choppy Neutral

Choppy Neutral (composite 0.10, confidence 0.87)

InvalidationInvalidated on a confirmed regime transition (the two-run confirmation rule).

why / how

EvidenceThis 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.

Medium convictiongap:01 · n=74435

Fade SPY's down-gap into the close — down-gaps ≥1% have bounced +13bps (n=74,435, 51.6% up); tiny edge, tight risk.

Gap fade — down-gap bounce into the close

RGNX gapped -19.73% at the open

InvalidationInvalidated if the gap keeps trending down through 10:30 on expanding volume.

why / how

EvidenceDown-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 SPY, XLI from ~10:00 ET toward the close.

FramingA small positive-expectancy mean-reversion, not a conviction long — tiny edge, tight risk.

Medium convictionsigma:04 · n=252

Fade Semis - Market w1 back toward its mean — a 2.5σ compressed vs 252d has historically reverted more than it ran.

Stretched factor — mean-reversion watch: Semis - Market w1

Semis - Market w1 = -7.37% (-2.47σ vs 252d)

InvalidationInvalidated if the print keeps widening on rising volume or a fresh regime break confirms the move.

why / how

Evidence2.47σ 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.

Medium convictionsigma:04 · n=252

Fade Growth - Value w1 back toward its mean — a 2.2σ compressed vs 252d has historically reverted more than it ran.

Stretched factor — mean-reversion watch: Growth - Value w1

Growth - Value w1 = -4.17% (-2.16σ vs 252d)

InvalidationInvalidated if the print keeps widening on rising volume or a fresh regime break confirms the move.

why / how

Evidence2.16σ 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.

Medium convictionsigma:04 · n=252

Fade HighBeta - LowVol w1 back toward its mean — a 2.0σ compressed vs 252d has historically reverted more than it ran.

Stretched factor — mean-reversion watch: HighBeta - LowVol w1

HighBeta - LowVol w1 = -6.66% (-2.02σ vs 252d)

InvalidationInvalidated if the print keeps widening on rising volume or a fresh regime break confirms the move.

why / how

Evidence2.02σ 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.

Low convictionwarehouse:09

Trade MARA two-sided, not as a squeeze long — crowded short float carries ~2.5x baseline odds of a big move both ways.

Event risk — crowded short float

MARA short float 28.0% (13 names >=20%)

InvalidationNot a trade until a catalyst and confirmation align.

why / how

EvidenceHigh 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.

Closing Factor Performance

Smaller-Cap High-Beta Breakout+1.31%

31 names · 100% cov · rvol 0.65

move vs all baskets today

-1%med -0%+1%

+1.31%100ᵗʰ pctile

ID+1.3%

1D+1.3%

3D-0.2%

1W+0.7%

MTD+2.6%

1M+19.3%

3M+55.0%

YTD+75.7%

1Y+122.2%

2Y+132.5%

Unclassified / Insufficient Data thin — n<10+0.03%

8 names · 100% cov · rvol 0.72

move vs all baskets today

-1%med -0%+1%

+0.03%89ᵗʰ pctile

ID+0.0%

1D+0.0%

3D-1.3%

1W-2.9%

MTD-4.3%

1M+4.2%

3M+15.5%

YTD+36.4%

Institutional Large-Cap Accumulation-0.22%

35 names · 100% cov · rvol 0.94

move vs all baskets today

-1%med -0%+1%

-0.22%78ᵗʰ pctile

ID-0.2%

1D-0.2%

3D+1.0%

1W+2.6%

MTD+5.4%

1M+9.8%

3M+28.3%

YTD+26.8%

1Y+35.4%

2Y+57.6%

Oversold / Mean-Reversion Watch-0.24%

41 names · 98% cov · rvol 0.96

move vs all baskets today

-1%med -0%+1%

-0.24%67ᵗʰ pctile

ID-0.2%

1D-0.2%

3D-7.9%

1W-12.0%

MTD-21.7%

1M-25.5%

3M-11.8%

YTD+15.9%

1Y+55.1%

2Y+156.2%

Extended Momentum Risk-0.40%

42 names · 100% cov · rvol 0.87

move vs all baskets today

-1%med -0%+1%

-0.40%56ᵗʰ pctile

ID-0.4%

1D-0.4%

3D+3.7%

1W+6.0%

MTD+13.4%

1M+19.4%

3M+20.8%

YTD+21.8%

1Y+25.2%

2Y+33.7%

Thematic Momentum Leadership-0.41%

81 names · 100% cov · rvol 0.86

move vs all baskets today

-1%med -0%+1%

-0.41%44ᵗʰ pctile

ID-0.4%

1D-0.4%

3D+1.3%

1W+1.3%

MTD+3.9%

1M+9.7%

3M+26.6%

YTD+31.6%

1Y+47.9%

2Y+67.5%

Low-Vol Aligned Uptrend-0.51%

135 names · 99% cov · rvol 0.93

move vs all baskets today

-1%med -0%+1%

-0.51%33ᵗʰ pctile

ID-0.5%

1D-0.5%

3D+1.4%

1W+1.7%

MTD+2.4%

1M+4.2%

3M+7.8%

YTD+13.8%

1Y+18.0%

2Y+26.6%

Neutral / Transition-0.70%

501 names · 100% cov · rvol 0.87

move vs all baskets today

-1%med -0%+1%

-0.70%22ᵗʰ pctile

ID-0.7%

1D-0.7%

3D-0.7%

1W-1.0%

MTD-2.0%

1M-0.6%

3M+7.4%

YTD+20.5%

1Y+38.8%

2Y+54.7%

Broken Momentum / Avoid-1.23%

130 names · 100% cov · rvol 0.83

move vs all baskets today

-1%med -0%+1%

-1.23%11ᵗʰ pctile

ID-1.2%

1D-1.2%

3D-0.6%

1W-1.4%

MTD-1.2%

1M-6.7%

3M-17.5%

YTD-16.8%

1Y-12.5%

2Y+7.0%

The Smaller-Cap High-Beta Breakout basket led with a 1.31% gain on 64.52% advancing stocks, sharply outperforming most other baskets. Broad market proxies like Neutral / Transition declined 0.70%, while Broken Momentum / Avoid fell 1.23%. Low-Vol Aligned Uptrend and Institutional Large-Cap posted modest losses of 0.51% and 0.22% respectively.

Sector Rotation

Energy+1.23%

Health Care+0.11%

Real Estate-0.21%

Information Technology-0.41%

Utilities-0.76%

Consumer Staples-0.83%

Materials-0.87%

Financials-0.93%

Communication Services-0.95%

Industrials-1.03%

Consumer Discretionary-1.11%

The sector wave map shows five sectors in Basing/early-cycle, including Consumer Staples (opportunity score 71.01) and Information Technology (67.17), four in Reset within trend, led by Health Care (68.78) and Energy (67.91), and two in Expansion/late acceleration: Financials (67.85) and Consumer Discretionary (66.09). This configuration reflects a rotation into early-cycle and resetting groups from late-cycle leadership.

Themes and Keyword Baskets

Healthcare / Biotech degraded+0.2%1D

673 names · 59% cov

ID+0.2%WTD-1.3%MTD+0.4%YTD+24.2%

Oil & Gas+0.0%1D

269 names · 85% cov

ID+0.0%WTD+0.7%MTD+0.1%YTD+19.4%

Defense / Aerospace-0.1%1D

202 names · 79% cov

ID-0.1%WTD-4.2%MTD-9.1%YTD+23.5%

Cybersecurity-0.2%1D

94 names · 70% covaggregate only

ID-0.2%WTD+0.9%MTD+2.4%YTD+14.6%

Energy Transition-0.2%1D

240 names · 82% cov

ID-0.2%WTD-2.1%MTD-6.3%YTD+20.4%

Macro Rates / Inflation-0.7%1D

506 names · 77% covaggregate only

ID-0.7%WTD-0.1%MTD-0.8%YTD+15.2%

AI Infrastructure-0.7%1D

838 names · 80% covaggregate only

ID-0.7%WTD-2.4%MTD-4.0%YTD+20.0%

Cloud Software-0.8%1D

258 names · 79% covaggregate only

ID-0.8%WTD-0.3%MTD+2.6%YTD+13.9%

Industrial Automation-0.8%1D

494 names · 77% covaggregate only

ID-0.8%WTD-1.5%MTD-3.9%YTD+21.5%

Crypto / Digital Assets-0.8%1D

150 names · 69% covaggregate only

ID-0.8%WTD-0.9%MTD+0.9%YTD+12.3%

Financials / Credit-0.9%1D

646 names · 63% cov

ID-0.9%WTD+0.9%MTD+2.5%YTD+13.7%

Semiconductors-1.0%1D

188 names · 90% cov

ID-1.0%WTD-5.3%MTD-10.6%YTD+47.9%

Commodities / Materials-1.0%1D

161 names · 75% cov

ID-1.0%WTD-2.5%MTD-6.1%YTD+7.7%

Housing / Real Estate-1.0%1D

439 names · 71% cov

ID-1.0%WTD+1.1%MTD-0.1%YTD+12.1%

Consumer / Retail-1.0%1D

467 names · 75% cov

ID-1.0%WTD+0.9%MTD+1.0%YTD+9.0%

Style headwinds intensified with Momentum – LowVol spread of –4.93 this week and –12.03 month-to-date. Growth – Value also compressed, widening –4.17 this week. Small caps outperformed with Small – Large spread of 0.89, though month-to-date it is –1.67. The rotation component surged to 0.9, driven by a leadership flip. HighBeta – LowVol stands at –6.66 this week. The regime composite remains low at 0.0975, consistent with Choppy Neutral where trend signals are absent (SPY –0.0941% vs 50-day) but breadth is mixed (64.4% above 50-day, 68.5% above 200-day).

Sigma Board

−3σ0+3σ

Semis - Market w1spread · -7.37% · 252d · n=252-2.47σ

Growth - Value w1spread · -4.17% · 252d · n=252-2.16σ

HighBeta - LowVol w1spread · -6.66% · 252d · n=252-2.02σ

Momentum - LowVol w1spread · -4.93% · 252d · n=252-1.82σ

Broken Momentum / Avoid d1basket · -1.23% · 60d · n=32-1.52σ

% above SMA200breadth · 68.47 · 60d · n=60+1.49σ

Credit d1spread · -0.24% · 60d · n=60-1.41σ

Neutral / Transition d1basket · -0.70% · 60d · n=32-1.15σ

EqualWeight - CapWeight w1spread · +1.11% · 252d · n=252+1.04σ

Adv/Dec ratiobreadth · 0.48 · 60d · n=60-1.03σ

Growth - Value d1spread · -0.93% · 252d · n=252-0.99σ

Semis - Market d1spread · -1.19% · 252d · n=252-0.79σ

Five names posted notable volume outliers: ISRG (rvol 3.97, -14.15%), ROAD (rvol 3.50, +2.01%), MTZ (rvol 3.34, -3.29%), NVR (rvol 2.88, -3.15%), and NFLX (rvol 2.84, -7.26%). The concentration of distribution volume in Broken Momentum and Neutral / Transition underscores elevated single-stock risk.

Factor × Sector Map

Extended Momentum Riskn5

Energy

+2.6%1D

ID+2.6%WTD+12.4%MTD+25.7%

Smaller-Cap High-Beta Breakoutn21

Health Care

+2.2%1D

ID+2.2%WTD-0.1%MTD+2.0%

Low-Vol Aligned Uptrendn5

Communication Services

+1.5%1D

ID+1.5%WTD+3.6%MTD+2.8%

Thematic Momentum Leadershipn19

Health Care

+1.3%1D

ID+1.3%WTD-0.3%MTD+1.9%

Neutral / Transitionn25

Energy

+1.3%1D

ID+1.3%WTD+3.5%MTD+6.0%

Extended Momentum Riskn3

Real Estate

+0.9%1D

ID+0.9%WTD+5.9%MTD+8.3%

Unclassified / Insufficient Datan3

Information Technology

+0.9%1D

ID+0.9%WTD-5.9%MTD-5.0%

Broken Momentum / Avoidn5

Energy

+0.4%1D

ID+0.4%WTD-1.0%MTD-5.7%

Institutional Large-Cap Accumulationn7

Information Technology

+0.2%1D

ID+0.2%WTD+4.8%MTD+7.2%

Institutional Large-Cap Accumulationn5

Health Care

+0.2%1D

ID+0.2%WTD+2.3%MTD+2.8%

Neutral / Transitionn18

Real Estate

+0.1%1D

ID+0.1%WTD+3.2%MTD+2.8%

Oversold / Mean-Reversion Watchn22

Information Technology

+0.1%1D

ID+0.1%WTD-13.2%MTD-23.3%

Oversold / Mean-Reversion Watchn7

Industrials

+0.1%1D

ID+0.1%WTD-10.8%MTD-19.9%

Thematic Momentum Leadershipn9

Information Technology

-0.1%1D

ID-0.1%WTD+1.6%MTD+7.5%

Institutional Large-Cap Accumulationn5

Industrials

-0.1%1D

ID-0.1%WTD+3.3%MTD+7.4%

Low-Vol Aligned Uptrendn5

Health Care

-0.2%1D

ID-0.2%WTD+2.6%MTD+3.6%

Institutional Large-Cap Accumulationn13

Financials

-0.2%1D

ID-0.2%WTD+2.0%MTD+5.6%

Broken Momentum / Avoidn8

Real Estate

-0.2%1D

ID-0.2%WTD+1.1%MTD+2.4%

Thematic Momentum Leadershipn6

Real Estate

-0.2%1D

ID-0.2%WTD+4.7%MTD+6.5%

Low-Vol Aligned Uptrendn30

Financials

-0.4%1D

ID-0.4%WTD+1.8%MTD+3.8%

Broken Momentum / Avoidn5

Utilities

-0.4%1D

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

Neutral / Transitionn58

Health Care

-0.4%1D

ID-0.4%WTD-0.9%MTD+1.3%

Smaller-Cap High-Beta Breakoutn4

Information Technology

-0.4%1D

ID-0.4%WTD+2.2%MTD+6.9%

Low-Vol Aligned Uptrendn7

Consumer Staples

-0.4%1D

ID-0.4%WTD-0.1%MTD+0.6%

Low-Vol Aligned Uptrendn30

Real Estate

-0.5%1D

ID-0.5%WTD+3.2%MTD+3.6%

Neutral / Transitionn95

Information Technology

-0.5%1D

ID-0.5%WTD-5.1%MTD-8.1%

Thematic Momentum Leadershipn8

Consumer Discretionary

-0.6%1D

ID-0.6%WTD+2.1%MTD+4.0%

Low-Vol Aligned Uptrendn22

Industrials

-0.7%1D

ID-0.7%WTD+1.3%MTD+1.4%

Neutral / Transitionn14

Utilities

-0.7%1D

ID-0.7%WTD-1.3%MTD-1.9%

Extended Momentum Riskn8

Health Care

-0.8%1D

ID-0.8%WTD+2.9%MTD+5.9%

Neutral / Transitionn20

Materials

-0.8%1D

ID-0.8%WTD-0.3%MTD-3.6%

Extended Momentum Riskn9

Financials

-0.8%1D

ID-0.8%WTD+6.8%MTD+16.1%

Extended Momentum Riskn8

Information Technology

-0.8%1D

ID-0.8%WTD+5.7%MTD+16.0%

Thematic Momentum Leadershipn6

Consumer Staples

-0.8%1D

ID-0.8%WTD+1.4%MTD+3.8%

Neutral / Transitionn22

Consumer Staples

-0.8%1D

ID-0.8%WTD+1.6%MTD+3.8%

Low-Vol Aligned Uptrendn23

Utilities

-0.8%1D

ID-0.8%WTD+0.3%MTD+1.5%

Low-Vol Aligned Uptrendn4

Materials

-0.9%1D

ID-0.9%WTD+0.4%MTD+0.2%

Broken Momentum / Avoidn16

Information Technology

-1.0%1D

ID-1.0%WTD-0.8%MTD+1.6%

Broken Momentum / Avoidn9

Materials

-1.0%1D

ID-1.0%WTD-3.3%MTD-1.9%

Low-Vol Aligned Uptrendn3

Energy

-1.0%1D

ID-1.0%WTD+0.6%MTD-0.3%

Broken Momentum / Avoidn9

Consumer Staples

-1.0%1D

ID-1.0%WTD-0.6%MTD+1.5%

Neutral / Transitionn21

Communication Services

-1.1%1D

ID-1.1%WTD-0.3%MTD+3.3%

Neutral / Transitionn52

Financials

-1.1%1D

ID-1.1%WTD+0.1%MTD+3.2%

Neutral / Transitionn109

Industrials

-1.1%1D

ID-1.1%WTD-1.3%MTD-6.6%

Low-Vol Aligned Uptrendn4

Consumer Discretionary

-1.1%1D

ID-1.1%WTD+0.1%MTD-0.6%

Neutral / Transitionn67

Consumer Discretionary

-1.1%1D

ID-1.1%WTD+0.3%MTD-0.3%

Broken Momentum / Avoidn20

Consumer Discretionary

-1.2%1D

ID-1.2%WTD-1.0%MTD-2.2%

Broken Momentum / Avoidn9

Financials

-1.3%1D

ID-1.3%WTD-1.8%MTD+4.3%

Thematic Momentum Leadershipn30

Financials

-1.4%1D

ID-1.4%WTD+1.5%MTD+3.9%

Broken Momentum / Avoidn25

Industrials

-1.4%1D

ID-1.4%WTD-1.5%MTD-5.5%

Extended Momentum Riskn4

Consumer Discretionary

-1.5%1D

ID-1.5%WTD+3.0%MTD+6.7%

Extended Momentum Riskn5

Industrials

-1.5%1D

ID-1.5%WTD+6.5%MTD+12.3%

Broken Momentum / Avoidn16

Communication Services

-1.6%1D

ID-1.6%WTD-0.4%MTD+0.2%

Oversold / Mean-Reversion Watchn3

Financials

-1.7%1D

ID-1.7%WTD-14.4%MTD-26.9%

Oversold / Mean-Reversion Watchn4

Materials

-1.8%1D

ID-1.8%WTD-10.6%MTD-18.2%

Broken Momentum / Avoidn8

Health Care

-3.4%1D

ID-3.4%WTD-5.4%MTD-2.4%

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

Regime Assessment

trend+0.00

breadth+0.60

volatility+0.00

rotation+0.90

size+1.00

style-1.75

p(stay 1d)0.87

p(persist 5d)0.55

expected dwell7.7 td

samplen=506

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 Choppy Neutral, composite 0.0975, with confidence 0.87 and expected to persist 7.7 days. Freshly entered today, the posture is fresh. Component scores show trend at 0.0, breadth at 0.6, volatility at 0.0, rotation at 0.9, size at 1.0, and style at -1.75. SPY trades 6.75% above its 200-day moving average, but the advance-decline ratio is just 0.48. 64.4% of stocks remain above their 50-day moving average. The style component’s deeply negative score of -1.75 reflects extreme divergence between momentum and low volatility. Historically, this regime has preceded elevated choppiness and frequent reversals rather than sustained directional moves.

What Worked Today

Basket	Side	Ticker	Return	Weight
Smaller-Cap High-Beta Breakout	top	RVMD	+3.90%	0.11
Smaller-Cap High-Beta Breakout	top	ORKA	+11.63%	0.02
Smaller-Cap High-Beta Breakout	top	PTGX	+6.73%	0.02
Smaller-Cap High-Beta Breakout	bottom	MRNA	-2.11%	0.07
Smaller-Cap High-Beta Breakout	bottom	CRL	-2.10%	0.03
Smaller-Cap High-Beta Breakout	bottom	SEZL	-3.20%	0.02
Unclassified / Insufficient Data	top	P	+1.48%	0.11
Unclassified / Insufficient Data	top	Q	+0.65%	0.17
Unclassified / Insufficient Data	top	BLLN	+1.66%	0.03
Unclassified / Insufficient Data	bottom	MDLN	-3.21%	0.16
Unclassified / Insufficient Data	bottom	ALH	-1.20%	0.03
Broken Momentum / Avoid	top	VST	+1.89%	0.01
Broken Momentum / Avoid	top	AMT	+0.67%	0.01
Broken Momentum / Avoid	top	DOW	+2.12%	0.00
Broken Momentum / Avoid	bottom	MSFT	-1.82%	0.31
Broken Momentum / Avoid	bottom	NFLX	-7.26%	0.03
Broken Momentum / Avoid	bottom	ISRG	-14.15%	0.02

Extended Momentum Risk continued its outperformance, returning 6.04% week-to-date and 13.38% month-to-date, while Oversold / Mean-Reversion Watch suffered losses of 12.02% and 21.74% respectively. Broken Momentum / Avoid remained under pressure, down 1.35% for the week and 1.21% MTD, whereas Smaller-Cap High-Beta Breakout added 0.65% for the week and 2.64% MTD.

Size and Breadth

Size bucket	N	Intraday	D1	WTD	Breadth
Large (>=5B)	1004	-0.60%	-0.60%	-0.49%	32.6% adv
Micro Cap $250M-$1B	201	-0.15%	-0.15%	-2.57%	39.4% adv
Nano Cap <$250M	15	+1.74%	+1.74%	+14.11%	60.0% adv
Small Cap $1B-$5B	807	-0.51%	-0.51%	+0.35%	34.5% adv

% > SMA50	% > SMA200	Advancers	Decliners	% Baskets Positive
64.4%	68.5%	326	674	12.5%

Small caps dominated on a one-day basis with the Small – Large spread at 0.47, extending to 0.89 week-to-date, though month-to-date still negative at –1.67. The Smaller-Cap High-Beta Breakout basket gained 1.31% with 64.5% of members advancing, while the overall advance-decline ratio sat at a weak 0.484. Breadth remains technically constructive with 64.4% of stocks above their 50-day and 68.5% above the 200-day moving averages, yet only 12.5% of factor baskets posted positive returns, highlighting narrow leadership. The size component score of 1.0 underscores the current small-cap tilt.

Volume and Participation

Dimension	Basket	Median RVol	% Members RVol>1.5
production	Broken Momentum / Avoid	0.83	5.4%
production	Extended Momentum Risk	0.87	2.4%
production	Institutional Large-Cap Accumulation	0.94	17.1%
production	Low-Vol Aligned Uptrend	0.93	7.5%
production	Neutral / Transition	0.87	6.0%
production	Oversold / Mean-Reversion Watch	0.96	10.0%
production	Smaller-Cap High-Beta Breakout	0.65	12.9%
production	Thematic Momentum Leadership	0.86	3.7%
production	Unclassified / Insufficient Data	0.72	0.0%

Ticker	Basket	RVol	Return	Note
ISRG	Broken Momentum / Avoid	3.97	-14.15%	distribution volume
ROAD	Broken Momentum / Avoid	3.50	+2.01%	breakout volume
MTZ	Neutral / Transition	3.34	-3.29%	distribution volume
NVR	Neutral / Transition	2.88	-3.15%	distribution volume
NFLX	Broken Momentum / Avoid	2.84	-7.26%	distribution volume

Volume participation skewed toward institutional accumulation and small-cap breakout baskets. The Institutional Large-Cap Accumulation basket recorded a median relative volume of 0.94 with 17.1% of members trading above 1.5x average volume. Smaller-Cap High-Beta Breakout registered a median rvol of 0.65 but 12.9% above 1.5x, consistent with its 1.31% gain. Anomaly detection flagged distribution-volume events in ISRG (rvol 3.97, –14.15%) and NFLX (rvol 2.84, –7.26%), alongside breakout volume in ROAD (rvol 3.50, +2.01%). Overall, volume dynamics highlight bifurcated risk appetite.

Cross-Asset Confirmation

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

Signal	5d	Points
Credit (HYG−LQD)	+0.26%	+0.30
Risk vs defensives	+1.78%	+0.40
Dollar (−UUP)	+0.07%	+0.00
Curve (IEF/TLT)	+0.34%	+0.15

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

Spread	TLT β	β · SPY-ctrl		β
Momentum - LowVol	1.34	0.15	99%	duration-driven (current, unstable)
Growth - Value	0.25	-0.18	94%	duration-driven (current, unstable)
HighBeta - LowVol	1.48	-0.05	100%	duration-driven (current, unstable)
Small - Large	0.62	0.67	98%	duration-driven (persistent)

Opportunity Watchlist

Ticker	Sector	Opportunity	Wave stage	Regime fit
OZK	Financials	86.9	Wave 3 / markup leader	92.6
SWKS	Information Technology	84.6	Wave 1 / accumulation	89.2
HPE	Information Technology	83.9	Wave 3-5 / breakout	88.5
MTG	Financials	81.0	Wave 3-5 / breakout	87.6
FE	Utilities	81.3	Wave 3-5 / breakout	85.9

Ticker	Since close	Vs basket	Read
OZK	-2.03%	-1.33%	diverges
SWKS	+2.98%	+3.22%	confirms
HPE	+1.53%	+2.23%	confirms
MTG	+0.79%	n/a	confirms
FE	-1.18%	n/a	diverges

Top screener opportunities include OZK (opportunity score 86.9, regime fit 92.6, Neutral/Transition basket), SWKS (84.6, Oversold/Mean-Reversion Watch), HPE (83.9, Neutral/Transition), MTG (81.0, Quality/Low-Vol Uptrend), and FE (81.3, Quality/Low-Vol Uptrend). Intraday confirmation shows SWKS and HPE confirming with gains versus their baskets, while OZK and FE are not confirming. The top pattern setups are short-oriented: BMNR bear flag (73.58), RIOT double top (72.7), SMCI head and shoulders (71.39), alongside long setups TMHC tight base (70.84) and SAIL bull flag (65.83).

3D Summary

Side	Dimension	Basket	Return
best	style	Extended Overbought Momentum	+3.83%
best	production	Extended Momentum Risk	+3.69%
best	sector	Real Estate	+2.71%
worst	style	Oversold / Mean-Reversion Watch	-7.88%
worst	production	Oversold / Mean-Reversion Watch	-7.88%
worst	theme	Semiconductors	-4.83%

Spread	Move
Momentum - LowVol	-5.24%
HighBeta - LowVol	-5.51%
Growth - Value	-3.80%
Small - Large	+0.98%
EqualWeight - CapWeight	+1.10%
Credit	-0.36%
Duration	+0.52%
Semis - Market	-6.16%
Momentum Leadership - Broken Momentum	+1.63%
Quality - Extended Risk	-2.29%

Breadth trend: improving.

Date	Mode	Regime	Composite	Top basket	Bottom basket	SPY D1
2026-07-15	wrap	Constructive Rotation	0.6	Broken Momentum / Avoid	Smaller-Cap High-Beta Breakout	+0.40%
2026-07-16	midday	Constructive Rotation	0.5	Extended Momentum Risk	Unclassified / Insufficient Data	-0.38%

Over the past three days, the best-performing basket is Extended Momentum Risk, returning 3.69%, while Oversold/Mean-Reversion Watch is the worst at -7.88%. Performance spreads continue to penalize risk-off postures: Momentum-LowVol spread stands at -5.24%, HighBeta-LowVol at -5.51%, and Semis-Market at -6.16%. Breadth is improving. The prior two sessions shifted from Constructive Rotation to the current Choppy Neutral regime, with the SPY declining 0.38% on July 16.

WTD Summary

Side	Dimension	Basket	Return
best	size	Nano Cap <$250M	+14.11%
best	production	Extended Momentum Risk	+6.04%
best	style	Extended Overbought Momentum	+4.91%
worst	style	Oversold / Mean-Reversion Watch	-12.02%
worst	production	Oversold / Mean-Reversion Watch	-12.02%
worst	theme	Semiconductors	-5.28%

Spread	Move
Momentum - LowVol	-4.93%
HighBeta - LowVol	-6.66%
Growth - Value	-4.17%
Small - Large	+0.89%
EqualWeight - CapWeight	+1.11%
Credit	-0.17%
Duration	+0.06%
Semis - Market	-7.37%
Momentum Leadership - Broken Momentum	+3.94%
Quality - Extended Risk	-4.38%

Breadth trend: improving.

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%
2026-07-14	wrap	Constructive Rotation	0.7	Quality / Low-Vol Uptrend	Oversold / Mean-Reversion Watch	+0.36%
2026-07-15	wrap	Constructive Rotation	0.6	Broken Momentum / Avoid	Smaller-Cap High-Beta Breakout	+0.40%
2026-07-16	midday	Constructive Rotation	0.5	Extended Momentum Risk	Unclassified / Insufficient Data	-0.38%

Week-to-date, Nano Cap (<$250M) leads with a 14.11% return, followed by Extended Momentum Risk at 6.04%. Oversold/Mean-Reversion Watch is the worst performer at -12.02%. Factor spread moves are significant: Momentum-LowVol at -4.93%, HighBeta-LowVol at -6.66%, and Growth-Value at -4.17%. The week saw regime oscillation from Choppy Neutral to Constructive Rotation and back, with breadth improving. The SPY posted mixed daily returns, closing the week with a -0.38% print on July 16.

MTD Summary

Side	Dimension	Basket	Return
best	size	Nano Cap <$250M	+22.97%
best	production	Extended Momentum Risk	+13.38%
best	style	Extended Overbought Momentum	+11.51%
worst	style	Oversold / Mean-Reversion Watch	-21.74%
worst	production	Oversold / Mean-Reversion Watch	-21.74%
worst	theme	Semiconductors	-10.55%

Spread	Move
Momentum - LowVol	-12.03%
HighBeta - LowVol	-11.65%
Growth - Value	-6.17%
Small - Large	-1.67%
EqualWeight - CapWeight	+0.75%
Credit	+0.98%
Duration	-2.20%
Semis - Market	-14.68%
Momentum Leadership - Broken Momentum	+6.58%
Quality - Extended Risk	-10.99%

Breadth trend: improving.

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%
2026-07-14	wrap	Constructive Rotation	0.7	Quality / Low-Vol Uptrend	Oversold / Mean-Reversion Watch	+0.36%
2026-07-15	wrap	Constructive Rotation	0.6	Broken Momentum / Avoid	Smaller-Cap High-Beta Breakout	+0.40%
2026-07-16	midday	Constructive Rotation	0.5	Extended Momentum Risk	Unclassified / Insufficient Data	-0.38%

Month-to-date, Nano Cap (<$250M) gains 22.97%, and Extended Momentum Risk returns 13.38%. Oversold/Mean-Reversion Watch has declined 21.74%, and Semiconductors are down 10.55%. Style spreads are notably negative: Momentum-LowVol at -12.03%, HighBeta-LowVol at -11.65%, and Quality-Extended Risk at -10.99%. Small-Large spread is -1.67%. The month began with a Choppy Neutral regime and shifted to Constructive Rotation mid-month. Breadth is improving overall.

Structural View (QTD YTD 1Y 2Y)

Basket	QTD	YTD	1Y	2Y
production: Broken Momentum / Avoid	-1.21%	-16.78%	-12.47%	+7.04%
production: Extended Momentum Risk	+13.38%	+21.76%	+25.18%	+33.74%
production: Institutional Large-Cap Accumulation	+5.37%	+26.82%	+35.42%	+57.62%
production: Low-Vol Aligned Uptrend	+2.39%	+13.84%	+17.98%	+26.61%
production: Neutral / Transition	-2.02%	+20.49%	+38.78%	+54.74%
production: Oversold / Mean-Reversion Watch	-21.74%	+15.90%	+55.14%	+156.17%
production: Smaller-Cap High-Beta Breakout	+2.64%	+75.74%	+122.22%	+132.54%
production: Thematic Momentum Leadership	+3.88%	+31.55%	+47.90%	+67.50%
production: Unclassified / Insufficient Data	-4.26%	+36.40%	n/a	n/a
theme: AI Infrastructure	-4.01%	+19.98%	+37.26%	+55.54%
theme: Cloud Software	+2.59%	+13.89%	+16.56%	+34.10%
theme: Commodities / Materials	-6.13%	+7.71%	+35.52%	+42.96%
theme: Consumer / Retail	+1.01%	+8.96%	+10.92%	+20.05%
theme: Crypto / Digital Assets	+0.95%	+12.31%	+24.26%	+46.40%
theme: Cybersecurity	+2.42%	+14.61%	+12.59%	+37.70%
theme: Defense / Aerospace	-9.09%	+23.53%	+52.79%	+103.74%
theme: Energy Transition	-6.35%	+20.44%	+37.99%	+44.38%
theme: Financials / Credit	+2.55%	+13.71%	+20.20%	+32.93%
theme: Healthcare / Biotech	+0.37%	+24.17%	+70.32%	+60.12%
theme: Housing / Real Estate	-0.08%	+12.13%	+16.47%	+20.48%
theme: Industrial Automation	-3.94%	+21.50%	+38.71%	+52.80%
theme: Macro Rates / Inflation	-0.80%	+15.25%	+25.85%	+34.03%
theme: Oil & Gas	+0.08%	+19.39%	+30.97%	+34.54%
theme: Semiconductors	-10.55%	+47.88%	+77.94%	+77.65%
sector: Communication Services	+1.59%	-4.12%	+14.92%	+63.03%
sector: Consumer Discretionary	+0.12%	+6.83%	+12.04%	+25.25%
sector: Consumer Staples	+2.47%	+7.68%	+2.61%	+9.31%
sector: Energy	+6.88%	+36.26%	+38.99%	+33.55%
sector: Financials	+3.98%	+9.83%	+16.73%	+45.77%
sector: Health Care	+1.51%	+27.27%	+68.32%	+64.80%
sector: Industrials	-5.06%	+18.10%	+32.27%	+63.47%
sector: Information Technology	-6.00%	+33.10%	+59.52%	+81.86%
sector: Materials	-4.93%	+12.14%	+26.80%	+34.12%
sector: Real Estate	+3.60%	+13.22%	+14.13%	+21.15%
sector: Utilities	-0.69%	+6.61%	+13.14%	+45.49%
size: Large (>=5B)	-0.62%	+17.54%	+32.72%	+51.43%
size: Micro Cap $250M-$1B	-1.84%	+13.57%	+38.16%	+35.14%
size: Nano Cap <$250M	+22.97%	+36.31%	+17.46%	-18.63%
size: Small Cap $1B-$5B	-0.08%	+20.75%	+39.58%	+42.66%
style: Base Building / Coiled	-1.16%	+12.25%	+23.61%	+36.66%
style: Extended Overbought Momentum	+11.51%	-3.01%	+2.73%	+2.93%
style: High-Vol Breakdown	-8.54%	-17.59%	-2.56%	+65.36%
style: High-Vol Momentum	+4.59%	+78.41%	+120.17%	+135.53%
style: Low-Vol Uptrend	+3.04%	+16.25%	+21.64%	+35.86%
style: Momentum Breakout / Leadership	+7.58%	+34.32%	+46.91%	+62.73%
style: Neutral / Transition	-2.04%	+22.04%	+41.90%	+56.83%
style: Normal Vol/Trend	-1.18%	+23.93%	+45.33%	+59.57%
style: Oversold / Mean-Reversion Watch	-21.74%	+15.90%	+55.14%	+156.17%
style: Persistent Uptrend / Compounder	+2.64%	+22.11%	+29.80%	+44.07%
style: Weak Downtrend / Avoid Momentum	-1.21%	-16.78%	-12.47%	+7.04%

The structural backdrop is defined by persistent style divergence, with the style component score at -1.75 and mtd Momentum-LowVol spread at -12.03%. Year-to-date, Smaller-Cap High-Beta Breakout has surged 75.74%, while Broken Momentum/Avoid has declined 16.78%. Sector wave regimes show five sectors in Basing/early-cycle, four in Reset within trend, and two (Financials, Consumer Discretionary) in Expansion/late acceleration. Breadth remains mixed with 94 breakouts against 32 breakdowns. Volume anomalies on July 17 include NFLX distribution on 2.84 relative volume, falling 7.26%, and ISRG heavy distribution volume, down 14.15% on 3.97 relative volume.

Chart Pattern and Wave Census

Breakouts	Breakdowns	Oversold
94	32	41

Setup type	Count
tight_base	8
bear_flag	8
bull_flag	8
double_top	8
head_shoulders	8
donchian_breakout	8
donchian_breakdown	8
double_bottom	8
gap_up_unfilled	1

Ticker	Pattern	Direction	Score
BMNR	bear_flag	short	73.6
RIOT	double_top	short	72.7
SMCI	head_shoulders	short	71.4
TMHC	tight_base	long	70.8
SAIL	bull_flag	long	65.8
FLS	head_shoulders	short	63.6
FTDR	double_bottom	long	63.5
CWAN	donchian_breakout	long	58.2
CWEN	double_top	short	55.0
RBLX	double_bottom	long	40.9

Ticker	From stage	To stage
HPE	markup	breakout
CGNX	pullback	breakout
PRMB	pullback	markup
BEN	pullback	breakout
AUR	pullback	markup
VLY	pullback	markup
CZR	pullback	breakout
HIMS	pullback	breakout
RIVN	pullback	breakout
RRC	mixed	accumulation
CPB	mixed	accumulation
LINE	mixed	breakout
MGM	mixed	markup
FAF	mixed	pullback
HST	mixed	markup

Pattern census: 94 breakouts, 32 breakdowns, 41 oversold names.

Tomorrow Setup

Spread	Legs	Intraday	D1	WTD	MTD
Momentum - LowVol	MTUM − USMV	+0.11%	+0.11%	-4.93%	-12.03%
HighBeta - LowVol	SPHB − SPLV	-0.90%	-0.90%	-6.66%	-11.65%
Growth - Value	IWF − IWD	-0.93%	-0.93%	-4.17%	-6.17%
Small - Large	IWM − SPY	+0.47%	+0.47%	+0.89%	-1.67%
EqualWeight - CapWeight	RSP − SPY	+0.20%	+0.20%	+1.11%	+0.75%
Credit	HYG − LQD	-0.24%	-0.24%	-0.17%	+0.98%
Duration	TLT	+0.37%	+0.37%	+0.06%	-2.20%
Semis - Market	SMH − SPY	-1.19%	-1.19%	-7.37%	-14.68%
Momentum Leadership - Broken Momentum	Institutional Large-Cap Accumulation − Broken Momentum / Avoid	+1.01%	+1.01%	+3.94%	+6.58%
Quality - Extended Risk	Low-Vol Aligned Uptrend − Extended Momentum Risk	-0.11%	-0.11%	-4.38%	-10.99%

Carry-in regime: Choppy Neutral; watch OZK (Wave 3 / markup leader).

Top Single-Stock Setups (4h–1 Week)

#1TXRHConsumer Discretionary100

▲Momentum continuation4h–1 week

Thematic Momentum Leadership · factor score 7.7/10 (top quintile)

Leadership/uptrend with room — flow-confirmed

UptrendQ1RSI 641w +5.6%MACD+CMF+Force+

Last$197.55

RSI64

1wk+5.6%

ATR stop−4.5%

1-week return vs Thematic Momentum Leadership basket (n=81)

-8%+10%

#2GENInformation Technology100

▲Momentum continuation4h–1 week

Thematic Momentum Leadership · factor score 7.3/10 (top quintile)

Leadership/uptrend with room — flow-confirmed

UptrendQ1RSI 641w +3.9%MACD+CMF+Force+

Last$27.01

RSI64

1wk+3.9%

ATR stop−5.2%

1-week return vs Thematic Momentum Leadership basket (n=81)

-8%+10%

#3ADMConsumer Staples98

▲Momentum continuation4h–1 week

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

Leadership/uptrend with room — flow-confirmed

UptrendQ1RSI 651w +5.1%MACD+CMF+Force+

Last$83.00

RSI65

1wk+5.1%

ATR stop−3.5%

1-week return vs Thematic Momentum Leadership basket (n=81)

-8%+10%

#4VTRSHealth Care98

▲Momentum continuation4h–1 week

Thematic Momentum Leadership · factor score 7.2/10 (top quintile)

Leadership/uptrend with room — flow-confirmed

UptrendQ1RSI 651w +6.1%MACD+CMF+Force+

Last$17.33

RSI65

1wk+6.1%

ATR stop−4.3%

1-week return vs Thematic Momentum Leadership basket (n=81)

-8%+10%

#5EATConsumer Discretionary98

▲Momentum continuation4h–1 week

Thematic Momentum Leadership · factor score 7.5/10 (top quintile)

Leadership/uptrend with room — flow-confirmed

UptrendQ1RSI 651w +2.7%MACD+CMF+Force+

Last$185.47

RSI65

1wk+2.7%

ATR stop−6.4%

1-week return vs Thematic Momentum Leadership basket (n=81)

-8%+10%

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	2026-07-17T18:45:00-04:00
warehouse_snapshot	2026-07-17
proxy_daily	2026-07-16
screener_artifact	2026-07-16T20:51:58.455863-04:00
grouped_daily	2026-07-17

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: Unclassified / Insufficient Data n_members=8 (<10); exclude from broad leadership claims
Report generated at 2026-07-17T19:02:35-04:00; every figure above is computed deterministically from report.json

Narration: 2 of 16 sections used the deterministic fallback (pattern_census, tomorrow_setup); all other sections are LLM-narrated