Close · market state
Choppy Neutralheld 2 td · typically ~8 td · ~6 td left · fresh · p(stay) 0.87
2td in — ~6td of typical dwell leftfresh
age 2tdtypical dwell ~8td
SPY +0.86% since prior close; Oversold / Mean-Reversion Watch leads (+3.47%), Institutional Large-Cap Accumulation lags (-0.83%).
Risk-STATE gauge — monotone in forward volatility, not direction. Size to the state; don't chase the label.
Session Snapshot
CAC +0.15mixed
−risk-off0+risk-on
Equitiesbroad index tape · 8/8 adv
+0.93%med
QQQ +1.9%IWM +1.4%MDY +1.0%IJR +1.0%VTI +0.9%SPY +0.9%DIA +0.7%RSP +0.1%
Rates & Creditduration + credit spread · 0/4 adv
-0.23%med
HYG -0.1%IEF -0.2%TLT -0.2%LQD -0.2%
Commodities & FXgold · oil · the dollar · 3/3 adv
+1.91%med
USO +2.8%GLD +1.9%UUP +0.3%
Globalnot in snapshot
No proxy for this band in the current snapshot — data-plumbing follow-up.
SPY+0.9%rvol 0.6
QQQ+1.9%rvol 0.7
DIA+0.7%rvol 0.9
IWM+1.4%rvol 0.7
MDY+1.0%rvol 0.6
IJR+1.0%rvol 0.9
RSP+0.1%rvol 0.7
VTI+0.9%rvol 0.8
XLK+2.9%rvol 0.7
XLF+0.1%rvol 0.8
XLE+0.8%rvol 0.7
XLV+0.4%rvol 0.6
XLI+0.3%rvol 0.7
XLY+0.2%rvol 0.7
XLP-0.9%rvol 0.7
XLU-0.1%rvol 0.8
XLB+0.3%rvol 0.7
XLC-0.3%rvol 0.6
XLRE-0.1%rvol 0.7
MTUM+3.9%rvol 0.8
VLUE+3.3%rvol 0.2
QUAL+0.6%rvol 0.9
USMV+0.1%rvol 0.7
SPLV-0.5%rvol 0.6
SPHB+3.1%rvol 0.6
IWF+1.6%rvol 0.5
IWD+0.2%rvol 0.3
VUG+1.0%rvol 1.4
VTV+0.8%rvol 1.0
SMH+4.6%rvol 0.6
XBI+2.3%rvol 0.7
ITA+0.2%rvol 0.8
KRE-0.1%rvol 1.2
XHB-0.1%rvol 0.8
TAN+1.9%rvol 0.5
TLT-0.2%rvol 0.6
IEF-0.2%rvol 0.5
HYG-0.1%rvol 0.9
LQD-0.2%rvol 0.9
GLD+1.9%rvol 0.9
USO+2.8%rvol 1.2
UUP+0.3%rvol 0.4
Market regime Choppy Neutral, composite 0.2275, with intraday bounce in Info Tech +1.86%, Energy +1.12%, Health Care +1.01%, while Consumer Staples -0.63%, Comm Services -0.33% lagged. Broad measures show 61% of issues above 50-day and 66% above 200-day. Anomaly volumes: DHR distribution on 6.9x rvol, HAS breakout on 4.2x, EFX distribution on 4.0x.
SPY+0.86%gap +0.57% · open +0.29%
Best factor+3.47%Oversold / Mean-Reversion Watch
Worst factor-0.83%Institutional Large-Cap Accumulation
Breadth66%baskets +ve · A/D 520/478
Actionable Trading Ideas
High convictionsigma:04 · n=34
Fade Oversold / Mean-Reversion Watch d1 back toward its mean — a 2.8σ extended vs 60d has historically reverted more than it ran.
Stretched factor — mean-reversion watch: Oversold / Mean-Reversion Watch d1
Oversold / Mean-Reversion Watch d1 = +3.47% (+2.75σ vs 60d)
InvalidationInvalidated if the print keeps widening on rising volume or a fresh regime break confirms the move.
why / how
Evidence2.75σ extended vs 60d (n=34). 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.
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 0.23, 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 convictionsigma:04 · n=252
Fade Momentum - LowVol d1 back toward its mean — a 2.5σ extended vs 252d has historically reverted more than it ran.
Stretched factor — mean-reversion watch: Momentum - LowVol d1
Momentum - LowVol d1 = +3.86% (+2.48σ vs 252d)
InvalidationInvalidated if the print keeps widening on rising volume or a fresh regime break confirms the move.
why / how
Evidence2.48σ extended 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.
Low convictiongap:01 · n=74435
Fade DHR'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
DHR gapped -16.05% 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 DHR, EFX, MSCI, RGEN, NOC from ~10:00 ET toward the close.
FramingA small positive-expectancy mean-reversion, not a conviction long — tiny edge, tight risk.
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.
Intraday Factor Moves
Oversold / Mean-Reversion Watch+3.47%
47 names · 98% cov · rvol 0.79
move vs all baskets today
-1%med +0%+3%
+3.47%100ᵗʰ pctile
ID+3.5%
1D+3.5%
3D+0.0%
1W-5.9%
MTD-16.7%
1M-21.3%
3M-16.6%
YTD+4.4%
1Y+31.0%
2Y+120.7%
Unclassified / Insufficient Data thin — n<10+2.07%
8 names · 100% cov · rvol 0.64
move vs all baskets today
-1%med +0%+3%
+2.07%89ᵗʰ pctile
ID+2.1%
1D+2.1%
3D+1.1%
1W-0.4%
MTD-3.4%
1M+1.2%
3M+10.5%
YTD+37.1%
Smaller-Cap High-Beta Breakout+0.98%
35 names · 100% cov · rvol 0.57
move vs all baskets today
-1%med +0%+3%
+0.98%78ᵗʰ pctile
ID+1.0%
1D+1.0%
3D+1.4%
1W-0.3%
MTD+4.7%
1M+14.9%
3M+48.3%
YTD+75.7%
1Y+123.0%
2Y+131.0%
Neutral / Transition+0.96%
520 names · 100% cov · rvol 0.60
move vs all baskets today
-1%med +0%+3%
+0.96%67ᵗʰ pctile
ID+1.0%
1D+1.0%
3D-0.3%
1W-0.4%
MTD-2.0%
1M+0.1%
3M+5.8%
YTD+22.8%
1Y+40.9%
2Y+57.2%
Broken Momentum / Avoid+0.23%
152 names · 100% cov · rvol 0.65
move vs all baskets today
-1%med +0%+3%
+0.23%56ᵗʰ pctile
ID+0.2%
1D+0.2%
3D-2.0%
1W-0.9%
MTD-2.0%
1M-4.0%
3M-16.7%
YTD-15.9%
1Y-12.6%
2Y+6.4%
Thematic Momentum Leadership+0.15%
84 names · 100% cov · rvol 0.54
move vs all baskets today
-1%med +0%+3%
+0.15%44ᵗʰ pctile
ID+0.1%
1D+0.1%
3D-0.6%
1W+1.3%
MTD+5.1%
1M+10.6%
3M+22.6%
YTD+28.7%
1Y+39.5%
2Y+50.0%
Extended Momentum Risk-0.19%
24 names · 100% cov · rvol 0.64
move vs all baskets today
-1%med +0%+3%
-0.19%33ᵗʰ pctile
ID-0.2%
1D-0.2%
3D+2.1%
1W+5.4%
MTD+15.4%
1M+24.4%
3M+24.6%
YTD+42.4%
1Y+47.9%
2Y+60.6%
Low-Vol Aligned Uptrend-0.37%
104 names · 99% cov · rvol 0.63
move vs all baskets today
-1%med +0%+3%
-0.37%22ᵗʰ pctile
ID-0.4%
1D-0.4%
3D-1.4%
1W+0.7%
MTD+2.3%
1M+5.6%
3M+6.1%
YTD+13.4%
1Y+15.9%
2Y+24.7%
Institutional Large-Cap Accumulation-0.83%
30 names · 100% cov · rvol 0.67
move vs all baskets today
-1%med +0%+3%
-0.83%11ᵗʰ pctile
ID-0.8%
1D-0.8%
3D-1.3%
1W+0.0%
MTD+5.5%
1M+11.2%
3M+27.4%
YTD+27.3%
1Y+29.5%
2Y+56.4%
Style factor score -0.75 captures growth underperforming value by -1.93% this week, high beta trailing low volatility by -1.71%, and momentum versus low vol down -1.31%. Credit factor added +0.25%. Size score +0.15: small caps beat large by +1.05% for the week and +0.50% on the day, though flat month-to-date. Rotation score -1.35 signals rapid leadership churn.
Sector Rotation
Information Technology+1.86%
Materials+1.51%
Energy+1.12%
Industrials+1.10%
Health Care+1.02%
Consumer Discretionary+0.11%
Financials+0.04%
Utilities-0.06%
Real Estate-0.22%
Communication Services-0.33%
Consumer Staples-0.63%
Info Tech surged +1.86% and Energy +1.12% on the session, while defensives like Consumer Staples fell -0.63% and Comm Services -0.33%. The rotation score of -1.35 and short-term Spearman rank correlation of -0.69 confirm sharp reversal from prior week’s pattern. Leaders included Oversold/Mean-Reversion Watch +3.47% intraday; laggards were Cybersecurity -1.05% and Consumer Staples. Breadth was strongest in Energy (72.5% advancing) and weakest in Staples (27.7%).
Themes and Keyword Baskets
Semiconductors+2.1%1D
188 names · 90% cov
ID+3.1%WTD+1.7%MTD-9.3%YTD+51.3%
Energy Transition+1.0%1D
240 names · 82% cov
ID+1.7%WTD+0.3%MTD-6.2%YTD+21.4%
Defense / Aerospace+1.0%1D
202 names · 79% cov
ID+1.8%WTD+0.2%MTD-8.9%YTD+24.0%
Commodities / Materials+0.8%1D
161 names · 75% cov
ID+1.8%WTD-0.2%MTD-6.4%YTD+7.7%
Industrial Automation+0.8%1D
494 names · 77% covaggregate only
ID+1.4%WTD+0.1%MTD-4.0%YTD+22.2%
Crypto / Digital Assets+0.6%1D
150 names · 69% covaggregate only
ID+0.9%WTD+1.0%MTD+1.5%YTD+13.4%
AI Infrastructure+0.6%1D
838 names · 80% covaggregate only
ID+1.0%WTD+0.2%MTD-4.0%YTD+20.8%
Oil & Gas+0.5%1D
269 names · 85% cov
ID+0.9%WTD+0.2%MTD+0.2%YTD+19.9%
Healthcare / Biotech degraded+0.5%1D
673 names · 59% cov
ID+1.2%WTD-1.2%MTD-1.0%YTD+22.7%
Macro Rates / Inflation+0.4%1D
506 names · 77% covaggregate only
ID+0.7%WTD-0.4%MTD-1.2%YTD+15.1%
Financials / Credit+0.1%1D
646 names · 63% cov
ID+0.1%WTD-0.7%MTD+1.7%YTD+12.9%
Consumer / Retail-0.0%1D
467 names · 75% cov
ID-0.1%WTD-0.6%MTD+0.4%YTD+8.4%
Housing / Real Estate-0.1%1D
439 names · 71% cov
ID-0.1%WTD-1.1%MTD-1.1%YTD+11.2%
Cloud Software-0.3%1D
258 names · 79% covaggregate only
ID-0.4%WTD-0.6%MTD+1.9%YTD+13.4%
Cybersecurity-0.6%1D
94 names · 70% covaggregate only
ID-1.1%WTD-0.8%MTD+1.4%YTD+13.8%
Semiconductors led intraday with +3.15% and +2.11% for the day, but remain -9.35% month-to-date. Defense/Aerospace added +1.76% intraday, while Commodities/Materials gained +1.77%. At the bottom, Cybersecurity shed -1.05% intraday and -0.59% on the day, Cloud Software -0.43%. Breadth validated strength: 70.8% of Semiconductors advanced vs. 29.7% in Cybersecurity. Note the Healthcare/Biotech theme data is degraded.
Sigma Board
−3σ0+3σ
Oversold / Mean-Reversion Watch d1basket · +3.47% · 60d · n=34+2.75σ
Momentum - LowVol d1spread · +3.86% · 252d · n=252+2.48σ
Semis - Market d1spread · +3.71% · 252d · n=252+1.96σ
HighBeta - LowVol d1spread · +3.54% · 252d · n=252+1.89σ
Growth - Value d1spread · +1.41% · 252d · n=252+1.64σ
Neutral / Transition d1basket · +0.96% · 60d · n=34+1.36σ
EqualWeight - CapWeight d1spread · -0.71% · 252d · n=252-1.35σ
Semis - Market w1spread · -2.21% · 252d · n=252-0.94σ
Volatility score maxed at 1.0 but 20-day realized vol percentile only 35.4. Sector rvol medians range from 0.53 (Comm Services) to 0.74 (Materials); themes sit in similar 0.55-0.79 range, with Oversold/Mean-Reversion Watch at 0.79. However, single-stock distribution spikes to 6.9x rvol in DHR, 4.2x in HAS, and 4.0x in EFX, pointing to concentrated stress beneath calm aggregates.
Factor × Sector Map
Oversold / Mean-Reversion Watchn18
Information Technology
+5.1%1D
ID+5.1%WTD+5.1%MTD-19.5%
Oversold / Mean-Reversion Watchn9
Materials
+3.3%1D
ID+3.3%WTD+1.5%MTD-11.3%
Neutral / Transitionn102
Information Technology
+2.7%1D
ID+2.7%WTD+3.1%MTD-6.0%
Smaller-Cap High-Beta Breakoutn20
Health Care
+2.6%1D
ID+2.6%WTD+0.3%MTD+3.8%
Broken Momentum / Avoidn5
Energy
+2.3%1D
ID+2.3%WTD+1.8%MTD-2.5%
Oversold / Mean-Reversion Watchn3
Communication Services
+2.3%1D
ID+2.3%WTD+1.5%MTD-9.8%
Institutional Large-Cap Accumulationn3
Health Care
+2.2%1D
ID+2.2%WTD+1.8%MTD+4.3%
Oversold / Mean-Reversion Watchn9
Industrials
+2.0%1D
ID+2.0%WTD-0.1%MTD-18.5%
Broken Momentum / Avoidn6
Materials
+1.6%1D
ID+1.6%WTD+0.4%MTD-1.4%
Broken Momentum / Avoidn16
Financials
+1.6%1D
ID+1.6%WTD+3.0%MTD+4.8%
Neutral / Transitionn111
Industrials
+1.4%1D
ID+1.4%WTD+0.6%MTD-5.1%
Thematic Momentum Leadershipn19
Health Care
+1.4%1D
ID+1.4%WTD+0.1%MTD+3.0%
Thematic Momentum Leadershipn3
Energy
+1.3%1D
ID+1.3%WTD+1.4%MTD+10.6%
Low-Vol Aligned Uptrendn3
Consumer Discretionary
+1.3%1D
ID+1.3%WTD+0.1%MTD+2.9%
Neutral / Transitionn20
Energy
+1.1%1D
ID+1.1%WTD+1.0%MTD+5.5%
Unclassified / Insufficient Datan3
Information Technology
+1.0%1D
ID+1.0%WTD+2.9%MTD-2.4%
Extended Momentum Riskn4
Real Estate
+0.8%1D
ID+0.8%WTD+0.5%MTD+10.8%
Extended Momentum Riskn6
Energy
+0.7%1D
ID+0.7%WTD+2.4%MTD+28.5%
Neutral / Transitionn61
Health Care
+0.7%1D
ID+0.7%WTD-0.8%MTD+0.2%
Neutral / Transitionn20
Materials
+0.6%1D
ID+0.6%WTD-0.4%MTD-2.9%
Broken Momentum / Avoidn6
Utilities
+0.6%1D
ID+0.6%WTD+0.2%MTD-3.2%
Broken Momentum / Avoidn34
Industrials
+0.5%1D
ID+0.5%WTD-1.1%MTD-7.7%
Thematic Momentum Leadershipn11
Real Estate
+0.4%1D
ID+0.4%WTD-0.2%MTD+4.7%
Broken Momentum / Avoidn11
Health Care
+0.3%1D
ID+0.3%WTD-0.9%MTD-2.4%
Broken Momentum / Avoidn27
Consumer Discretionary
+0.3%1D
ID+0.3%WTD-0.8%MTD-2.9%
Neutral / Transitionn61
Consumer Discretionary
+0.2%1D
ID+0.2%WTD-0.8%MTD-0.7%
Neutral / Transitionn56
Financials
+0.0%1D
ID+0.0%WTD-0.2%MTD+2.2%
Neutral / Transitionn20
Real Estate
-0.0%1D
ID-0.0%WTD-1.1%MTD+0.8%
Thematic Momentum Leadershipn4
Consumer Staples
-0.1%1D
ID-0.1%WTD-0.7%MTD+6.2%
Neutral / Transitionn22
Utilities
-0.2%1D
ID-0.2%WTD-1.0%MTD-2.2%
Neutral / Transitionn28
Consumer Staples
-0.2%1D
ID-0.2%WTD-0.6%MTD+0.8%
Low-Vol Aligned Uptrendn15
Industrials
-0.3%1D
ID-0.3%WTD-0.8%MTD+1.7%
Thematic Momentum Leadershipn24
Financials
-0.3%1D
ID-0.3%WTD-1.0%MTD+6.2%
Broken Momentum / Avoidn14
Communication Services
-0.3%1D
ID-0.3%WTD-1.1%MTD+0.8%
Low-Vol Aligned Uptrendn37
Financials
-0.3%1D
ID-0.3%WTD-1.0%MTD+2.3%
Low-Vol Aligned Uptrendn19
Real Estate
-0.3%1D
ID-0.3%WTD-0.8%MTD+3.2%
Low-Vol Aligned Uptrendn14
Utilities
-0.6%1D
ID-0.6%WTD-0.8%MTD+2.2%
Neutral / Transitionn19
Communication Services
-0.6%1D
ID-0.6%WTD-0.6%MTD+1.0%
Broken Momentum / Avoidn14
Information Technology
-0.7%1D
ID-0.7%WTD-0.8%MTD+1.5%
Low-Vol Aligned Uptrendn5
Health Care
-0.7%1D
ID-0.7%WTD-1.8%MTD+2.0%
Smaller-Cap High-Beta Breakoutn4
Consumer Discretionary
-0.7%1D
ID-0.7%WTD-1.0%MTD+8.4%
Thematic Momentum Leadershipn12
Information Technology
-0.8%1D
ID-0.8%WTD-0.4%MTD+6.2%
Institutional Large-Cap Accumulationn10
Financials
-0.9%1D
ID-0.9%WTD-0.9%MTD+5.6%
Extended Momentum Riskn4
Industrials
-0.9%1D
ID-0.9%WTD-0.4%MTD+11.3%
Extended Momentum Riskn4
Health Care
-1.1%1D
ID-1.1%WTD-0.9%MTD+4.9%
Thematic Momentum Leadershipn8
Consumer Discretionary
-1.2%1D
ID-1.2%WTD-2.2%MTD+1.5%
Low-Vol Aligned Uptrendn5
Communication Services
-1.3%1D
ID-1.3%WTD-2.4%MTD+2.7%
Broken Momentum / Avoidn10
Real Estate
-1.4%1D
ID-1.4%WTD-2.7%MTD+0.0%
Broken Momentum / Avoidn9
Consumer Staples
-1.6%1D
ID-1.6%WTD-1.9%MTD-0.4%
Institutional Large-Cap Accumulationn3
Consumer Staples
-1.7%1D
ID-1.7%WTD-1.6%MTD+3.9%
Institutional Large-Cap Accumulationn8
Information Technology
-1.8%1D
ID-1.8%WTD-2.5%MTD+5.3%
Smaller-Cap High-Beta Breakoutn7
Information Technology
-3.6%1D
ID-3.6%WTD-4.1%MTD+3.7%
Where each factor basket is working by sector — sorted by 1-day equal-weight return, ≥3 names per cell.
Regime Assessment
trend+0.65
breadth+0.70
volatility+1.00
rotation-1.35
size+0.15
style-0.75
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 current regime is classified as Choppy Neutral, with 0.87 confidence and a composite score of 0.2275. The volatility component is elevated at a score of 1.0, with realized volatility at the 35.4th percentile of its two-year range and an intraday range at 0.62 of the 20-day average. The rotation score plunged to -1.35, driven by leadership flips and a Spearman rank correlation of -0.6905 between daily and weekly sector returns. This configuration historically precedes above-average drawdown frequency and volatility clustering.
Size and Breadth
| Size bucket | N | Intraday | D1 | WTD | Breadth |
|---|
| Large (>=5B) | 1004 | +0.69% | +0.69% | +0.08% | 52.0% adv |
| Micro Cap $250M-$1B | 201 | n/a | +0.00% | -1.33% | 0.0% adv |
| Nano Cap <$250M | 15 | n/a | +0.00% | -2.80% | 0.0% adv |
| Small Cap $1B-$5B | 807 | n/a | +0.00% | -0.89% | 0.0% adv |
| % > SMA50 | % > SMA200 | Advancers | Decliners | % Baskets Positive |
|---|
| 61.1% | 65.9% | 520 | 478 | 66.0% |
Market breadth is constructive but uneven. The advance-decline ratio sits at 1.088, with 61.14% of members above their 50-day moving average and 65.86% above the 200-day. Sector-level breadth ranges from 72.5% advancing in Energy to just 27.66% in Consumer Staples. The size factor shows small-caps outperforming large-caps by 0.499% on the day but a marginal 0.0023% over the past month, indicating near-term strength that has not persisted.
Volume and Participation
| Dimension | Basket | Median RVol | % Members RVol>1.5 |
|---|
| production | Broken Momentum / Avoid | 0.65 | 7.2% |
| production | Extended Momentum Risk | 0.64 | 4.2% |
| production | Institutional Large-Cap Accumulation | 0.67 | 0.0% |
| production | Low-Vol Aligned Uptrend | 0.63 | 4.9% |
| production | Neutral / Transition | 0.60 | 3.9% |
| production | Oversold / Mean-Reversion Watch | 0.79 | 0.0% |
| production | Smaller-Cap High-Beta Breakout | 0.57 | 0.0% |
| production | Thematic Momentum Leadership | 0.54 | 2.4% |
| production | Unclassified / Insufficient Data | 0.64 | 0.0% |
| Ticker | Basket | RVol | Return | Note |
|---|
| DHR | Neutral / Transition | 6.87 | -12.18% | distribution volume |
| HAS | Broken Momentum / Avoid | 4.18 | +8.08% | breakout volume |
| EFX | Neutral / Transition | 4.01 | -4.79% | distribution volume |
| MMM | Neutral / Transition | 3.68 | +7.34% | breakout volume |
| AMG | Neutral / Transition | 3.41 | -6.92% | distribution volume |
Volume is generally subdued relative to recent averages. The Oversold / Mean-Reversion Watch basket carries the highest median relative volume at 0.79, yet no members exceed 1.5x. In contrast, Broken Momentum / Avoid sees a modest 7.2% of names above 1.5x rvol. Anomalies include DHR with rvol of 6.87 on distribution volume and HAS with 4.18 rvol on breakout volume, highlighting isolated pockets of conviction.
Cross-Asset Confirmation
CAC +0.15 — mixed (positive = risk-supportive)
| Signal | 5d | Points |
|---|
| Credit (HYG−LQD) | +0.02% | +0.00 |
| Risk vs defensives | -0.96% | +0.00 |
| Dollar (−UUP) | +0.39% | +0.00 |
| Curve (IEF/TLT) | +0.36% | +0.15 |
Duration-in-disguise — 63d TLT beta of style spreads
| Spread | TLT β | β · SPY-ctrl | | β | %ile | Duration read |
|---|
| Momentum - LowVol | 1.33 | 0.25 | 99% | duration-driven (current, unstable) |
| Growth - Value | 0.18 | -0.23 | 72% | factor-driven (current, unstable) |
| HighBeta - LowVol | 1.45 | 0.06 | 99% | duration-driven (current, unstable) |
| Small - Large | 0.61 | 0.67 | 97% | duration-driven (persistent) |
Opportunity Watchlist
| Ticker | Sector | Opportunity | Wave stage | Regime fit |
|---|
| SOFI | Financials | 88.2 | Wave 1 / accumulation | 94.8 |
| FITB | Financials | 85.6 | Wave 3-5 / breakout | 92.2 |
| VICI | Real Estate | 84.8 | Wave 1 / accumulation | 88.9 |
| AES | Utilities | 85.9 | Wave 2-4 / pullback | 88.6 |
| AGNC | Real Estate | 81.8 | Wave 3-5 / breakout | 88.4 |
| Ticker | Since close | Vs basket | Read |
|---|
| SOFI | +2.73% | +1.77% | confirms |
| FITB | +0.17% | +1.00% | confirms |
| VICI | -0.86% | -1.09% | diverges |
| AES | +0.00% | +0.37% | diverges |
| AGNC | -1.14% | -0.77% | diverges |
The top opportunity scores are led by SOFI at 88.2, in Wave 1 accumulation with a regime fit of 94.8, confirmed by intraday outperformance of 1.77% versus its basket. FITB follows at 85.6, also confirmed. Other top-ranked names like VICI, AES, and AGNC lack intraday confirmation. Among pattern-based setups, RIOT's double top triggers a short with a score of 74.35, and FIGR's bear flag scores 71.99. Long setups include APLD's donchian breakout at 66.17 and TMHC's tight base at 60.65.
Multi-Horizon Context
| Basket | D3 | WTD | MTD |
|---|
| production: Broken Momentum / Avoid | -1.96% | -0.53% | -1.98% |
| production: Extended Momentum Risk | +2.13% | +0.51% | +15.37% |
| production: Institutional Large-Cap Accumulation | -1.28% | -1.13% | +5.49% |
| production: Low-Vol Aligned Uptrend | -1.39% | -0.97% | +2.27% |
| production: Neutral / Transition | -0.27% | +0.41% | -1.99% |
| production: Oversold / Mean-Reversion Watch | +0.03% | +2.54% | -16.66% |
| production: Smaller-Cap High-Beta Breakout | +1.42% | -0.53% | +4.74% |
| production: Thematic Momentum Leadership | -0.55% | -0.47% | +5.08% |
| production: Unclassified / Insufficient Data | +1.14% | +1.08% | -3.41% |
| theme: AI Infrastructure | -0.52% | +0.22% | -4.05% |
| theme: Cloud Software | -1.32% | -0.56% | +1.85% |
| theme: Commodities / Materials | -1.19% | -0.21% | -6.43% |
| theme: Consumer / Retail | -1.65% | -0.63% | +0.38% |
| theme: Crypto / Digital Assets | +0.14% | +0.98% | +1.51% |
| theme: Cybersecurity | -1.06% | -0.81% | +1.44% |
| theme: Defense / Aerospace | +0.15% | +0.25% | -8.94% |
| theme: Energy Transition | +0.07% | +0.32% | -6.19% |
| theme: Financials / Credit | -1.68% | -0.71% | +1.68% |
| theme: Healthcare / Biotech | -0.95% | -1.19% | -0.96% |
| theme: Housing / Real Estate | -2.03% | -1.05% | -1.12% |
| theme: Industrial Automation | -0.65% | +0.12% | -3.98% |
| theme: Macro Rates / Inflation | -1.07% | -0.40% | -1.24% |
| theme: Oil & Gas | +0.26% | +0.23% | +0.25% |
| theme: Semiconductors | +0.78% | +1.73% | -9.35% |
| sector: Communication Services | -1.75% | -0.79% | +0.71% |
| sector: Consumer Discretionary | -2.03% | -0.93% | -0.80% |
| sector: Consumer Staples | -1.76% | -0.94% | +1.52% |
| sector: Energy | +2.54% | +1.28% | +8.31% |
| sector: Financials | -1.33% | -0.16% | +3.41% |
| sector: Health Care | -0.35% | -0.48% | +1.00% |
| sector: Industrials | -0.90% | +0.12% | -5.05% |
| sector: Information Technology | +1.68% | +2.10% | -4.79% |
| sector: Materials | -0.52% | +0.35% | -4.68% |
| sector: Real Estate | -1.24% | -1.04% | +2.52% |
| sector: Utilities | -1.32% | -0.56% | -1.29% |
| size: Large (>=5B) | -0.55% | +0.08% | -0.78% |
| size: Micro Cap $250M-$1B | -1.49% | -1.33% | -3.19% |
| size: Nano Cap <$250M | -1.07% | -2.80% | +18.02% |
| size: Small Cap $1B-$5B | -1.40% | -0.89% | -0.95% |
| style: Base Building / Coiled | -1.32% | -0.46% | -1.00% |
| style: Extended Overbought Momentum | +1.49% | +0.28% | +14.93% |
| style: High-Vol Breakdown | -0.55% | +1.29% | -8.65% |
| style: High-Vol Momentum | +1.77% | -0.26% | +6.93% |
| style: Low-Vol Uptrend | -1.19% | -0.82% | +2.48% |
| style: Momentum Breakout / Leadership | -0.11% | -0.78% | +8.87% |
| style: Neutral / Transition | -0.20% | +0.38% | -2.05% |
| style: Normal Vol/Trend | +0.17% | +0.79% | -1.47% |
| style: Oversold / Mean-Reversion Watch | +0.03% | +2.54% | -16.66% |
| style: Persistent Uptrend / Compounder | -0.91% | -0.59% | +3.27% |
| style: Weak Downtrend / Avoid Momentum | -1.96% | -0.53% | -1.98% |
Sector cycle positioning reveals a multi-speed backdrop: five sectors are basing or in early-cycle, including Information Technology and Industrials; four are resetting within trend, like Health Care and Energy; and two, Financials and Real Estate, are in expansion or late acceleration. This dispersion is mirrored in factor timeframes: small-caps outperformed large-caps by 1.0485% over the past week but by only 0.0023% over the past month. Notably, Energy has a year-to-date return of 38.19% but a three-day gain of only 2.54%, illustrating uneven short-term momentum against strong longer trends.
Top Single-Stock Setups (4h–1 Week)
#1STTFinancials100
▲Momentum continuation4h–1 week
Thematic Momentum Leadership · factor score 8.3/10 (top quintile)
Leadership/uptrend with room — flow-confirmed
UptrendQ1RSI 631w +2.5%MACD+CMF+Force+
Last$182.58
RSI64
1wk+2.5%
ATR stop−4.3%
1-week return vs Thematic Momentum Leadership basket (n=84)
-6%+8%
#2XMTRIndustrials98
▲Momentum continuation4h–1 week
Smaller-Cap High-Beta Breakout · factor score 7.2/10 (top quintile)
Leadership/uptrend with room — flow-confirmed
UptrendQ1RSI 631w +3.6%MACD+CMF+Force+
Last$100.12
RSI63
1wk+3.6%
ATR stop−7.8%
1-week return vs Smaller-Cap High-Beta Breakout basket (n=35)
-7%+8%
#3MUSAConsumer Discretionary98
▲Momentum continuation4h–1 week
Smaller-Cap High-Beta Breakout · factor score 7.6/10 (top quintile)
Leadership/uptrend with room — flow-confirmed
UptrendQ1RSI 641w +2.0%MACD+CMF+Force+
Last$622.78
RSI64
1wk+2.0%
ATR stop−5.2%
1-week return vs Smaller-Cap High-Beta Breakout basket (n=35)
-7%+8%
#4NTNXInformation Technology97
▲Momentum continuation4h–1 week
Thematic Momentum Leadership · factor score 7.9/10 (top quintile)
Leadership/uptrend with room — flow-confirmed
UptrendQ1RSI 621w -0.2%MACD+CMF+Force+
Last$55.11
RSI63
1wk-0.2%
ATR stop−6.3%
1-week return vs Thematic Momentum Leadership basket (n=84)
-6%+8%
#5CFMaterials97
▲Momentum continuation4h–1 week
Thematic Momentum Leadership · factor score 7.6/10 (top quintile)
Leadership/uptrend with room — flow-confirmed
UptrendQ1RSI 651w +2.2%MACD+CMF+Force+
Last$123.57
RSI66
1wk+2.2%
ATR stop−5.2%
1-week return vs Thematic Momentum Leadership basket (n=84)
-6%+8%
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 | 2026-07-21T15:45:00-04:00 |
| warehouse_snapshot | 2026-07-21 |
| proxy_daily | 2026-07-20 |
| screener_artifact | 2026-07-20T09:20:51.231327-04:00 |
| 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: Unclassified / Insufficient Data n_members=8 (<10); exclude from broad leadership claims
- Report generated at 2026-07-21T16:00:58-04:00; every figure above is computed deterministically from report.json