BoltFactors — AI-Powered Factor Briefing

Wrap · 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 +0.83% since prior close; Oversold / Mean-Reversion Watch leads (+3.66%), Institutional Large-Cap Accumulation lags (-0.88%).

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

+0.94%med

QQQ +1.9%IWM +1.4%MDY +1.0%IJR +1.0%VTI +0.9%SPY +0.8%DIA +0.7%RSP +0.2%

Rates & Creditduration + credit spread · 0/4 adv

-0.26%med

HYG -0.0%IEF -0.2%TLT -0.3%LQD -0.3%

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

+1.96%med

USO +2.7%GLD +2.0%UUP +0.3%

Globalnot in snapshot

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

SPY+0.8%rvol 0.7

QQQ+1.9%rvol 0.8

DIA+0.7%rvol 0.8

IWM+1.4%rvol 0.8

MDY+1.0%rvol 0.9

IJR+1.0%rvol 1.1

RSP+0.2%rvol 0.7

VTI+0.9%rvol 0.7

XLK+2.9%rvol 0.7

XLF+0.1%rvol 0.8

XLE+1.0%rvol 0.7

XLV+0.6%rvol 0.6

XLI+0.3%rvol 0.7

XLY+0.2%rvol 0.8

XLP-0.9%rvol 0.6

XLU-0.0%rvol 0.8

XLB+0.1%rvol 0.8

XLC-0.7%rvol 0.6

XLRE-0.1%rvol 0.6

MTUM+3.9%rvol 0.8

VLUE+3.2%rvol 0.2

QUAL+0.6%rvol 0.8

USMV+0.1%rvol 0.8

SPLV-0.5%rvol 0.7

SPHB+3.1%rvol 0.7

IWF+1.6%rvol 0.6

IWD+0.2%rvol 0.3

VUG+0.9%rvol 1.1

VTV+0.8%rvol 0.9

SMH+4.5%rvol 0.6

XBI+2.4%rvol 0.8

ITA+0.2%rvol 0.7

KRE+0.1%rvol 1.2

XHB-0.1%rvol 0.8

TAN+2.0%rvol 0.5

TLT-0.3%rvol 0.6

IEF-0.2%rvol 0.5

HYG-0.0%rvol 0.9

LQD-0.3%rvol 0.9

GLD+2.0%rvol 0.9

USO+2.7%rvol 1.0

UUP+0.3%rvol 0.6

The session closed with a 1.02% gain in the broad Neutral/Transition basket, accompanied by 57.6% of its members advancing. Breadth remained supportive with 61.1% of stocks above their 50-day moving average, while the advance-decline ratio held at 1.108. Mean-reversion and oversold baskets led, as Oversold/Mean-Reversion Watch surged 3.66% on 89.1% advancers, signaling a squeeze. The composite regime score rose to 0.425, and intraday volatility was contained with an intraday range vs. 20-day average of 0.62. Volume anomalies included DHR, EFX, and AMG on distribution, offset by HAS and MMM breakouts.

SPY+0.83%gap +0.57% · open +0.27%

Best factor+3.66%Oversold / Mean-Reversion Watch

Worst factor-0.88%Institutional Large-Cap Accumulation

Breadth77%baskets +ve · A/D 523/472

Actionable Trading Ideas

High convictionsigma:04 · n=34

Fade Oversold / Mean-Reversion Watch d1 back toward its mean — a 2.9σ 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 = +3.66% (+2.91σ vs 60d)

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

why / how

Evidence2.91σ 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 0.42, 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% (+2.47σ vs 252d)

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

why / how

Evidence2.47σ 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 CLBK'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

CLBK gapped -56.12% 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 CLBK, DHR, EFX, AGIO, MSCI 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.

Closing Factor Performance

Oversold / Mean-Reversion Watch+3.66%

47 names · 98% cov · rvol 0.94

move vs all baskets today

-1%med +0%+4%

+3.66%100ᵗʰ pctile

ID+3.7%

1D+3.7%

3D+0.2%

1W-5.7%

MTD-16.5%

1M-21.2%

3M-16.5%

YTD+4.5%

1Y+31.2%

2Y+121.1%

Unclassified / Insufficient Data thin — n<10+2.28%

8 names · 100% cov · rvol 0.73

move vs all baskets today

-1%med +0%+4%

+2.28%89ᵗʰ pctile

ID+2.3%

1D+2.3%

3D+1.4%

1W-0.1%

MTD-3.1%

1M+1.4%

3M+11.0%

YTD+37.6%

Neutral / Transition+1.02%

520 names · 100% cov · rvol 0.79

move vs all baskets today

-1%med +0%+4%

+1.02%78ᵗʰ pctile

ID+1.0%

1D+1.0%

3D-0.2%

1W-0.3%

MTD-1.9%

1M+0.1%

3M+5.9%

YTD+22.9%

1Y+41.0%

2Y+57.3%

Smaller-Cap High-Beta Breakout+0.90%

35 names · 100% cov · rvol 0.68

move vs all baskets today

-1%med +0%+4%

+0.90%67ᵗʰ pctile

ID+0.9%

1D+0.9%

3D+1.3%

1W-0.3%

MTD+4.7%

1M+14.8%

3M+48.2%

YTD+75.6%

1Y+122.9%

2Y+130.9%

Thematic Momentum Leadership+0.28%

84 names · 100% cov · rvol 0.77

move vs all baskets today

-1%med +0%+4%

+0.28%56ᵗʰ pctile

ID+0.3%

1D+0.3%

3D-0.4%

1W+1.5%

MTD+5.2%

1M+10.8%

3M+22.7%

YTD+28.9%

1Y+39.7%

2Y+50.2%

Broken Momentum / Avoid+0.23%

152 names · 100% cov · rvol 0.82

move vs all baskets today

-1%med +0%+4%

+0.23%44ᵗʰ 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%

Extended Momentum Risk-0.07%

24 names · 100% cov · rvol 0.87

move vs all baskets today

-1%med +0%+4%

-0.07%33ᵗʰ pctile

ID-0.1%

1D-0.1%

3D+2.3%

1W+5.5%

MTD+15.5%

1M+24.5%

3M+24.8%

YTD+42.6%

1Y+48.2%

2Y+60.8%

Low-Vol Aligned Uptrend-0.33%

104 names · 99% cov · rvol 0.88

move vs all baskets today

-1%med +0%+4%

-0.33%22ᵗʰ pctile

ID-0.3%

1D-0.3%

3D-1.4%

1W+0.7%

MTD+2.3%

1M+5.7%

3M+6.1%

YTD+13.5%

1Y+16.0%

2Y+24.7%

Institutional Large-Cap Accumulation-0.88%

30 names · 100% cov · rvol 0.93

move vs all baskets today

-1%med +0%+4%

-0.88%11ᵗʰ pctile

ID-0.9%

1D-0.9%

3D-1.3%

1W-0.0%

MTD+5.4%

1M+11.2%

3M+27.4%

YTD+27.2%

1Y+29.5%

2Y+56.3%

At the close, the Oversold/Mean-Reversion Watch basket surged 3.66%, with 89.1% of its constituents advancing, leading all factor clusters. The broad Neutral/Transition group gained 1.02%, while Smaller-Cap High-Beta Breakout added 0.90%. Thematic Momentum and Broken Momentum posted modest gains of 0.28% and 0.23%, respectively. In contrast, Institutional Large-Cap Accumulation declined 0.88% on just 26.7% participation, and Low-Vol Aligned Uptrend slipped 0.33%. Extended Momentum Risk was essentially flat. This distribution underscores a sharp reversal into oversold names and a rotation away from longer-duration quality.

Sector Rotation

Information Technology+1.99%

Materials+1.46%

Energy+1.25%

Health Care+1.17%

Industrials+1.14%

Consumer Discretionary+0.10%

Financials+0.09%

Utilities+0.07%

Real Estate-0.18%

Communication Services-0.55%

Consumer Staples-0.60%

Five sectors are now classified as Basing / early-cycle, four remain in Reset within trend, and two—Financials and Real Estate—show Expansion / late acceleration. Over the last three days, Energy led with a 2.68% return, while Consumer Discretionary and Communication Services lagged at -2.04% and -1.97%. Health Care and Financials exhibit the highest opportunity scores at 71.48 and 70.98, indicating where institutional positioning is concentrating amid the rotation toward early-cycle groups.

Themes and Keyword Baskets

Semiconductors+3.7%1D

188 names · 90% cov

ID+3.7%WTD+3.3%MTD-8.2%YTD+54.5%

Defense / Aerospace+3.2%1D

202 names · 79% cov

ID+3.2%WTD+2.5%MTD-7.2%YTD+27.1%

Commodities / Materials+3.2%1D

161 names · 75% cov

ID+3.2%WTD+2.1%MTD-4.4%YTD+9.6%

Energy Transition+2.3%1D

240 names · 82% cov

ID+2.3%WTD+1.6%MTD-5.2%YTD+23.0%

Healthcare / Biotech degraded+2.0%1D

673 names · 59% cov

ID+2.0%WTD+0.3%MTD+0.4%YTD+24.7%

Industrial Automation+1.9%1D

494 names · 77% covaggregate only

ID+1.9%WTD+1.2%MTD-3.1%YTD+23.5%

AI Infrastructure+1.7%1D

838 names · 80% covaggregate only

ID+1.7%WTD+1.3%MTD-3.3%YTD+22.5%

Oil & Gas+1.4%1D

269 names · 85% cov

ID+1.4%WTD+1.1%MTD+0.9%YTD+21.0%

Macro Rates / Inflation+1.2%1D

506 names · 77% covaggregate only

ID+1.2%WTD+0.4%MTD-0.5%YTD+16.0%

Crypto / Digital Assets+1.2%1D

150 names · 69% covaggregate only

ID+1.2%WTD+1.6%MTD+2.1%YTD+14.2%

Housing / Real Estate+0.2%1D

439 names · 71% cov

ID+0.2%WTD-0.8%MTD-0.9%YTD+11.6%

Financials / Credit+0.1%1D

646 names · 63% cov

ID+0.1%WTD-0.7%MTD+1.7%YTD+13.0%

Consumer / Retail-0.0%1D

467 names · 75% cov

ID-0.0%WTD-0.6%MTD+0.4%YTD+8.4%

Cloud Software-0.3%1D

258 names · 79% covaggregate only

ID-0.3%WTD-0.6%MTD+1.6%YTD+13.7%

Cybersecurity-1.0%1D

94 names · 70% covaggregate only

ID-1.0%WTD-1.3%MTD+0.7%YTD+13.4%

Among thematic baskets, Semiconductors extended their leadership over the past week, returning 3.32%, while Cybersecurity was the weakest at -1.26%. Over a three-day window, Defense / Aerospace outperformed at 2.47%, and Semiconductors added 2.33%. The Semis – Market spread widened 2.99% over three days and 4.28% over the week, confirming sustained thematic momentum in chip stocks even as broader index direction remains choppy.

Sigma Board

−3σ0+3σ

Oversold / Mean-Reversion Watch d1basket · +3.66% · 60d · n=34+2.91σ

Momentum - LowVol d1spread · +3.86% · 252d · n=252+2.47σ

Semis - Market d1spread · +3.68% · 252d · n=252+1.94σ

HighBeta - LowVol d1spread · +3.60% · 252d · n=252+1.92σ

Growth - Value d1spread · +1.36% · 252d · n=252+1.59σ

Neutral / Transition d1basket · +1.02% · 60d · n=34+1.45σ

EqualWeight - CapWeight d1spread · -0.67% · 252d · n=252-1.29σ

Credit d1spread · +0.24% · 60d · n=60+1.10σ

Growth - Value w1spread · -1.98% · 252d · n=252-0.95σ

Semis - Market w1spread · -2.23% · 252d · n=252-0.95σ

Small - Large d1spread · +0.61% · 60d · n=60+0.79σ

% above SMA200breadth · 65.86 · 60d · n=60+0.77σ

The regime composite stands at 0.425, classified as Choppy Neutral with 87% confidence. This environment, initiated on July 17, carries an expected dwell of 7.7 trading days, with an estimated 5.7 days remaining. The volatility component scores a maximum 1.0, reflecting realized vol in the 35.4th percentile of two-year history and an intraday range at 0.62 of the 20-day average. Breadth is supportive at 0.9, but rotation is sharply negative at -1.35, indicating leadership churn. Size factor scores 1.2, favoring small-caps, while style is negative at -0.75, driven by high-beta and momentum weakness relative to low-vol.

Factor × Sector Map

Oversold / Mean-Reversion Watchn18

Information Technology

+5.5%1D

ID+5.5%WTD+5.4%MTD-19.2%

Oversold / Mean-Reversion Watchn9

Materials

+3.5%1D

ID+3.5%WTD+1.7%MTD-11.2%

Neutral / Transitionn102

Information Technology

+2.8%1D

ID+2.8%WTD+3.2%MTD-6.0%

Smaller-Cap High-Beta Breakoutn20

Health Care

+2.5%1D

ID+2.5%WTD+0.2%MTD+3.7%

Institutional Large-Cap Accumulationn3

Health Care

+2.5%1D

ID+2.5%WTD+2.0%MTD+4.6%

Oversold / Mean-Reversion Watchn3

Communication Services

+2.4%1D

ID+2.4%WTD+1.6%MTD-9.8%

Oversold / Mean-Reversion Watchn9

Industrials

+2.1%1D

ID+2.1%WTD+0.0%MTD-18.4%

Broken Momentum / Avoidn5

Energy

+2.1%1D

ID+2.1%WTD+1.6%MTD-2.8%

Unclassified / Insufficient Datan3

Information Technology

+1.8%1D

ID+1.8%WTD+3.8%MTD-1.4%

Thematic Momentum Leadershipn19

Health Care

+1.7%1D

ID+1.7%WTD+0.4%MTD+3.4%

Broken Momentum / Avoidn6

Materials

+1.6%1D

ID+1.6%WTD+0.4%MTD-1.4%

Neutral / Transitionn111

Industrials

+1.5%1D

ID+1.5%WTD+0.6%MTD-5.1%

Thematic Momentum Leadershipn3

Energy

+1.5%1D

ID+1.5%WTD+1.6%MTD+10.8%

Neutral / Transitionn20

Energy

+1.3%1D

ID+1.3%WTD+1.2%MTD+5.7%

Broken Momentum / Avoidn16

Financials

+1.2%1D

ID+1.2%WTD+2.7%MTD+4.5%

Extended Momentum Riskn4

Real Estate

+1.2%1D

ID+1.2%WTD+0.8%MTD+11.1%

Extended Momentum Riskn6

Energy

+1.1%1D

ID+1.1%WTD+2.9%MTD+29.1%

Low-Vol Aligned Uptrendn3

Consumer Discretionary

+1.0%1D

ID+1.0%WTD-0.2%MTD+2.7%

Neutral / Transitionn61

Health Care

+0.9%1D

ID+0.9%WTD-0.6%MTD+0.4%

Broken Momentum / Avoidn34

Industrials

+0.7%1D

ID+0.7%WTD-0.9%MTD-7.5%

Broken Momentum / Avoidn6

Utilities

+0.7%1D

ID+0.7%WTD+0.3%MTD-3.1%

Thematic Momentum Leadershipn11

Real Estate

+0.6%1D

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

Neutral / Transitionn20

Materials

+0.5%1D

ID+0.5%WTD-0.5%MTD-3.0%

Broken Momentum / Avoidn11

Health Care

+0.5%1D

ID+0.5%WTD-0.7%MTD-2.3%

Broken Momentum / Avoidn27

Consumer Discretionary

+0.2%1D

ID+0.2%WTD-0.9%MTD-2.9%

Neutral / Transitionn61

Consumer Discretionary

+0.2%1D

ID+0.2%WTD-0.8%MTD-0.7%

Neutral / Transitionn56

Financials

+0.1%1D

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

Neutral / Transitionn20

Real Estate

-0.0%1D

ID-0.0%WTD-1.1%MTD+0.8%

Neutral / Transitionn22

Utilities

-0.1%1D

ID-0.1%WTD-0.9%MTD-2.1%

Neutral / Transitionn28

Consumer Staples

-0.2%1D

ID-0.2%WTD-0.5%MTD+0.9%

Low-Vol Aligned Uptrendn37

Financials

-0.2%1D

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

Thematic Momentum Leadershipn24

Financials

-0.2%1D

ID-0.2%WTD-0.9%MTD+6.3%

Low-Vol Aligned Uptrendn19

Real Estate

-0.2%1D

ID-0.2%WTD-0.7%MTD+3.3%

Thematic Momentum Leadershipn4

Consumer Staples

-0.3%1D

ID-0.3%WTD-0.8%MTD+6.1%

Low-Vol Aligned Uptrendn15

Industrials

-0.4%1D

ID-0.4%WTD-0.9%MTD+1.6%

Low-Vol Aligned Uptrendn14

Utilities

-0.4%1D

ID-0.4%WTD-0.7%MTD+2.4%

Broken Momentum / Avoidn14

Communication Services

-0.5%1D

ID-0.5%WTD-1.4%MTD+0.5%

Broken Momentum / Avoidn14

Information Technology

-0.5%1D

ID-0.5%WTD-0.7%MTD+1.6%

Smaller-Cap High-Beta Breakoutn4

Consumer Discretionary

-0.5%1D

ID-0.5%WTD-0.8%MTD+8.6%

Thematic Momentum Leadershipn12

Information Technology

-0.6%1D

ID-0.6%WTD-0.3%MTD+6.3%

Low-Vol Aligned Uptrendn5

Health Care

-0.7%1D

ID-0.7%WTD-1.9%MTD+2.0%

Neutral / Transitionn19

Communication Services

-0.8%1D

ID-0.8%WTD-0.8%MTD+0.7%

Institutional Large-Cap Accumulationn10

Financials

-0.8%1D

ID-0.8%WTD-0.9%MTD+5.6%

Extended Momentum Riskn4

Health Care

-0.9%1D

ID-0.9%WTD-0.7%MTD+5.1%

Thematic Momentum Leadershipn8

Consumer Discretionary

-1.1%1D

ID-1.1%WTD-2.1%MTD+1.6%

Extended Momentum Riskn4

Industrials

-1.1%1D

ID-1.1%WTD-0.6%MTD+11.1%

Low-Vol Aligned Uptrendn5

Communication Services

-1.5%1D

ID-1.5%WTD-2.6%MTD+2.5%

Broken Momentum / Avoidn10

Real Estate

-1.6%1D

ID-1.6%WTD-2.9%MTD-0.2%

Broken Momentum / Avoidn9

Consumer Staples

-1.7%1D

ID-1.7%WTD-1.9%MTD-0.5%

Institutional Large-Cap Accumulationn8

Information Technology

-1.8%1D

ID-1.8%WTD-2.5%MTD+5.3%

Institutional Large-Cap Accumulationn3

Consumer Staples

-1.8%1D

ID-1.8%WTD-1.7%MTD+3.8%

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+0.90

volatility+1.00

rotation-1.35

size+1.20

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 Choppy Neutral, assigned with 0.87 confidence and a composite of 0.425, entering its second day after onset on July 17. Expected dwell is 7.7 days, leaving roughly 5.7 days of persistence. Volatility reads at a full 1.0—RV20 in the 35.4th percentile over two years—while breadth stands at 0.9 with 61% of names above their 50-day moving average. However, rotation is sharply negative at -1.35, driven by a day-over-week Spearman correlation of -0.57 and a leadership flip, and style scores -0.75 as momentum and growth struggle relative to low volatility. This regime historically precedes elevated chop, not directional bias.

What Worked Today

Basket	Side	Ticker	Return	Weight
Oversold / Mean-Reversion Watch	top	ORCL	+4.67%	0.21
Oversold / Mean-Reversion Watch	top	CIEN	+7.91%	0.03
Oversold / Mean-Reversion Watch	top	NFLX	+1.58%	0.15
Oversold / Mean-Reversion Watch	bottom	IBM	-1.17%	0.12
Oversold / Mean-Reversion Watch	bottom	ISRG	-0.88%	0.07
Oversold / Mean-Reversion Watch	bottom	YUM	-0.14%	0.02
Unclassified / Insufficient Data	top	P	+6.28%	0.11
Unclassified / Insufficient Data	top	Q	+3.12%	0.17
Unclassified / Insufficient Data	top	SOLS	+6.39%	0.07
Unclassified / Insufficient Data	bottom	NAVN	-4.00%	0.03
Unclassified / Insufficient Data	bottom	MRSH	-0.28%	0.41
Institutional Large-Cap Accumulation	top	AAPL	+0.35%	0.41
Institutional Large-Cap Accumulation	top	UNH	+3.51%	0.04
Institutional Large-Cap Accumulation	top	BAC	+1.32%	0.04
Institutional Large-Cap Accumulation	bottom	V	-1.32%	0.06
Institutional Large-Cap Accumulation	bottom	MA	-1.67%	0.04
Institutional Large-Cap Accumulation	bottom	PM	-2.43%	0.03

The session was defined by a sharp mean-reversion rally, with the Oversold / Mean-Reversion Watch basket surging 3.66% on the day—by far the strongest performance. Neutral / Transition also posted a solid 1.02% gain. Conversely, Institutional Large-Cap Accumulation and Low-Vol Aligned Uptrend both declined, falling 0.88% and 0.33% respectively. Extended Momentum Risk was essentially flat at -0.07%. This pattern underscores a market rewarding prior weakness while fading quality and momentum, consistent with the Choppy Neutral regime where reversals dominate.

Size and Breadth

Size bucket	N	Intraday	D1	WTD	Breadth
Large (>=5B)	1004	+0.75%	+0.75%	+0.14%	52.3% adv
Micro Cap $250M-$1B	201	+2.43%	+2.40%	+1.05%	67.7% adv
Nano Cap <$250M	15	+1.21%	+1.21%	-1.56%	60.0% adv
Small Cap $1B-$5B	807	+1.05%	+1.05%	+0.13%	62.7% adv

% > SMA50	% > SMA200	Advancers	Decliners	% Baskets Positive
61.1%	65.9%	523	472	76.6%

Breadth metrics remain constructive but show signs of deterioration, with 61.14% of S&P 500 members above their 50-day moving average and the advance-decline ratio at 1.108. On the day, small caps outperformed large caps by 0.61%, though the weekly and monthly spreads were modest at 0.18% and -1.50%, respectively. The trend in size leadership remains positive near term, yet the regime’s breadth score of 0.9 indicates sufficient participation to absorb rotation without triggering a broad breakdown.

Volume and Participation

Dimension	Basket	Median RVol	% Members RVol>1.5
production	Broken Momentum / Avoid	0.82	10.5%
production	Extended Momentum Risk	0.87	4.2%
production	Institutional Large-Cap Accumulation	0.93	6.7%
production	Low-Vol Aligned Uptrend	0.88	8.8%
production	Neutral / Transition	0.79	5.8%
production	Oversold / Mean-Reversion Watch	0.94	0.0%
production	Smaller-Cap High-Beta Breakout	0.68	2.9%
production	Thematic Momentum Leadership	0.77	4.8%
production	Unclassified / Insufficient Data	0.73	0.0%

Ticker	Basket	RVol	Return	Note
DHR	Neutral / Transition	6.72	-10.99%	distribution volume
EFX	Neutral / Transition	3.98	-3.93%	distribution volume
HAS	Broken Momentum / Avoid	3.96	+8.81%	breakout volume
MMM	Neutral / Transition	3.53	+7.32%	breakout volume
AMG	Neutral / Transition	3.46	-6.98%	distribution volume

Aggregate volume is relatively subdued, with median relative volume across production baskets ranging from 0.68 (Smaller-Cap High-Beta Breakout) to 0.94 (Oversold / Mean-Reversion Watch). However, notable spikes emerged: DHR and EFX saw heavy distribution volume, falling 10.99% and 3.93% on 6.72x and 3.98x relative volume, respectively. In contrast, MMM rallied 7.32% on 3.53x volume, registering breakout participation. These concentrated events highlight selective conviction amid an otherwise low-conviction environment.

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
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	+3.70%	+2.68%	confirms
FITB	+0.45%	+1.33%	confirms
VICI	-0.97%	-1.20%	diverges
AES	+0.14%	+0.47%	confirms
AGNC	-1.28%	-0.95%	diverges

The opportunity screener is led by SOFI at 88.2, in Wave 1 accumulation within Neutral/Transition with a regime fit of 94.8, and confirmed intraday with a 3.7% gain versus its basket’s 2.68%. FITB scores 85.6 in breakout stage among Institutional Large-Cap Accumulation, also confirmed. AES at 85.9 in a pullback within Low-Vol Aligned Uptrend is confirmed. VICI and AGNC at 84.8 and 81.8 are not confirmed intraday, trading -0.97% and -1.28% respectively. The confirmation skew favors the top three names, aligning with a selective alpha environment.

3D Summary

Side	Dimension	Basket	Return
best	sector	Energy	+2.68%
best	theme	Defense / Aerospace	+2.47%
best	theme	Semiconductors	+2.33%
worst	sector	Consumer Discretionary	-2.04%
worst	sector	Communication Services	-1.97%
worst	style	Weak Downtrend / Avoid Momentum	-1.96%

Spread	Move
Momentum - LowVol	+4.25%
HighBeta - LowVol	+3.03%
Growth - Value	+0.92%
Small - Large	+0.65%
EqualWeight - CapWeight	-0.74%
Credit	+0.42%
Duration	-0.65%
Semis - Market	+2.99%
Momentum Leadership - Broken Momentum	+0.63%
Quality - Extended Risk	-3.62%

Breadth trend: deteriorating.

Date	Mode	Regime	Composite	Top basket	Bottom basket	SPY D1
2026-07-17	wrap	Choppy Neutral	0.1	Smaller-Cap High-Beta Breakout	Broken Momentum / Avoid	-0.99%
2026-07-20	premarket	Choppy Neutral	0.3	Oversold / Mean-Reversion Watch	Extended Momentum Risk	+0.40%

The three-day window shows Energy leading at +2.68%, alongside Defense/Aerospace (+2.47%) and Semiconductors (+2.33%). Underperformance concentrated in Consumer Discretionary (−2.04%) and Communication Services (−1.97%), with Weak Downtrend/Avoid Momentum trailing at −1.96%. Spread divergence is evident: Quality underperformed Extended Risk by 3.62%, while Momentum and High Beta outperformed Low Volatility by 4.25% and 3.03% respectively. Breadth trend is deteriorating, consistent with recent regime signals.

WTD Summary

Side	Dimension	Basket	Return
best	theme	Semiconductors	+3.32%
best	production	Oversold / Mean-Reversion Watch	+2.74%
best	style	Oversold / Mean-Reversion Watch	+2.74%
worst	size	Nano Cap <$250M	-1.56%
worst	theme	Cybersecurity	-1.26%
worst	production	Institutional Large-Cap Accumulation	-1.18%

Spread	Move
Momentum - LowVol	+4.15%
HighBeta - LowVol	+3.98%
Growth - Value	+1.87%
Small - Large	+0.18%
EqualWeight - CapWeight	-0.96%
Credit	+0.66%
Duration	-1.02%
Semis - Market	+4.28%
Momentum Leadership - Broken Momentum	-0.65%
Quality - Extended Risk	-1.58%

Breadth trend: flat.

Date	Mode	Regime	Composite	Top basket	Bottom basket	SPY D1
2026-07-20	premarket	Choppy Neutral	0.3	Oversold / Mean-Reversion Watch	Extended Momentum Risk	+0.40%

Week-to-date, Semiconductors dominate at +3.32%, with Oversold/Mean-Reversion Watch baskets up 2.74%. At the bottom, Nano Caps <$250M fell 1.56%, Cybersecurity lost 1.26%, and Institutional Large-Cap Accumulation declined 1.18%. Spreads widened: Semis outpaced the market by 4.28%, Momentum over LowVol expanded 4.15%, and HighBeta over LowVol added 3.98%. Breadth is flat, reflecting a narrow rally with clear factor tilts.

MTD Summary

Side	Dimension	Basket	Return
best	size	Nano Cap <$250M	+18.67%
best	production	Extended Momentum Risk	+15.53%
best	style	Momentum Breakout / Leadership	+8.92%
worst	style	Oversold / Mean-Reversion Watch	-16.51%
worst	production	Oversold / Mean-Reversion Watch	-16.51%
worst	style	High-Vol Breakdown	-8.49%

Spread	Move
Momentum - LowVol	-8.36%
HighBeta - LowVol	-7.91%
Growth - Value	-4.35%
Small - Large	-1.50%
EqualWeight - CapWeight	-0.21%
Credit	+1.64%
Duration	-3.19%
Semis - Market	-11.15%
Momentum Leadership - Broken Momentum	+7.43%
Quality - Extended Risk	-13.23%

Breadth trend: deteriorating.

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%
2026-07-17	wrap	Choppy Neutral	0.1	Smaller-Cap High-Beta Breakout	Broken Momentum / Avoid	-0.99%
2026-07-20	premarket	Choppy Neutral	0.3	Oversold / Mean-Reversion Watch	Extended Momentum Risk	+0.40%

Month-to-date, Nano Caps lead with a 18.67% gain, followed by Extended Momentum Risk at 15.53% and Momentum Breakout/Leadership at 8.92%. The most severe drawdowns come from Oversold/Mean-Reversion Watch, down 16.51%, and High-Vol Breakdown at −8.49%. Spread compression is stark: Semis underperformed the market by 11.15%, Quality lagged Extended Risk by 13.23%, and Momentum versus LowVol contracted 8.36%. Breadth continues to deteriorate, signaling allocation pressure toward momentum-driven and smaller-cap exposures.

Structural View (QTD YTD 1Y 2Y)

Basket	QTD	YTD	1Y	2Y
production: Broken Momentum / Avoid	-1.99%	-15.94%	-12.56%	+6.41%
production: Extended Momentum Risk	+15.53%	+42.64%	+48.18%	+60.81%
production: Institutional Large-Cap Accumulation	+5.44%	+27.20%	+29.49%	+56.32%
production: Low-Vol Aligned Uptrend	+2.30%	+13.49%	+15.96%	+24.73%
production: Neutral / Transition	-1.93%	+22.94%	+41.03%	+57.29%
production: Oversold / Mean-Reversion Watch	-16.51%	+4.55%	+31.25%	+121.13%
production: Smaller-Cap High-Beta Breakout	+4.65%	+75.61%	+122.86%	+130.95%
production: Thematic Momentum Leadership	+5.22%	+28.87%	+39.66%	+50.19%
production: Unclassified / Insufficient Data	-3.15%	+37.57%	n/a	n/a
theme: AI Infrastructure	-3.26%	+22.48%	+38.14%	+56.99%
theme: Cloud Software	+1.61%	+13.72%	+15.11%	+33.46%
theme: Commodities / Materials	-4.41%	+9.63%	+36.18%	+44.82%
theme: Consumer / Retail	+0.37%	+8.43%	+9.78%	+17.13%
theme: Crypto / Digital Assets	+2.07%	+14.20%	+24.50%	+47.23%
theme: Cybersecurity	+0.70%	+13.37%	+9.49%	+35.37%
theme: Defense / Aerospace	-7.17%	+27.08%	+54.99%	+105.82%
theme: Energy Transition	-5.15%	+22.96%	+37.99%	+45.38%
theme: Financials / Credit	+1.71%	+12.98%	+18.49%	+28.04%
theme: Healthcare / Biotech	+0.41%	+24.68%	+71.38%	+57.87%
theme: Housing / Real Estate	-0.86%	+11.57%	+15.67%	+17.49%
theme: Industrial Automation	-3.12%	+23.54%	+39.66%	+52.80%
theme: Macro Rates / Inflation	-0.49%	+15.96%	+25.52%	+33.07%
theme: Oil & Gas	+0.95%	+20.97%	+30.36%	+35.21%
theme: Semiconductors	-8.18%	+54.54%	+81.83%	+85.74%
sector: Communication Services	+0.47%	-5.07%	+12.94%	+62.13%
sector: Consumer Discretionary	-0.82%	+5.91%	+10.43%	+23.66%
sector: Consumer Staples	+1.54%	+6.69%	+1.17%	+5.56%
sector: Energy	+8.47%	+38.43%	+39.15%	+35.18%
sector: Financials	+3.45%	+9.51%	+14.68%	+41.89%
sector: Health Care	+1.15%	+27.31%	+70.30%	+62.66%
sector: Industrials	-5.01%	+18.70%	+31.45%	+62.80%
sector: Information Technology	-4.69%	+37.92%	+62.54%	+90.09%
sector: Materials	-4.74%	+12.49%	+25.22%	+33.55%
sector: Real Estate	+2.56%	+12.24%	+13.11%	+17.76%
sector: Utilities	-1.17%	+5.97%	+10.06%	+43.76%
size: Large (>=5B)	-0.73%	+18.22%	+32.44%	+51.16%
size: Micro Cap $250M-$1B	-1.20%	+14.70%	+37.88%	+32.33%
size: Nano Cap <$250M	+18.67%	+36.90%	+15.99%	-19.17%
size: Small Cap $1B-$5B	-0.14%	+21.16%	+39.62%	+39.15%
style: Base Building / Coiled	-0.98%	+11.77%	+19.86%	+31.56%
style: Extended Overbought Momentum	+15.15%	+38.64%	+70.57%	+59.35%
style: High-Vol Breakdown	-8.49%	-17.17%	-3.74%	+68.71%
style: High-Vol Momentum	+6.95%	+79.15%	+115.87%	+133.82%
style: Low-Vol Uptrend	+2.53%	+15.79%	+19.70%	+30.49%
style: Momentum Breakout / Leadership	+8.92%	+37.56%	+46.26%	+53.50%
style: Neutral / Transition	-2.00%	+24.21%	+42.93%	+60.39%
style: Normal Vol/Trend	-1.41%	+26.61%	+50.04%	+66.33%
style: Oversold / Mean-Reversion Watch	-16.51%	+4.55%	+31.25%	+121.13%
style: Persistent Uptrend / Compounder	+3.35%	+22.61%	+30.59%	+40.34%
style: Weak Downtrend / Avoid Momentum	-1.99%	-15.94%	-12.56%	+6.41%

The structural map shows four sectors in Reset within trend—Health Care, Energy, Utilities, Consumer Discretionary—while five are in Basing/early-cycle, including Financials, Industrials, and Technology. Expansion/late acceleration characterizes Financials and Real Estate. Basket wave analysis reveals Institutional Large-Cap Accumulation is 83% in breakout, whereas Neutral/Transition has only 33% pullback dominance. Oversold/Mean-Reversion Watch is 50% in accumulation, and Broken Momentum/Avoid is 60% accumulation. This dispersion underscores a market where traditional leadership regroupment coexists with ongoing reversal attempts, favoring sector selection over broad beta.

Chart Pattern and Wave Census

Breakouts	Breakdowns	Oversold
90	32	47

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

Ticker	Pattern	Direction	Score
RIOT	double_top	short	74.3
FIGR	bear_flag	short	72.0
HR	donchian_breakout	long	66.5
APLD	donchian_breakdown	short	66.2
FLS	head_shoulders	short	65.7
CWEN	double_top	short	62.0
TMHC	tight_base	long	60.6
RBLX	double_bottom	long	56.6
HOMB	donchian_breakout	long	56.0
CWAN	donchian_breakout	long	55.1

Ticker	From stage	To stage
OZK	markup	breakout
OHI	pullback	breakout
RRC	accumulation	pullback
PRMB	markup	breakout
TMHC	pullback	markup
MKC	accumulation	pullback
VICI	mixed	accumulation
HPQ	mixed	markup
BTSG	mixed	markup
OSCR	mixed	pullback
ARMK	mixed	pullback
LNT	mixed	pullback
WSC	mixed	markup
BROS	mixed	breakout
KMX	mixed	breakout

Today’s pattern census registers 90 breakouts against 32 breakdowns and 47 oversold readings, a bullish skew in setup generation. The highest-confidence setup is RIOT, a double_top short scoring 74.35, followed by FIGR bear_flag short at 71.99. On the long side, HR donchian_breakout leads at 66.48. Notable stage transitions include OZK and OHI entering breakout, while RRC and MKC slip into pullback. The mix suggests active technical follow-through in both directions, with breakouts dominating the longer-term wave structure.

Tomorrow Setup

Spread	Legs	Intraday	D1	WTD	MTD
Momentum - LowVol	MTUM − USMV	+3.86%	+3.86%	+4.15%	-8.36%
HighBeta - LowVol	SPHB − SPLV	+3.60%	+3.60%	+3.98%	-7.91%
Growth - Value	IWF − IWD	+1.36%	+1.36%	+1.87%	-4.35%
Small - Large	IWM − SPY	+0.61%	+0.61%	+0.18%	-1.50%
EqualWeight - CapWeight	RSP − SPY	-0.67%	-0.67%	-0.96%	-0.21%
Credit	HYG − LQD	+0.24%	+0.24%	+0.66%	+1.64%
Duration	TLT	-0.27%	-0.27%	-1.02%	-3.19%
Semis - Market	SMH − SPY	+3.68%	+3.68%	+4.28%	-11.15%
Momentum Leadership - Broken Momentum	Institutional Large-Cap Accumulation − Broken Momentum / Avoid	-1.11%	-1.11%	-0.65%	+7.43%
Quality - Extended Risk	Low-Vol Aligned Uptrend − Extended Momentum Risk	-0.26%	-0.26%	-1.58%	-13.23%

For tomorrow, the screener again highlights SOFI (88.2) and FITB (85.6) as top-ranked opportunities with confirmed intraday strength, while VICI and AGNC remain unconfirmed after failing to hold gains. The regime expects to persist, with a 55% probability over the next five days and an expected dwell of 7.7 days, suggesting a continued Choppy Neutral environment. With breakouts outnumbering breakdowns 90 to 32 and oversold readings at 47, the setup favors upside momentum continuation in select leaders, though the negative rotation and style scores warrant caution on chasing extensions.

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	2026-07-21T19:00:00-04:00
warehouse_snapshot	2026-07-21
proxy_daily	2026-07-20
screener_artifact	2026-07-20T09:20:51.231327-04:00
grouped_daily	2026-07-21

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 2026-07-21T19:18:02-04:00; every figure above is computed deterministically from report.json