BoltFactors — AI-Powered Factor Briefing

Wrap · market state

Choppy Neutralheld 3 td · typically ~8 td · ~5 td left · fresh · p(stay) 0.87

3td in — ~5td of typical dwell leftfresh

age 3tdtypical dwell ~8td

SPY -0.12% since prior close; Broken Momentum / Avoid leads (+0.07%), Smaller-Cap High-Beta Breakout lags (-1.85%).

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

Session Snapshot

CAC +0.30mixed

−risk-off0+risk-on

Equitiesbroad index tape · 0/8 adv

-0.14%med

DIA -0.0%RSP -0.0%MDY -0.0%SPY -0.1%VTI -0.2%QQQ -0.5%IJR -0.5%IWM -0.9%

Rates & Creditduration + credit spread · 0/4 adv

-0.20%med

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

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

+1.15%med

USO +2.2%GLD +1.1%UUP -0.1%

Globalnot in snapshot

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

SPY-0.1%rvol 0.7

QQQ-0.5%rvol 0.6

DIA-0.0%rvol 0.8

IWM-0.9%rvol 0.8

MDY-0.0%rvol 0.6

IJR-0.5%rvol 0.9

RSP-0.0%rvol 0.4

VTI-0.2%rvol 0.7

XLK-0.3%rvol 0.5

XLF-0.1%rvol 0.7

XLE+1.2%rvol 1.0

XLV-0.5%rvol 0.5

XLI+0.1%rvol 0.6

XLY-0.7%rvol 0.8

XLP+0.4%rvol 0.6

XLU+2.2%rvol 1.0

XLB+1.4%rvol 0.9

XLC-0.8%rvol 0.6

XLRE-0.4%rvol 0.8

MTUM-0.1%rvol 0.6

VLUE+0.2%rvol 0.2

QUAL-0.4%rvol 0.6

USMV-0.3%rvol 0.7

SPLV+0.6%rvol 0.6

SPHB-0.2%rvol 0.5

IWF-0.3%rvol 0.8

IWD+0.0%rvol 0.6

VUG-0.5%rvol 0.5

VTV+0.3%rvol 0.6

SMH+0.5%rvol 0.4

XBI-1.6%rvol 0.6

ITA+0.6%rvol 0.6

KRE-0.5%rvol 0.7

XHB+0.9%rvol 0.6

TAN-0.0%rvol 0.5

TLT-0.3%rvol 0.7

IEF-0.2%rvol 0.6

HYG-0.2%rvol 0.8

LQD-0.2%rvol 0.7

GLD+1.1%rvol 1.1

USO+2.2%rvol 1.1

UUP-0.1%rvol 0.6

The regime remained Choppy Neutral (composite 0.155), declining -0.1275 from yesterday as the size factor weakened sharply. Volatility inputs registered at the 39.2nd percentile of the two-year distribution, with true range vs. ATR20 at 0.423 and intraday range vs. 20-day at 0.473, consistent with a choppy but not crisis-level environment. Market breadth was mixed: 62.6% above the 50-day moving average and 67.0% above the 200-day, yet the advance-decline ratio slipped to 0.839. Rotation signals pointed to decoupling, with a Spearman rank correlation of -0.347 between daily and weekly sector leadership.

SPY-0.12%gap -0.22% · open +0.11%

Best factor+0.07%Broken Momentum / Avoid

Worst factor-1.85%Smaller-Cap High-Beta Breakout

Breadth26%baskets +ve · A/D 454/541

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 0.15, 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.

Low convictiongap:01 · n=74435

Fade ADTN'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

ADTN gapped -20.68% 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 ADTN, PEGA, MTVA, MCB, DYN 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

Broken Momentum / Avoid+0.07%

176 names · 100% cov · rvol 0.78

move vs all baskets today

-3%med -0%+0%

+0.07%100ᵗʰ pctile

ID+0.1%

1D+0.1%

3D-0.6%

1W-1.4%

MTD-2.9%

1M-3.5%

3M-15.3%

YTD-15.8%

1Y-11.8%

2Y+14.9%

Oversold / Mean-Reversion Watch-0.02%

27 names · 96% cov · rvol 0.90

move vs all baskets today

-3%med -0%+0%

-0.02%89ᵗʰ pctile

ID-0.0%

1D-0.0%

3D-0.6%

1W-6.8%

MTD-15.6%

1M-18.2%

3M-19.5%

YTD-9.5%

1Y+11.0%

2Y+65.2%

Low-Vol Aligned Uptrend-0.04%

77 names · 99% cov · rvol 0.86

move vs all baskets today

-3%med -0%+0%

-0.04%78ᵗʰ pctile

ID-0.0%

1D-0.0%

3D-0.7%

1W+1.1%

MTD+2.7%

1M+5.4%

3M+6.8%

YTD+13.4%

1Y+18.4%

2Y+26.9%

Neutral / Transition-0.11%

526 names · 100% cov · rvol 0.74

move vs all baskets today

-3%med -0%+0%

-0.11%67ᵗʰ pctile

ID-0.1%

1D-0.1%

3D+0.5%

1W-0.3%

MTD-2.3%

1M-0.7%

3M+6.5%

YTD+23.2%

1Y+40.6%

2Y+60.1%

Extended Momentum Risk-0.27%

22 names · 100% cov · rvol 0.77

move vs all baskets today

-3%med -0%+0%

-0.27%56ᵗʰ pctile

ID-0.3%

1D-0.3%

3D+0.7%

1W+5.5%

MTD+16.5%

1M+21.4%

3M+23.7%

YTD+48.6%

1Y+61.4%

2Y+62.1%

Institutional Large-Cap Accumulation-0.36%

38 names · 100% cov · rvol 0.79

move vs all baskets today

-3%med -0%+0%

-0.36%44ᵗʰ pctile

ID-0.4%

1D-0.4%

3D-0.9%

1W+0.2%

MTD+4.6%

1M+9.7%

3M+24.8%

YTD+26.5%

1Y+34.0%

2Y+58.5%

Thematic Momentum Leadership-0.92%

96 names · 100% cov · rvol 0.81

move vs all baskets today

-3%med -0%+0%

-0.92%33ᵗʰ pctile

ID-0.9%

1D-0.9%

3D-1.0%

1W+0.2%

MTD+3.8%

1M+8.9%

3M+21.2%

YTD+28.9%

1Y+45.3%

2Y+59.0%

Smaller-Cap High-Beta Breakout-1.85%

34 names · 100% cov · rvol 0.80

move vs all baskets today

-3%med -0%+0%

-1.85%22ᵗʰ pctile

ID-1.9%

1D-1.9%

3D-2.0%

1W-1.3%

MTD+3.0%

1M+12.2%

3M+47.6%

YTD+79.7%

1Y+135.0%

2Y+150.6%

Unclassified / Insufficient Data thin — n<10-2.64%

8 names · 100% cov · rvol 0.76

move vs all baskets today

-3%med -0%+0%

-2.64%11ᵗʰ pctile

ID-2.6%

1D-2.6%

3D-1.4%

1W-1.9%

MTD-6.1%

1M-1.0%

3M+6.9%

YTD+33.3%

The session closed mixed to slightly lower across production baskets. Broken Momentum / Avoid and Oversold / Mean-Reversion Watch finished essentially flat at +0.07% and -0.02% respectively, while Extended Momentum Risk eased -0.27%. The Unclassified / Insufficient Data basket suffered the steepest decline, down -2.64%. Breadth was lackluster; only Broken Momentum and Low-Vol Aligned Uptrend managed advancing percentages above 50%, at 50.6% and 50.7%. The Smaller-Cap High-Beta Breakout basket saw just 11.8% of its members advance, reflecting selective weakness in high-beta names.

Sector Rotation

Utilities+1.87%

Energy+1.52%

Materials+1.40%

Industrials+0.35%

Consumer Staples+0.29%

Consumer Discretionary+0.04%

Financials-0.40%

Real Estate-0.51%

Communication Services-1.10%

Health Care-1.13%

Information Technology-1.44%

Sector leadership exhibited negative short-term consistency, with a Spearman correlation of -0.347 between daily and weekly performance rankings and -0.214 between week-to-date and monthly, producing a rotation score of -0.85. No leadership flip triggered. Energy, Commodities, and Semiconductors dominated the three-day leaderboard, while Cybersecurity and Cloud Software anchored the bottom. The advance-decline ratio of 0.839 and a breadth trend described as “improving” on the three-day but “deteriorating” month-to-date highlight the fragility of current rotations.

Themes and Keyword Baskets

Commodities / Materials+0.8%1D

161 names · 75% cov

ID+0.8%WTD+2.8%MTD-3.7%YTD+10.3%

Oil & Gas+0.1%1D

269 names · 85% cov

ID+0.1%WTD+1.2%MTD+1.1%YTD+21.2%

Energy Transition+0.0%1D

240 names · 82% cov

ID+0.0%WTD+1.6%MTD-5.1%YTD+22.9%

Macro Rates / Inflation-0.3%1D

506 names · 77% covaggregate only

ID-0.3%WTD+0.1%MTD-0.8%YTD+15.5%

Housing / Real Estate-0.4%1D

439 names · 71% cov

ID-0.4%WTD-1.2%MTD-1.3%YTD+11.1%

Consumer / Retail-0.4%1D

467 names · 75% cov

ID-0.4%WTD-1.1%MTD-0.1%YTD+8.0%

Industrial Automation-0.5%1D

494 names · 77% covaggregate only

ID-0.5%WTD+0.7%MTD-3.6%YTD+22.9%

Crypto / Digital Assets-0.6%1D

150 names · 69% covaggregate only

ID-0.6%WTD+1.1%MTD+1.6%YTD+13.8%

Defense / Aerospace-0.6%1D

202 names · 79% cov

ID-0.6%WTD+1.9%MTD-7.6%YTD+25.8%

Semiconductors-0.7%1D

188 names · 90% cov

ID-0.7%WTD+2.6%MTD-8.8%YTD+53.4%

Financials / Credit-1.0%1D

646 names · 63% cov

ID-1.0%WTD-1.7%MTD+0.7%YTD+11.9%

AI Infrastructure-1.1%1D

838 names · 80% covaggregate only

ID-1.1%WTD+0.3%MTD-4.3%YTD+21.3%

Healthcare / Biotech degraded-1.3%1D

673 names · 58% cov

ID-1.3%WTD-1.0%MTD-0.9%YTD+23.1%

Cybersecurity-1.6%1D

94 names · 70% covaggregate only

ID-1.6%WTD-3.0%MTD-1.3%YTD+11.2%

Cloud Software-2.3%1D

258 names · 79% covaggregate only

ID-2.3%WTD-2.9%MTD-0.9%YTD+11.5%

Thematic pairings showed decisive moves. Commodities / Materials and Semiconductors extended their three-day runs (+2.82% and +2.64%), while Cybersecurity and Cloud Software reversed sharply (-3.02% and -2.88%). The Semis vs. Market spread widened by 4.90 points, and Momentum vs. Low Volatility by 4.38. Healthcare / Biotech data remained degraded, limiting that theme’s signal. Among production baskets, Thematic Momentum Leadership slipped -1.0% over three days, and Broken Momentum / Avoid declined -0.59%, suggesting a narrow leadership set within the theme complex.

Sigma Board

−3σ0+3σ

Small - Large d1spread · -0.81% · 252d · n=252-1.17σ

Growth - Value w1spread · -2.25% · 252d · n=252-1.09σ

% above SMA200breadth · 66.97 · 60d · n=60+1.02σ

Credit w1spread · +0.48% · 252d · n=252+0.96σ

HighBeta - LowVol w1spread · -2.32% · 252d · n=252-0.80σ

EqualWeight - CapWeight w1spread · +0.85% · 252d · n=252+0.80σ

Duration w1spread · -0.95% · 252d · n=252-0.74σ

Adv/Dec ratiobreadth · 0.84 · 60d · n=60-0.53σ

HighBeta - LowVol d1spread · -0.82% · 252d · n=252-0.52σ

% above SMA50breadth · 62.55 · 252d · n=252+0.48σ

Duration d1spread · -0.26% · 252d · n=252-0.43σ

Thematic Momentum Leadership d1basket · -0.92% · 60d · n=35-0.41σ

Realized volatility sits at the 39.2nd percentile, with median relative volume across production baskets ranging from 0.74 (Neutral / Transition) to 0.90 (Oversold / Mean-Reversion Watch). Elevated volume concentration remained isolated; only the Oversold basket saw more than 10% of members with RVOL exceeding 1.5 (11.5%). Most baskets registered less than 9% of members in that zone, underscoring a low-conviction environment. The volatility score of 1.5, driven by intraday range metrics at 0.473 and true range at 0.423 of ATR20, points to persistent but contained swings.

Factor × Sector Map

Broken Momentum / Avoidn6

Energy

+3.6%1D

ID+3.6%WTD+4.0%MTD-0.5%

Broken Momentum / Avoidn7

Utilities

+2.7%1D

ID+2.7%WTD+4.1%MTD-2.3%

Broken Momentum / Avoidn15

Materials

+2.2%1D

ID+2.2%WTD+2.3%MTD-2.3%

Thematic Momentum Leadershipn7

Consumer Discretionary

+1.9%1D

ID+1.9%WTD+0.6%MTD+9.2%

Neutral / Transitionn28

Utilities

+1.9%1D

ID+1.9%WTD+0.8%MTD+0.3%

Low-Vol Aligned Uptrendn8

Utilities

+1.6%1D

ID+1.6%WTD+1.5%MTD+5.2%

Neutral / Transitionn18

Energy

+1.4%1D

ID+1.4%WTD+2.6%MTD+5.6%

Thematic Momentum Leadershipn5

Energy

+1.2%1D

ID+1.2%WTD+3.4%MTD+13.4%

Neutral / Transitionn16

Materials

+0.9%1D

ID+0.9%WTD+1.2%MTD-2.6%

Broken Momentum / Avoidn32

Industrials

+0.8%1D

ID+0.8%WTD-0.4%MTD-6.5%

Oversold / Mean-Reversion Watchn3

Materials

+0.6%1D

ID+0.6%WTD+1.1%MTD-14.3%

Neutral / Transitionn113

Industrials

+0.4%1D

ID+0.4%WTD+1.0%MTD-4.9%

Broken Momentum / Avoidn11

Real Estate

+0.3%1D

ID+0.3%WTD-2.7%MTD-0.4%

Low-Vol Aligned Uptrendn11

Industrials

+0.2%1D

ID+0.3%WTD+0.1%MTD+2.3%

Neutral / Transitionn30

Consumer Staples

+0.2%1D

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

Broken Momentum / Avoidn9

Consumer Staples

+0.2%1D

ID+0.2%WTD-1.7%MTD-0.3%

Institutional Large-Cap Accumulationn5

Industrials

+0.2%1D

ID+0.2%WTD-0.1%MTD+6.4%

Oversold / Mean-Reversion Watchn10

Industrials

+0.2%1D

ID+0.2%WTD-0.9%MTD-14.4%

Neutral / Transitionn65

Consumer Discretionary

+0.1%1D

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

Thematic Momentum Leadershipn4

Consumer Staples

+0.0%1D

ID+0.0%WTD-1.2%MTD+2.5%

Low-Vol Aligned Uptrendn3

Health Care

-0.1%1D

ID-0.1%WTD-2.2%MTD+1.8%

Institutional Large-Cap Accumulationn12

Financials

-0.1%1D

ID-0.1%WTD-0.8%MTD+5.5%

Oversold / Mean-Reversion Watchn6

Information Technology

-0.2%1D

ID-0.2%WTD-1.0%MTD-17.0%

Extended Momentum Riskn7

Energy

-0.2%1D

ID-0.2%WTD+2.9%MTD+26.2%

Neutral / Transitionn61

Financials

-0.3%1D

ID-0.3%WTD-0.1%MTD+2.2%

Low-Vol Aligned Uptrendn13

Real Estate

-0.3%1D

ID-0.3%WTD-0.8%MTD+3.8%

Low-Vol Aligned Uptrendn29

Financials

-0.3%1D

ID-0.3%WTD-1.3%MTD+2.2%

Broken Momentum / Avoidn25

Consumer Discretionary

-0.5%1D

ID-0.5%WTD-2.3%MTD-4.6%

Extended Momentum Riskn4

Financials

-0.5%1D

ID-0.5%WTD-1.3%MTD+18.2%

Neutral / Transitionn23

Real Estate

-0.5%1D

ID-0.5%WTD-1.6%MTD+0.1%

Low-Vol Aligned Uptrendn6

Communication Services

-0.5%1D

ID-0.5%WTD-3.0%MTD+4.2%

Broken Momentum / Avoidn16

Financials

-0.5%1D

ID-0.5%WTD+0.2%MTD+1.9%

Institutional Large-Cap Accumulationn6

Health Care

-0.7%1D

ID-0.7%WTD+0.2%MTD+2.4%

Thematic Momentum Leadershipn23

Financials

-0.7%1D

ID-0.7%WTD-1.1%MTD+4.8%

Smaller-Cap High-Beta Breakoutn5

Consumer Discretionary

-0.8%1D

ID-0.8%WTD-1.1%MTD+8.9%

Neutral / Transitionn50

Health Care

-0.9%1D

ID-0.9%WTD-1.6%MTD-0.2%

Broken Momentum / Avoidn15

Communication Services

-1.0%1D

ID-1.0%WTD-1.7%MTD-1.2%

Broken Momentum / Avoidn13

Health Care

-1.0%1D

ID-1.0%WTD-2.7%MTD-2.9%

Neutral / Transitionn103

Information Technology

-1.1%1D

ID-1.1%WTD+2.6%MTD-8.2%

Thematic Momentum Leadershipn13

Real Estate

-1.1%1D

ID-1.1%WTD-1.6%MTD+3.0%

Extended Momentum Riskn5

Real Estate

-1.3%1D

ID-1.3%WTD-0.4%MTD+8.9%

Thematic Momentum Leadershipn29

Health Care

-1.3%1D

ID-1.3%WTD-0.8%MTD+1.0%

Institutional Large-Cap Accumulationn9

Information Technology

-1.3%1D

ID-1.3%WTD-2.5%MTD+2.6%

Neutral / Transitionn19

Communication Services

-1.6%1D

ID-1.6%WTD-2.3%MTD-1.6%

Broken Momentum / Avoidn27

Information Technology

-1.8%1D

ID-1.8%WTD-0.7%MTD-3.8%

Smaller-Cap High-Beta Breakoutn20

Health Care

-1.8%1D

ID-1.8%WTD-1.7%MTD+1.9%

Smaller-Cap High-Beta Breakoutn6

Information Technology

-3.2%1D

ID-3.2%WTD-5.7%MTD-2.9%

Thematic Momentum Leadershipn10

Information Technology

-3.4%1D

ID-3.4%WTD-5.2%MTD+2.8%

Unclassified / Insufficient Datan3

Information Technology

-3.8%1D

ID-3.8%WTD-0.0%MTD-5.8%

Thematic Momentum Leadershipn3

Industrials

-4.0%1D

ID-4.0%WTD+0.8%MTD-3.0%

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+0.50

volatility+1.50

rotation-0.85

size-1.15

style-0.50

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 with 0.87 confidence and a composite score of 0.155. Now in its third day, this fresh regime has an expected dwell of 7.7 days and 4.7 days remaining. The volatility component scores 1.5, based on a two-year realized volatility percentile of 39.2. The composite declined 0.1275 from the prior close, driven by size (-0.6) and style (-0.25).

What Worked Today

Basket	Side	Ticker	Return	Weight
Broken Momentum / Avoid	top	T	+3.50%	0.02
Broken Momentum / Avoid	top	CEG	+4.84%	0.01
Broken Momentum / Avoid	top	CME	+5.00%	0.01
Broken Momentum / Avoid	bottom	MSFT	-1.86%	0.28
Broken Momentum / Avoid	bottom	WMT	-0.96%	0.09
Broken Momentum / Avoid	bottom	APP	-3.78%	0.02
Oversold / Mean-Reversion Watch	top	BA	+1.88%	0.10
Oversold / Mean-Reversion Watch	top	LHX	+2.68%	0.03
Oversold / Mean-Reversion Watch	top	CACI	+6.05%	0.01
Oversold / Mean-Reversion Watch	bottom	IBM	-2.25%	0.14
Oversold / Mean-Reversion Watch	bottom	ORCL	-0.95%	0.24
Oversold / Mean-Reversion Watch	bottom	ISRG	-2.68%	0.08
Unclassified / Insufficient Data	top	SOLS	+0.98%	0.07
Unclassified / Insufficient Data	top	P	+0.35%	0.11
Unclassified / Insufficient Data	bottom	MRSH	-3.08%	0.41
Unclassified / Insufficient Data	bottom	MDLN	-4.89%	0.16
Unclassified / Insufficient Data	bottom	NAVN	-11.57%	0.03

Over the trailing three days, sector and theme rotations drove performance. Energy led (+2.95%), followed by Commodities / Materials (+2.82%) and Semiconductors (+2.64%). Defensive growth themes lagged: Cybersecurity returned -3.02%, Cloud Software -2.88%. Style spreads widened significantly: Momentum outperformed Low Volatility by 4.38%, and Semis beat the market by 4.90%. Meanwhile, High Beta trailed Low Volatility by 3.16%, and Small underperformed Large by -0.64%. The pattern underscores a split between commodity-linked strength and tech sub-sector weakness.

Size and Breadth

Size bucket	N	Intraday	D1	WTD	Breadth
Large (>=5B)	1004	-0.24%	-0.24%	-0.10%	45.4% adv
Micro Cap $250M-$1B	201	-1.12%	-1.12%	-0.09%	30.8% adv
Nano Cap <$250M	15	-2.30%	-2.30%	-3.71%	33.3% adv
Small Cap $1B-$5B	807	-1.09%	-1.09%	-0.97%	30.2% adv

% > SMA50	% > SMA200	Advancers	Decliners	% Baskets Positive
62.5%	67.0%	454	541	25.5%

The size factor posted a -1.15 score, as small caps underperformed large caps by -0.81% on the day and -1.88% over the past month. Nano Cap stocks were the worst-performing size cohort, down -3.71% over three days. Small and mid relative to the >$5 billion universe fell -0.87% today. Breadth metrics provided mixed signals: 62.6% of stocks above the 50-day SMA and 67.0% above the 200-day, but the advance-decline ratio of 0.839 and only 25.5% of production baskets registering positive returns confirm limited participation.

Volume and Participation

Dimension	Basket	Median RVol	% Members RVol>1.5
production	Broken Momentum / Avoid	0.78	7.4%
production	Extended Momentum Risk	0.77	0.0%
production	Institutional Large-Cap Accumulation	0.79	5.3%
production	Low-Vol Aligned Uptrend	0.86	4.0%
production	Neutral / Transition	0.74	5.7%
production	Oversold / Mean-Reversion Watch	0.90	11.5%
production	Smaller-Cap High-Beta Breakout	0.80	8.8%
production	Thematic Momentum Leadership	0.81	5.2%
production	Unclassified / Insufficient Data	0.76	0.0%

Ticker	Basket	RVol	Return	Note
PAG	Thematic Momentum Leadership	8.57	+9.93%	breakout volume
PEGA	Broken Momentum / Avoid	5.43	-16.00%	distribution volume
WAB	Neutral / Transition	4.04	+10.04%	breakout volume
SMCI	Broken Momentum / Avoid	3.94	+19.84%	breakout volume
NTRS	Thematic Momentum Leadership	3.04	-3.46%	distribution volume

Composite turnover remained subdued, with median relative volume across production baskets between 0.74 and 0.90. The proportion of members trading above 1.5x typical volume never exceeded 11.5%, occurring only in the Oversold / Mean-Reversion Watch basket. Elsewhere, institutional-oriented baskets like Institutional Large-Cap Accumulation and Thematic Momentum Leadership recorded median RVOLs of 0.79 and 0.81, with just 5.3% and 5.2% of members above the 1.5x threshold. Anomalous volume surfaced in single names—PAG surged 9.93% on 8.57x RVOL, while PEGA collapsed -16.0% on 5.43x RVOL—but did not alter the low-conviction aggregate picture.

Cross-Asset Confirmation

CAC +0.30 — mixed (positive = risk-supportive)

Signal	5d	Points
Credit (HYG−LQD)	+0.30%	+0.30
Risk vs defensives	-0.58%	+0.00
Dollar (−UUP)	-0.32%	+0.00
Curve (IEF/TLT)	+0.24%	+0.00

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

Spread	TLT β	β · SPY-ctrl		β
Momentum - LowVol	1.29	0.19	98%	duration-driven (current, unstable)
Growth - Value	0.16	-0.25	67%	factor-driven (current, unstable)
HighBeta - LowVol	1.41	0.00	98%	duration-driven (current, unstable)
Small - Large	0.60	0.65	97%	duration-driven (persistent)

Opportunity Watchlist

No actionable setups are signaled today; both the screener and intraday confirmation sources are unavailable, and top_setups are null.

3D Summary

Side	Dimension	Basket	Return
best	sector	Energy	+2.95%
best	theme	Commodities / Materials	+2.82%
best	theme	Semiconductors	+2.64%
worst	size	Nano Cap <$250M	-3.71%
worst	theme	Cybersecurity	-3.02%
worst	theme	Cloud Software	-2.88%

Spread	Move
Momentum - LowVol	+4.38%
HighBeta - LowVol	+3.16%
Growth - Value	+1.50%
Small - Large	-0.64%
EqualWeight - CapWeight	-0.87%
Credit	+0.66%
Duration	-1.28%
Semis - Market	+4.90%
Momentum Leadership - Broken Momentum	-0.32%
Quality - Extended Risk	-1.46%

Breadth trend: improving.

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%
2026-07-21	wrap	Choppy Neutral	0.4	Oversold / Mean-Reversion Watch	Institutional Large-Cap Accumulation	+0.83%

Over the last three sessions, Energy (+2.95%), Commodities/Materials (+2.82%), and Semiconductors (+2.64%) led, while Nano Cap (-3.71%), Cybersecurity (-3.02%), and Cloud Software (-2.88%) lagged. Semis outperformed the market by 4.9%, and Momentum-LowVol expanded 4.38%. Breadth is improving.

WTD Summary

WTD Summary data is identical to the 3D Summary at this point in the period — see that section above.

Week-to-date, the same pattern holds: Energy, Commodities, and Semiconductors top the list, while Nano Cap, Cybersecurity, and Cloud Software decline. The Semis-Market spread surged 4.9%, and Momentum-LowVol added 4.38%, with improving breadth.

MTD Summary

Side	Dimension	Basket	Return
best	production	Extended Momentum Risk	+16.53%
best	size	Nano Cap <$250M	+14.18%
best	sector	Energy	+10.03%
worst	style	Oversold / Mean-Reversion Watch	-15.58%
worst	production	Oversold / Mean-Reversion Watch	-15.58%
worst	style	High-Vol Breakdown	-9.07%

Spread	Move
Momentum - LowVol	-8.12%
HighBeta - LowVol	-8.73%
Growth - Value	-4.72%
Small - Large	-2.30%
EqualWeight - CapWeight	-0.12%
Credit	+1.64%
Duration	-3.45%
Semis - Market	-10.60%
Momentum Leadership - Broken Momentum	+7.51%
Quality - Extended Risk	-13.85%

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%
2026-07-21	wrap	Choppy Neutral	0.4	Oversold / Mean-Reversion Watch	Institutional Large-Cap Accumulation	+0.83%

Month-to-date, Extended Momentum Risk returned +16.53%, while Oversold/Mean-Reversion Watch fell -15.58%. Spreads indicate a defensive posture: Quality minus Extended Risk dropped 13.85%, and Semis vs Market lost 10.6%. Leadership narrowed, with breadth deteriorating.

Structural View (QTD YTD 1Y 2Y)

Basket	QTD	YTD	1Y	2Y
production: Broken Momentum / Avoid	-2.92%	-15.75%	-11.82%	+14.91%
production: Extended Momentum Risk	+16.53%	+48.60%	+61.39%	+62.07%
production: Institutional Large-Cap Accumulation	+4.59%	+26.49%	+33.97%	+58.53%
production: Low-Vol Aligned Uptrend	+2.68%	+13.44%	+18.45%	+26.94%
production: Neutral / Transition	-2.33%	+23.20%	+40.63%	+60.13%
production: Oversold / Mean-Reversion Watch	-15.58%	-9.51%	+11.01%	+65.18%
production: Smaller-Cap High-Beta Breakout	+3.02%	+79.67%	+134.96%	+150.59%
production: Thematic Momentum Leadership	+3.75%	+28.93%	+45.29%	+58.98%
production: Unclassified / Insufficient Data	-6.12%	+33.26%	n/a	n/a
theme: AI Infrastructure	-4.35%	+21.28%	+37.02%	+58.47%
theme: Cloud Software	-0.88%	+11.51%	+12.79%	+33.26%
theme: Commodities / Materials	-3.70%	+10.30%	+36.93%	+47.81%
theme: Consumer / Retail	-0.06%	+7.97%	+9.35%	+18.32%
theme: Crypto / Digital Assets	+1.61%	+13.82%	+23.76%	+50.22%
theme: Cybersecurity	-1.29%	+11.25%	+7.99%	+35.30%
theme: Defense / Aerospace	-7.58%	+25.79%	+54.67%	+108.06%
theme: Energy Transition	-5.10%	+22.90%	+38.22%	+47.75%
theme: Financials / Credit	+0.67%	+11.92%	+17.76%	+29.06%
theme: Healthcare / Biotech	-0.89%	+23.06%	+69.35%	+60.55%
theme: Housing / Real Estate	-1.31%	+11.13%	+15.09%	+18.37%
theme: Industrial Automation	-3.61%	+22.89%	+39.56%	+54.83%
theme: Macro Rates / Inflation	-0.82%	+15.51%	+25.27%	+34.72%
theme: Oil & Gas	+1.14%	+21.19%	+31.67%	+37.23%
theme: Semiconductors	-8.75%	+53.43%	+80.21%	+87.76%
sector: Communication Services	-0.64%	-6.03%	+12.28%	+61.54%
sector: Consumer Discretionary	-0.77%	+6.06%	+10.55%	+25.21%
sector: Consumer Staples	+1.83%	+7.08%	+1.90%	+6.46%
sector: Energy	+10.03%	+40.21%	+43.65%	+37.15%
sector: Financials	+3.03%	+9.17%	+15.33%	+43.46%
sector: Health Care	-0.01%	+25.53%	+70.06%	+64.51%
sector: Industrials	-4.69%	+19.00%	+33.08%	+64.64%
sector: Information Technology	-6.20%	+36.53%	+61.15%	+91.33%
sector: Materials	-3.36%	+13.94%	+26.05%	+36.97%
sector: Real Estate	+2.02%	+11.65%	+12.33%	+17.91%
sector: Utilities	+0.68%	+7.93%	+11.79%	+46.69%
size: Large (>=5B)	-1.00%	+17.94%	+32.82%	+52.68%
size: Micro Cap $250M-$1B	-2.21%	+13.44%	+35.61%	+34.27%
size: Nano Cap <$250M	+14.18%	+34.50%	+13.18%	-15.11%
size: Small Cap $1B-$5B	-1.23%	+19.72%	+38.20%	+40.69%
style: Base Building / Coiled	-1.51%	+12.46%	+25.82%	+42.81%
style: Extended Overbought Momentum	+18.97%	+60.47%	+92.77%	+73.26%
style: High-Vol Breakdown	-9.07%	-19.00%	-6.96%	+65.93%
style: High-Vol Momentum	+4.09%	+80.10%	+127.78%	+146.34%
style: Low-Vol Uptrend	+2.75%	+16.23%	+21.04%	+31.48%
style: Momentum Breakout / Leadership	+8.74%	+42.52%	+61.38%	+66.26%
style: Neutral / Transition	-2.54%	+22.92%	+41.27%	+61.89%
style: Normal Vol/Trend	-1.34%	+25.39%	+44.52%	+60.38%
style: Oversold / Mean-Reversion Watch	-15.58%	-9.51%	+11.01%	+65.18%
style: Persistent Uptrend / Compounder	+2.59%	+27.50%	+39.02%	+51.85%
style: Weak Downtrend / Avoid Momentum	-2.92%	-15.75%	-11.82%	+14.91%

Year-to-date, High-Vol Momentum leads with +80.1%, followed by Smaller-Cap High-Beta Breakout (+79.67%) and Semiconductors (+53.43%). The Momentum-LowVol spread widened 23.32%, while Quality versus Extended Risk compressed 35.16%. Over one year, Smaller-Cap High-Beta Breakout gained 134.96%, and Semis-Market expanded to 83.16%. Two-year performance remains dominated by high-beta and semiconductor themes.

Chart Pattern and Wave Census

Breakouts	Breakdowns	Oversold
88	None	27

The pattern census registers 88 breakouts and 27 oversold readings; no breakdowns. Setup counts and top setups are unavailable due to source limitations.

Tomorrow Setup

Spread	Legs	Intraday	D1	WTD	MTD
Momentum - LowVol	MTUM − USMV	+0.23%	+0.23%	+4.38%	-8.12%
HighBeta - LowVol	SPHB − SPLV	-0.82%	-0.82%	+3.16%	-8.73%
Growth - Value	IWF − IWD	-0.37%	-0.37%	+1.50%	-4.72%
Small - Large	IWM − SPY	-0.81%	-0.81%	-0.64%	-2.30%
EqualWeight - CapWeight	RSP − SPY	+0.09%	+0.09%	-0.87%	-0.12%
Credit	HYG − LQD	+0.01%	+0.01%	+0.66%	+1.64%
Duration	TLT	-0.26%	-0.26%	-1.28%	-3.45%
Semis - Market	SMH − SPY	+0.60%	+0.60%	+4.90%	-10.60%
Momentum Leadership - Broken Momentum	Institutional Large-Cap Accumulation − Broken Momentum / Avoid	-0.43%	-0.43%	-0.32%	+7.51%
Quality - Extended Risk	Low-Vol Aligned Uptrend − Extended Momentum Risk	+0.23%	+0.23%	-1.46%	-13.85%

Tomorrow's regime outlook remains Choppy Neutral. No high-conviction setups are available from the screener or intraday confirmation.

Top Single-Stock Setups (4h–1 Week)

#1CTVAMaterials100

▲Momentum continuation4h–1 week

Thematic Momentum Leadership · factor score 7.9/10 (top quintile)

Leadership/uptrend with room — flow-confirmed

UptrendQ1RSI 631w +2.4%MACD+CMF+Force+

Last$86.94

RSI64

1wk+2.4%

ATR stop−3.5%

1-week return vs Thematic Momentum Leadership basket (n=96)

-15%+10%

#2EOGEnergy100

▲Momentum continuation4h–1 week

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

Leadership/uptrend with room — flow-confirmed

UptrendQ1RSI 631w +4.6%MACD+CMF+Force+

Last$143.44

RSI63

1wk+4.7%

ATR stop−3.7%

1-week return vs Thematic Momentum Leadership basket (n=96)

-15%+10%

#3OHIReal Estate100

▲Momentum continuation4h–1 week

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

Leadership/uptrend with room — flow-confirmed

UptrendQ1RSI 641w +4.7%MACD+CMF+Force+

Last$50.60

RSI64

1wk+4.7%

ATR stop−3.0%

1-week return vs Thematic Momentum Leadership basket (n=96)

-15%+10%

#4OVVEnergy98

▲Momentum continuation4h–1 week

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

Leadership/uptrend with room — flow-confirmed

UptrendQ1RSI 641w +5.4%MACD+CMF+Force+

Last$59.37

RSI65

1wk+5.4%

ATR stop−4.0%

1-week return vs Thematic Momentum Leadership basket (n=96)

-15%+10%

#5VTRSHealth Care98

▲Momentum continuation4h–1 week

Thematic Momentum Leadership · factor score 8.1/10 (top quintile)

Leadership/uptrend with room — flow-confirmed

UptrendQ1RSI 651w +6.6%MACD+CMF+Force+

Last$17.59

RSI65

1wk+6.6%

ATR stop−4.4%

1-week return vs Thematic Momentum Leadership basket (n=96)

-15%+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	2026-07-22T18:45:00-04:00
warehouse_snapshot	2026-07-22
proxy_daily	2026-07-21
screener_artifact	unavailable
grouped_daily	2026-07-22

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: screener artifact unavailable or stale
Warning: thin production basket: Unclassified / Insufficient Data n_members=8 (<10); exclude from broad leadership claims
Report generated at 2026-07-22T19:01:05-04:00; every figure above is computed deterministically from report.json