Close · market state
Choppy Neutralheld 0 td · typically ~8 td · ~8 td left · fresh · p(stay) 0.87
0td in — ~8td of typical dwell leftfresh
age 0tdtypical dwell ~8td
SPY -1.53% since prior close; Institutional Large-Cap Accumulation leads (+0.05%), Broken Momentum / Avoid lags (-1.20%).
Risk-STATE gauge — monotone in forward volatility, not direction. Size to the state; don't chase the label.
Session Snapshot
CAC -0.25mixed
−risk-off0+risk-on
Equitiesbroad index tape · 0/8 adv
-1.01%med
MDY -0.6%RSP -0.6%IWM -0.8%IJR -0.9%DIA -1.2%VTI -1.4%SPY -1.5%QQQ -2.3%
Rates & Creditduration + credit spread · 0/4 adv
-0.37%med
IEF -0.3%TLT -0.3%HYG -0.4%LQD -0.4%
Commodities & FXgold · oil · the dollar · 2/3 adv
+0.40%med
USO +6.0%UUP +0.4%GLD -2.1%
Globalint'l / EM equity · 0/5 adv
-1.38%med
FXI -0.1%EEM -1.0%EWJ -1.4%EFA -1.5%VGK -1.6%
SPY-1.5%rvol 1.1
QQQ-2.3%rvol 1.1
DIA-1.2%rvol 1.1
IWM-0.8%rvol 1.4
MDY-0.6%rvol 0.5
IJR-0.9%rvol 1.5
RSP-0.6%rvol 0.8
VTI-1.4%rvol 1.2
XLK-1.6%rvol 0.7
XLF-0.6%rvol 0.7
XLE+0.4%rvol 1.3
XLV+1.1%rvol 0.7
XLI+1.5%rvol 1.4
XLY-5.0%rvol 1.4
XLP-1.7%rvol 0.9
XLU+0.6%rvol 0.7
XLB-1.2%rvol 0.9
XLC-3.6%rvol 1.9
XLRE-0.3%rvol 1.0
MTUM-0.4%rvol 0.6
VLUE-0.3%rvol 0.4
QUAL-0.9%rvol 0.6
USMV-0.4%rvol 0.8
SPLV+0.0%rvol 0.7
SPHB-1.3%rvol 0.6
IWF-2.3%rvol 0.7
IWD-0.8%rvol 0.6
VUG-2.6%rvol 0.8
VTV+0.0%rvol 0.9
SMH-2.0%rvol 0.7
XBI+0.1%rvol 0.7
ITA+2.8%rvol 1.4
KRE-0.9%rvol 1.4
XHB-0.6%rvol 0.9
TAN-2.1%rvol 0.6
TLT-0.3%rvol 1.4
IEF-0.3%rvol 0.9
HYG-0.4%rvol 2.0
LQD-0.4%rvol 1.5
GLD-2.1%rvol 1.5
USO+6.0%rvol 2.4
UUP+0.4%rvol 0.8
EFA-1.5%rvol 1.1
EEM-1.0%rvol 0.5
VGK-1.6%rvol 1.6
EWJ-1.4%rvol 0.8
FXI-0.1%rvol 0.8
Session closed in Choppy Neutral regime (confidence 0.87) with a composite delta of -0.105 from midday. Health Care led with +0.67%, while Communication Services fell -2.73%, Consumer Staples -2.43%, and Consumer Discretionary -1.92%. Overall coverage was 99.6%. Volume anomalies included ACI distribution on 8.03 rvol and -23.05% return, and DGX breakout on 4.37 rvol with +8.22% gain. Breadth was narrow: Communication Services advancing only 6.98% versus Utilities at 70.45%.
SPY-1.53%gap -1.08% · open -0.46%
Best factor+0.05%Institutional Large-Cap Accumulation
Worst factor-1.20%Broken Momentum / Avoid
Breadth11%baskets +ve · A/D 357/642
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 0.42, 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 convictiongap:01 · n=74435
Fade KRE'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
ACI gapped -14.38% 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 KRE, DIA, SPY 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
Institutional Large-Cap Accumulation+0.05%
34 names · 100% cov · rvol 0.65
move vs all baskets today
-1%med -1%+0%
+0.05%100ᵗʰ pctile
ID+0.1%
1D+0.1%
3D+1.2%
1W+0.5%
MTD+5.3%
1M+8.4%
3M+20.8%
YTD+28.4%
1Y+41.4%
2Y+59.5%
Low-Vol Aligned Uptrend-0.36%
91 names · 99% cov · rvol 0.70
move vs all baskets today
-1%med -1%+0%
-0.36%89ᵗʰ pctile
ID-0.4%
1D-0.3%
3D-0.1%
1W-0.9%
MTD+2.5%
1M+4.0%
3M+6.4%
YTD+14.3%
1Y+17.8%
2Y+29.0%
Extended Momentum Risk-0.46%
21 names · 100% cov · rvol 0.75
move vs all baskets today
-1%med -1%+0%
-0.46%78ᵗʰ pctile
ID-0.5%
1D-0.5%
3D+1.3%
1W+3.9%
MTD+18.0%
1M+22.1%
3M+26.1%
YTD+57.3%
1Y+57.4%
2Y+54.7%
Unclassified / Insufficient Data thin — n<10-0.46%
8 names · 100% cov · rvol 0.52
move vs all baskets today
-1%med -1%+0%
-0.46%78ᵗʰ pctile
ID-0.5%
1D-0.5%
3D-0.7%
1W-1.7%
MTD-6.6%
1M-0.4%
3M+6.6%
YTD+32.2%
Neutral / Transition-0.65%
539 names · 100% cov · rvol 0.65
move vs all baskets today
-1%med -1%+0%
-0.65%56ᵗʰ pctile
ID-0.7%
1D-0.7%
3D+0.3%
1W-1.0%
MTD-3.2%
1M-0.8%
3M+5.8%
YTD+22.3%
1Y+38.4%
2Y+59.6%
Thematic Momentum Leadership-0.75%
88 names · 100% cov · rvol 0.64
move vs all baskets today
-1%med -1%+0%
-0.75%44ᵗʰ pctile
ID-0.8%
1D-0.8%
3D-0.4%
1W-1.1%
MTD+4.2%
1M+8.1%
3M+23.7%
YTD+30.6%
1Y+46.0%
2Y+61.8%
Oversold / Mean-Reversion Watch-0.78%
24 names · 96% cov · rvol 0.86
move vs all baskets today
-1%med -1%+0%
-0.78%33ᵗʰ pctile
ID-0.8%
1D-0.8%
3D-2.5%
1W-7.5%
MTD-17.7%
1M-18.7%
3M-20.7%
YTD-10.8%
1Y+8.3%
2Y+75.8%
Smaller-Cap High-Beta Breakout-1.11%
30 names · 100% cov · rvol 0.59
move vs all baskets today
-1%med -1%+0%
-1.11%22ᵗʰ pctile
ID-1.1%
1D-1.1%
3D-0.6%
1W-0.0%
MTD+1.7%
1M+11.1%
3M+46.2%
YTD+74.7%
1Y+137.8%
2Y+149.9%
Broken Momentum / Avoid-1.20%
169 names · 100% cov · rvol 0.74
move vs all baskets today
-1%med -1%+0%
-1.20%11ᵗʰ pctile
ID-1.2%
1D-1.2%
3D-1.7%
1W-3.8%
MTD-4.4%
1M-4.2%
3M-17.7%
YTD-18.6%
1Y-15.0%
2Y+15.6%
Factor dynamics shifted from the earlier Constructive Rotation regime. The rotation score dropped by -0.50, driven by a leadership flip and Spearman rank correlations: d1 vs w1 at 0.619 and wtd vs m1 at 0.667. Size factor increased by +0.55, while trend weakened -0.40. Style factor declined -0.25, with momentum outperforming low volatility on a 1-week basis (+4.486). Breadth and volatility factors were unchanged. The overall composite fell -0.105 as the market moved into Choppy Neutral.
Sector Rotation
Health Care+0.67%
Industrials+0.31%
Utilities+0.23%
Energy-0.16%
Real Estate-0.80%
Materials-0.82%
Financials-0.85%
Information Technology-1.27%
Consumer Discretionary-1.92%
Consumer Staples-2.43%
Communication Services-2.73%
Day session rotation favored defensive and late-cycle sectors. Health Care (+0.67%), Industrials (+0.31%), and Utilities (+0.23%) advanced, while Communication Services suffered a -2.73% decline, the worst of the session. Consumer Staples (-2.43%) and Consumer Discretionary (-1.92%) also lagged. Week-to-date, Energy (+2.80%) and Industrials (+0.83%) held gains, contrasting with Communication Services (-4.77%). Breadth reflected the divergence: Utilities saw 70.45% of members advance, versus only 6.98% for Communication Services. Sector wave regimes spanned Expansion (Real Estate, Financials), Basing (Staples, Communication Services), and Trending (Energy).
Themes and Keyword Baskets
Defense / Aerospace+0.2%1D
202 names · 79% cov
ID+0.3%WTD+2.1%MTD-7.3%YTD+26.0%
Healthcare / Biotech degraded+0.1%1D
673 names · 58% cov
ID+0.1%WTD-0.9%MTD-0.8%YTD+23.1%
Commodities / Materials-0.1%1D
161 names · 75% cov
ID-0.2%WTD+2.6%MTD-3.9%YTD+10.1%
Oil & Gas-0.2%1D
269 names · 85% cov
ID-0.4%WTD+0.9%MTD+0.9%YTD+20.9%
Industrial Automation-0.3%1D
494 names · 77% covaggregate only
ID-0.5%WTD+0.4%MTD-3.9%YTD+22.5%
Energy Transition-0.3%1D
240 names · 82% cov
ID-0.5%WTD+1.3%MTD-5.4%YTD+22.6%
Cybersecurity-0.4%1D
94 names · 70% covaggregate only
ID-0.7%WTD-3.6%MTD-1.8%YTD+10.5%
Housing / Real Estate-0.4%1D
439 names · 71% cov
ID-0.8%WTD-1.6%MTD-1.7%YTD+10.7%
Financials / Credit-0.5%1D
646 names · 63% cov
ID-0.9%WTD-2.1%MTD+0.2%YTD+11.4%
AI Infrastructure-0.5%1D
838 names · 80% covaggregate only
ID-0.8%WTD-0.2%MTD-4.8%YTD+20.8%
Macro Rates / Inflation-0.5%1D
506 names · 77% covaggregate only
ID-0.9%WTD-0.4%MTD-1.3%YTD+15.0%
Semiconductors-0.6%1D
188 names · 89% cov
ID-0.9%WTD+2.0%MTD-9.3%YTD+52.6%
Crypto / Digital Assets-0.7%1D
150 names · 69% covaggregate only
ID-1.0%WTD+0.4%MTD+0.9%YTD+13.4%
Cloud Software-0.9%1D
258 names · 79% covaggregate only
ID-1.4%WTD-3.7%MTD-1.8%YTD+10.6%
Consumer / Retail-0.9%1D
467 names · 75% cov
ID-1.7%WTD-2.0%MTD-1.0%YTD+7.0%
Themes rotated defensively: Defense/Aerospace gained +0.33% intraday and +2.15% week-to-date, while Commodities/Materials added +2.63% wtd despite a -0.19% intraday slip. Consumer/Retail was the session’s worst theme, falling -1.67% intraday and -1.98% wtd. Cloud Software declined -1.45% intraday and -3.73% wtd. Semiconductors fell -0.94% intraday but remain up +2.05% wtd. Crypto/Digital Assets lost -1.03%. The Healthcare/Biotech theme, with degraded coverage, posted +0.12% intraday, while Oil & Gas edged -0.42% lower. Breadth was weakest in Consumer/Retail (15.15% advancing) and strongest in Defense/Aerospace (52.87%).
Sigma Board
−3σ0+3σ
EqualWeight - CapWeight d1spread · +0.94% · 252d · n=252+1.85σ
Growth - Value d1spread · -1.56% · 252d · n=252-1.69σ
Broken Momentum / Avoid d1basket · -1.20% · 60d · n=36-1.47σ
Momentum - LowVol w1spread · +4.49% · 252d · n=252+1.33σ
Neutral / Transition d1basket · -0.65% · 60d · n=36-1.03σ
% above SMA50breadth · 57.13 · 60d · n=60-1.00σ
Duration w1spread · -1.26% · 252d · n=252-0.99σ
Adv/Dec ratiobreadth · 0.56 · 60d · n=60-0.91σ
Leadership concentrated in defensive and industrial sectors. Health Care surged +0.67% for the session, Industrials +0.31%, Utilities +0.23%. Laggards were Communication Services (-2.73%), Consumer Staples (-2.43%), and Consumer Discretionary (-1.92%). Week-to-date, Energy held +2.80% while Communication Services sank -4.77%. Theme leaders included Defense/Aerospace (+0.33% intraday), whereas Consumer/Retail fell -1.67%. Sector wave regimes placed Real Estate and Financials in Expansion/late acceleration, while Staples and Communication Services remained in Basing/early-cycle.
Factor × Sector Map
Low-Vol Aligned Uptrendn3
Health Care
+3.6%1D
ID+3.6%WTD+2.4%MTD+4.5%
Institutional Large-Cap Accumulationn8
Industrials
+2.0%1D
ID+2.0%WTD+2.7%MTD+8.3%
Neutral / Transitionn52
Health Care
+0.9%1D
ID+0.9%WTD-1.3%MTD-0.0%
Broken Momentum / Avoidn32
Industrials
+0.8%1D
ID+0.8%WTD+0.5%MTD-6.3%
Broken Momentum / Avoidn14
Health Care
+0.8%1D
ID+0.8%WTD-2.0%MTD-2.1%
Thematic Momentum Leadershipn7
Energy
+0.7%1D
ID+0.7%WTD+5.4%MTD+14.0%
Thematic Momentum Leadershipn28
Health Care
+0.6%1D
ID+0.6%WTD-0.1%MTD+3.2%
Neutral / Transitionn21
Utilities
+0.6%1D
ID+0.6%WTD+2.3%MTD+0.1%
Institutional Large-Cap Accumulationn7
Health Care
+0.5%1D
ID+0.5%WTD+0.9%MTD+2.7%
Low-Vol Aligned Uptrendn14
Industrials
+0.2%1D
ID+0.3%WTD+0.3%MTD+1.3%
Neutral / Transitionn112
Industrials
+0.1%1D
ID+0.1%WTD+1.0%MTD-5.2%
Low-Vol Aligned Uptrendn20
Utilities
+0.0%1D
ID+0.0%WTD+1.0%MTD+3.1%
Smaller-Cap High-Beta Breakoutn5
Consumer Discretionary
-0.1%1D
ID-0.1%WTD-1.2%MTD+8.8%
Neutral / Transitionn22
Materials
-0.2%1D
ID-0.2%WTD+0.8%MTD-2.5%
Neutral / Transitionn26
Real Estate
-0.2%1D
ID-0.2%WTD-1.9%MTD-0.2%
Smaller-Cap High-Beta Breakoutn17
Health Care
-0.3%1D
ID-0.3%WTD-0.7%MTD+1.8%
Neutral / Transitionn18
Energy
-0.3%1D
ID-0.3%WTD+2.4%MTD+4.3%
Neutral / Transitionn66
Financials
-0.4%1D
ID-0.4%WTD-0.4%MTD+1.2%
Oversold / Mean-Reversion Watchn6
Industrials
-0.5%1D
ID-0.5%WTD-3.1%MTD-18.0%
Low-Vol Aligned Uptrendn27
Financials
-0.7%1D
ID-0.7%WTD-1.5%MTD+2.5%
Extended Momentum Riskn8
Energy
-0.8%1D
ID-0.8%WTD+2.7%MTD+25.9%
Institutional Large-Cap Accumulationn10
Financials
-0.8%1D
ID-0.8%WTD-1.2%MTD+4.7%
Low-Vol Aligned Uptrendn16
Real Estate
-1.1%1D
ID-1.1%WTD-2.0%MTD+3.4%
Broken Momentum / Avoidn18
Financials
-1.1%1D
ID-1.1%WTD-2.8%MTD+0.3%
Broken Momentum / Avoidn31
Information Technology
-1.2%1D
ID-1.2%WTD-3.0%MTD-3.9%
Neutral / Transitionn103
Information Technology
-1.2%1D
ID-1.2%WTD+1.5%MTD-9.6%
Smaller-Cap High-Beta Breakoutn6
Information Technology
-1.4%1D
ID-1.4%WTD-4.3%MTD-1.2%
Broken Momentum / Avoidn10
Real Estate
-1.4%1D
ID-1.4%WTD-4.0%MTD-1.4%
Oversold / Mean-Reversion Watchn6
Information Technology
-1.4%1D
ID-1.4%WTD-7.5%MTD-20.4%
Thematic Momentum Leadershipn12
Real Estate
-1.5%1D
ID-1.5%WTD-2.8%MTD+2.1%
Institutional Large-Cap Accumulationn6
Information Technology
-1.6%1D
ID-1.6%WTD+0.4%MTD+4.0%
Oversold / Mean-Reversion Watchn3
Materials
-1.7%1D
ID-1.7%WTD-0.7%MTD-15.8%
Thematic Momentum Leadershipn9
Information Technology
-1.8%1D
ID-1.8%WTD-6.6%MTD+0.1%
Thematic Momentum Leadershipn22
Financials
-1.9%1D
ID-1.9%WTD-2.8%MTD+5.1%
Unclassified / Insufficient Datan3
Information Technology
-1.9%1D
ID-1.9%WTD-1.8%MTD-7.8%
Neutral / Transitionn30
Consumer Staples
-2.0%1D
ID-2.0%WTD-2.7%MTD-1.0%
Low-Vol Aligned Uptrendn4
Communication Services
-2.0%1D
ID-2.0%WTD-4.0%MTD+3.1%
Neutral / Transitionn66
Consumer Discretionary
-2.1%1D
ID-2.1%WTD-2.2%MTD-2.3%
Broken Momentum / Avoidn26
Consumer Discretionary
-2.1%1D
ID-2.1%WTD-4.5%MTD-7.3%
Broken Momentum / Avoidn10
Materials
-2.1%1D
ID-2.1%WTD+1.0%MTD-4.9%
Thematic Momentum Leadershipn3
Consumer Staples
-2.2%1D
ID-2.2%WTD-0.4%MTD+2.5%
Neutral / Transitionn23
Communication Services
-2.5%1D
ID-2.5%WTD-4.6%MTD-2.7%
Thematic Momentum Leadershipn4
Consumer Discretionary
-2.7%1D
ID-2.7%WTD-2.9%MTD+4.8%
Broken Momentum / Avoidn14
Communication Services
-3.5%1D
ID-3.5%WTD-5.4%MTD-4.9%
Broken Momentum / Avoidn10
Consumer Staples
-4.1%1D
ID-4.1%WTD-5.8%MTD-4.4%
Where each factor basket is working by sector — sorted by 1-day equal-weight return, ≥3 names per cell.
Regime Assessment
trend-0.15
breadth+0.30
volatility+0.25
rotation+1.40
size+0.95
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 labels the current environment as Choppy Neutral (composite 0.42, confidence 0.87), a state historically associated with elevated volatility and non-trending conditions. The rotation component is pronounced at 1.4, while trend registers -0.15 and breadth 0.3. The probability of persisting in this regime tomorrow is 87%, with an expected dwell of 7.7 days given a fresh transition. This regime does not forecast market direction but signals an inflection-prone backdrop where sector and factor leadership frequently rotate.
Size and Breadth
| Size bucket | N | Intraday | D1 | WTD | Breadth |
|---|
| Large (>=5B) | 1004 | -0.71% | -0.71% | -0.80% | 35.7% adv |
| Micro Cap $250M-$1B | 201 | n/a | +0.00% | -0.09% | 0.0% adv |
| Nano Cap <$250M | 15 | n/a | +0.00% | -3.71% | 0.0% adv |
| Small Cap $1B-$5B | 807 | n/a | +0.00% | -0.97% | 0.0% adv |
| % > SMA50 | % > SMA200 | Advancers | Decliners | % Baskets Positive |
|---|
| 57.1% | 65.9% | 357 | 642 | 10.6% |
Breadth is tilted negative with 57.13% of members above their 50-day moving average and 65.86% above the 200-day, yet the advance-decline ratio sits at 0.556, signaling more decliners. The size factor shows small caps outperforming large caps by 0.70% on the day but underperforming by -1.67% over the past month, reversing the prior short-term leadership. The composite breadth score is 0.3 on a normalized scale, while the size factor score registers 0.95, indicating a meaningful but mixed cross-current within the current choppy environment.
Cross-Sectional Dispersion
| Cross-section | Dispersion σ | IQR | z60 | z252 | State | Widest up / down |
|---|
| Styles | +0.36% | +0.50% | -1.26 (n=60) | -0.73 (n=252) | Compressed | SPLV +0.62% / VUG -0.52% |
| Sectors | +0.99% | +1.25% | -0.35 (n=60) | 0.30 (n=252) | Normal | XLU +2.25% / XLC -0.75% |
Volume and Participation
| Dimension | Basket | Median RVol | % Members RVol>1.5 |
|---|
| production | Broken Momentum / Avoid | 0.74 | 10.7% |
| production | Extended Momentum Risk | 0.75 | 9.5% |
| production | Institutional Large-Cap Accumulation | 0.65 | 8.8% |
| production | Low-Vol Aligned Uptrend | 0.70 | 11.2% |
| production | Neutral / Transition | 0.65 | 7.6% |
| production | Oversold / Mean-Reversion Watch | 0.86 | 8.7% |
| production | Smaller-Cap High-Beta Breakout | 0.59 | 6.7% |
| production | Thematic Momentum Leadership | 0.64 | 5.7% |
| production | Unclassified / Insufficient Data | 0.52 | 0.0% |
| Ticker | Basket | RVol | Return | Note |
|---|
| ACI | Broken Momentum / Avoid | 8.03 | -23.05% | distribution volume |
| DGX | Low-Vol Aligned Uptrend | 4.37 | +8.22% | breakout volume |
| DOV | Neutral / Transition | 4.10 | -8.49% | distribution volume |
| ROL | Broken Momentum / Avoid | 3.96 | -9.80% | distribution volume |
| MEDP | Neutral / Transition | 3.89 | +15.17% | breakout volume |
Volume remains largely contained with median relative volume across production baskets ranging from 0.52 to 0.86. The Oversold/Mean-Reversion Watch basket exhibits the highest median rvol at 0.86, though only 8.7% of its members exceed rvol 1.5. Anomalies drive the equity-level extremes: ACI traded at 8.03 times its average volume alongside a -23.05% decline, while DGX surged 8.22% on 4.37x volume. Such isolated spikes highlight distribution in broken momentum names and breakout in select defensives, without broad-based volume expansion.
Cross-Asset Confirmation
CAC -0.25 — mixed (positive = risk-supportive)
| Signal | 5d | Points |
|---|
| Credit (HYG−LQD) | +0.49% | +0.30 |
| Risk vs defensives | -1.41% | -0.40 |
| Dollar (−UUP) | -0.71% | -0.15 |
| Curve (IEF/TLT) | +0.23% | +0.00 |
Duration-in-disguise — 63d TLT beta of style spreads
| Spread | TLT β | β · SPY-ctrl | | β | %ile | Duration read |
|---|
| Momentum - LowVol | 1.30 | 0.21 | 98% | duration-driven (current, unstable) |
| Growth - Value | 0.17 | -0.24 | 68% | factor-driven (current, unstable) |
| HighBeta - LowVol | 1.45 | 0.05 | 99% | duration-driven (current, unstable) |
| Small - Large | 0.61 | 0.65 | 97% | duration-driven (persistent) |
Opportunity Watchlist
| Ticker | Sector | Opportunity | Wave stage | Regime fit |
|---|
| UEC | Energy | 92.4 | Wave 1 / accumulation | 96.2 |
| EPRT | Real Estate | 88.4 | Wave 3-5 / breakout | 95.4 |
| CELH | Consumer Staples | 92.5 | Wave 1 / accumulation | 94.3 |
| CMCSA | Communication Services | 92.4 | Wave 1 / accumulation | 94.2 |
| SFM | Consumer Staples | 88.3 | Wave 1 / accumulation | 92.4 |
| Ticker | Since close | Vs basket | Read |
|---|
| UEC | +0.67% | +1.87% | confirms |
| EPRT | -1.52% | -1.16% | diverges |
| CELH | -4.85% | -3.65% | diverges |
| CMCSA | -6.42% | -5.22% | diverges |
| SFM | -1.62% | -0.97% | diverges |
The opportunity screener highlights UEC (92.4, accumulation wave, Broken Momentum basket) and CELH (92.5, accumulation) as top-scoring names, though intraday confirmation was negative for most except UEC (+0.67%). Top pattern setups include DKNG (donchian_breakdown, short, 73.49) and RIOT (double_top, short, 73.24). Within baskets, Broken Momentum/Avoid shows a 73% dominant accumulation wave and average opportunity of 69.9, while Low-Vol Aligned Uptrend reflects breakout dominance at 59% share with 67.6 average opportunity. The opportunity landscape skews opportunistic and stock-specific rather than broad-based.
Multi-Horizon Context
| Basket | D3 | WTD | MTD |
|---|
| production: Broken Momentum / Avoid | -1.74% | -2.48% | -4.37% |
| production: Extended Momentum Risk | +1.28% | +1.63% | +18.00% |
| production: Institutional Large-Cap Accumulation | +1.21% | +0.60% | +5.32% |
| production: Low-Vol Aligned Uptrend | -0.13% | -0.64% | +2.51% |
| production: Neutral / Transition | +0.29% | -0.19% | -3.17% |
| production: Oversold / Mean-Reversion Watch | -2.47% | -3.76% | -17.73% |
| production: Smaller-Cap High-Beta Breakout | -0.55% | -2.10% | +1.68% |
| production: Thematic Momentum Leadership | -0.39% | -1.33% | +4.17% |
| production: Unclassified / Insufficient Data | -0.67% | -1.76% | -6.62% |
| theme: AI Infrastructure | +0.14% | -0.21% | -4.83% |
| theme: Cloud Software | -3.41% | -3.73% | -1.75% |
| theme: Commodities / Materials | +3.70% | +2.63% | -3.85% |
| theme: Consumer / Retail | -1.36% | -1.98% | -1.00% |
| theme: Crypto / Digital Assets | -0.03% | +0.41% | +0.88% |
| theme: Cybersecurity | -3.36% | -3.58% | -1.80% |
| theme: Defense / Aerospace | +2.87% | +2.15% | -7.35% |
| theme: Energy Transition | +1.98% | +1.34% | -5.39% |
| theme: Financials / Credit | -1.37% | -2.15% | +0.20% |
| theme: Healthcare / Biotech | +0.78% | -0.92% | -0.82% |
| theme: Housing / Real Estate | -0.63% | -1.61% | -1.73% |
| theme: Industrial Automation | +1.13% | +0.41% | -3.86% |
| theme: Macro Rates / Inflation | +0.35% | -0.44% | -1.33% |
| theme: Oil & Gas | +1.27% | +0.95% | +0.91% |
| theme: Semiconductors | +2.46% | +2.05% | -9.31% |
| sector: Communication Services | -4.31% | -4.77% | -3.36% |
| sector: Consumer Discretionary | -1.78% | -2.81% | -2.68% |
| sector: Consumer Staples | -2.72% | -3.02% | -0.67% |
| sector: Energy | +2.63% | +2.80% | +9.85% |
| sector: Financials | -1.16% | -1.34% | +2.12% |
| sector: Health Care | +0.70% | -0.80% | +0.65% |
| sector: Industrials | +1.82% | +0.83% | -4.38% |
| sector: Information Technology | -0.67% | -0.42% | -7.44% |
| sector: Materials | +2.04% | +0.86% | -4.13% |
| sector: Real Estate | -1.49% | -2.29% | +1.20% |
| sector: Utilities | +2.18% | +1.66% | +0.91% |
| size: Large (>=5B) | -0.19% | -0.80% | -1.72% |
| size: Micro Cap $250M-$1B | +1.26% | -0.09% | -2.21% |
| size: Nano Cap <$250M | -1.05% | -3.71% | +14.18% |
| size: Small Cap $1B-$5B | -0.05% | -0.97% | -1.23% |
| style: Base Building / Coiled | -0.64% | -1.20% | -2.59% |
| style: Extended Overbought Momentum | +1.40% | +2.08% | +15.69% |
| style: High-Vol Breakdown | -0.52% | -1.28% | -11.06% |
| style: High-Vol Momentum | -1.00% | -2.13% | +3.64% |
| style: Low-Vol Uptrend | -0.34% | -0.96% | +2.22% |
| style: Momentum Breakout / Leadership | +0.36% | -0.34% | +10.15% |
| style: Neutral / Transition | +0.04% | -0.45% | -3.02% |
| style: Normal Vol/Trend | +0.54% | -0.00% | -1.78% |
| style: Oversold / Mean-Reversion Watch | -2.47% | -3.76% | -17.73% |
| style: Persistent Uptrend / Compounder | +0.63% | -0.16% | +2.47% |
| style: Weak Downtrend / Avoid Momentum | -1.74% | -2.48% | -4.37% |
Performance diverges sharply across timeframes. Energy (+39.89% YTD, +42.60% 1-year) has accelerated in the last month (+9.19%), while Health Care has sustained multi-year strength (+26.23% YTD, +68.58% 1-year). Communication Services, despite a -8.39% YTD, holds a +58.31% two-year return. Information Technology’s YTD gain of 35.02% masks a -7.44% quarter-to-date drawdown. These multi-horizon profiles reveal that current chop coexists with durable longer-term trends in several pockets.
Top Single-Stock Setups (4h–1 Week)
#1CROXConsumer Discretionary100
▲Momentum continuation4h–1 week
Thematic Momentum Leadership · factor score 7.8/10 (top quintile)
Leadership/uptrend with room — flow-confirmed
UptrendQ1RSI 631w +2.1%MACD+CMF+Force+
Last$136.20
RSI63
1wk+2.1%
ATR stop−5.1%
1-week return vs Thematic Momentum Leadership basket (n=88)
-11%+11%
#2TPLEnergy100
▲Momentum continuation4h–1 week
Thematic Momentum Leadership · factor score 7.1/10 (top quintile)
Leadership/uptrend with room — flow-confirmed
UptrendQ1RSI 611w +6.1%MACD+CMF+Force+
Last$433.10
RSI62
1wk+6.1%
ATR stop−6.0%
1-week return vs Thematic Momentum Leadership basket (n=88)
-11%+11%
#3OHIReal Estate100
▲Momentum continuation4h–1 week
Thematic Momentum Leadership · factor score 7.3/10 (top quintile)
Leadership/uptrend with room — flow-confirmed
UptrendQ1RSI 641w +5.5%MACD+CMF+Force+
Last$50.61
RSI64
1wk+5.5%
ATR stop−3.0%
1-week return vs Thematic Momentum Leadership basket (n=88)
-11%+11%
#4SJMConsumer Staples100
▲Momentum continuation4h–1 week
Thematic Momentum Leadership · factor score 7.7/10 (top quintile)
Leadership/uptrend with room — flow-confirmed
UptrendQ1RSI 621w +8.3%MACD+CMF+Force+
Last$118.05
RSI62
1wk+8.3%
ATR stop−4.1%
1-week return vs Thematic Momentum Leadership basket (n=88)
-11%+11%
#5SEICFinancials98
▲Momentum continuation4h–1 week
Thematic Momentum Leadership · factor score 7.4/10 (top quintile)
Leadership/uptrend with room — flow-confirmed
UptrendQ1RSI 641w +0.6%MACD+CMF+Force+
Last$98.75
RSI64
1wk+0.6%
ATR stop−3.4%
1-week return vs Thematic Momentum Leadership basket (n=88)
-11%+11%
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 | 2026-07-23T15:45:00-04:00 |
| warehouse_snapshot | 2026-07-23 |
| proxy_daily | 2026-07-22 |
| screener_artifact | 2026-07-22T20:54:46.778582-04:00 |
| 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 2026-07-23T16:01:43-04:00; every figure above is computed deterministically from report.json