Morning · market state
Constructive Rotationheld 0 td · typically ~5 td · ~5 td left · fresh · p(stay) 0.80
0td in — ~5td of typical dwell leftfresh
age 0tdtypical dwell ~5td
SPY -0.78% since prior close; Extended Momentum Risk leads (+0.57%), Smaller-Cap High-Beta Breakout lags (-0.53%).
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
-0.60%med
MDY -0.1%RSP -0.1%IJR -0.5%IWM -0.5%VTI -0.7%SPY -0.8%DIA -0.8%QQQ -1.1%
Rates & Creditduration + credit spread · 0/4 adv
-0.36%med
HYG -0.2%IEF -0.3%TLT -0.4%LQD -0.4%
Commodities & FXgold · oil · the dollar · 2/3 adv
+0.35%med
USO +5.8%UUP +0.3%GLD -1.9%
Globalint'l / EM equity · 1/5 adv
-0.54%med
FXI +0.6%EEM -0.1%EWJ -0.5%EFA -1.1%VGK -1.2%
SPY-0.8%rvol 1.9
QQQ-1.1%rvol 2.5
DIA-0.8%rvol 3.4
IWM-0.5%rvol 2.9
MDY-0.1%rvol 1.6
IJR-0.5%rvol 1.1
RSP-0.1%rvol 2.4
VTI-0.7%rvol 1.9
XLK-0.0%rvol 0.7
XLF-0.6%rvol 1.4
XLE+1.4%rvol 2.3
XLV+0.3%rvol 1.4
XLI+2.1%rvol 2.1
XLY-3.5%rvol 2.3
XLP-1.3%rvol 1.7
XLU-0.2%rvol 1.2
XLB-0.3%rvol 1.7
XLC-2.3%rvol 1.2
XLRE+0.1%rvol 2.2
MTUM+0.8%rvol 0.5
VLUE+0.7%rvol 0.3
QUAL-0.5%rvol 0.4
USMV-0.2%rvol 0.6
SPLV-0.2%rvol 1.5
SPHB+0.1%rvol 1.3
IWF-1.2%rvol 0.6
IWD-0.3%rvol 0.6
VUG-1.5%rvol 1.1
VTV+0.3%rvol 1.4
SMH-0.3%rvol 1.0
XBI-0.8%rvol 1.8
ITA+3.5%rvol 2.3
KRE-1.6%rvol 2.5
XHB-0.4%rvol 2.3
TAN-0.3%rvol 0.8
TLT-0.4%rvol 2.2
IEF-0.3%rvol 0.8
HYG-0.2%rvol 1.7
LQD-0.4%rvol 2.2
GLD-1.9%rvol 2.1
USO+5.8%rvol 5.8
UUP+0.3%rvol 0.9
EFA-1.1%rvol 1.1
EEM-0.1%rvol 1.1
VGK-1.2%rvol 1.0
EWJ-0.5%rvol 2.4
FXI+0.6%rvol 1.4
The morning session on July 23, 2026 sees a mixed open, with Energy (+0.92%) and Industrials (+0.86%) leading while Consumer Staples (-1.75%) and Discretionary (-1.33%) lag significantly. Gaps underscore risk aversion: Staples gapped -1.41%, Discretionary -1.29%. Breadth is thin, with advancing percentages below 16% in lagging sectors, and overall median relative volume (rvol) near 0.6–0.7. The regime transitioned to Constructive Rotation (confidence 0.8) from yesterday’s premarket Choppy Neutral, driven by rotation and style components; realized volatility sits at the 29.7th percentile of two-year history. Volume anomalies include DGX (rvol 14.59) and ACI (rvol 10.08) with extreme distribution volume.
SPY-0.78%gap -1.08% · open +0.30%
Best factor+0.57%Extended Momentum Risk
Worst factor-0.53%Smaller-Cap High-Beta Breakout
Breadth30%baskets +ve · A/D 400/596
Actionable Trading Ideas
High convictionregime:04 · n=194
Size the book to Constructive Rotation, don't chase it — the label reads forward volatility, not direction (persists ~5 td, p_stay 0.80).
Regime context — size to the state: Constructive Rotation
Constructive Rotation (composite 0.55, confidence 0.80)
InvalidationInvalidated on a confirmed regime transition (the two-run confirmation rule).
why / how
EvidenceThis regime historically persists ~5 td, p_stay 0.80. 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
Extended Momentum Risk+0.57%
21 names · 100% cov · rvol 0.71
move vs all baskets today
-1%med -0%+1%
+0.57%100ᵗʰ pctile
ID+0.6%
1D+0.6%
3D+2.3%
1W+4.9%
MTD+19.3%
1M+23.5%
3M+27.5%
YTD+59.3%
1Y+59.5%
2Y+56.5%
Institutional Large-Cap Accumulation+0.46%
34 names · 100% cov · rvol 0.84
move vs all baskets today
-1%med -0%+1%
+0.46%89ᵗʰ pctile
ID+0.5%
1D+0.5%
3D+1.6%
1W+0.9%
MTD+5.8%
1M+8.8%
3M+21.4%
YTD+29.2%
1Y+42.2%
2Y+60.6%
Neutral / Transition-0.04%
539 names · 100% cov · rvol 0.59
move vs all baskets today
-1%med -0%+1%
-0.04%78ᵗʰ pctile
ID-0.0%
1D-0.0%
3D+0.9%
1W-0.3%
MTD-2.6%
1M-0.2%
3M+6.5%
YTD+23.2%
1Y+39.5%
2Y+60.5%
Unclassified / Insufficient Data thin — n<10-0.06%
8 names · 100% cov · rvol 0.44
move vs all baskets today
-1%med -0%+1%
-0.06%67ᵗʰ pctile
ID-0.1%
1D-0.1%
3D-0.3%
1W-1.2%
MTD-6.3%
1M+0.0%
3M+7.2%
YTD+32.7%
Oversold / Mean-Reversion Watch-0.09%
24 names · 96% cov · rvol 0.93
move vs all baskets today
-1%med -0%+1%
-0.09%56ᵗʰ pctile
ID-0.1%
1D-0.1%
3D-1.8%
1W-6.8%
MTD-17.2%
1M-18.1%
3M-20.2%
YTD-10.3%
1Y+9.1%
2Y+77.2%
Broken Momentum / Avoid-0.31%
169 names · 100% cov · rvol 0.72
move vs all baskets today
-1%med -0%+1%
-0.31%44ᵗʰ pctile
ID-0.3%
1D-0.3%
3D-0.8%
1W-2.9%
MTD-3.5%
1M-3.3%
3M-17.0%
YTD-17.9%
1Y-14.3%
2Y+16.5%
Low-Vol Aligned Uptrend-0.37%
91 names · 99% cov · rvol 0.50
move vs all baskets today
-1%med -0%+1%
-0.37%33ᵗʰ pctile
ID-0.4%
1D-0.4%
3D-0.1%
1W-0.9%
MTD+2.5%
1M+4.0%
3M+6.4%
YTD+14.3%
1Y+17.8%
2Y+29.0%
Thematic Momentum Leadership-0.45%
88 names · 100% cov · rvol 0.57
move vs all baskets today
-1%med -0%+1%
-0.45%22ᵗʰ pctile
ID-0.5%
1D-0.5%
3D-0.1%
1W-0.8%
MTD+4.5%
1M+8.4%
3M+24.0%
YTD+31.0%
1Y+46.2%
2Y+62.2%
Smaller-Cap High-Beta Breakout-0.53%
30 names · 100% cov · rvol 0.58
move vs all baskets today
-1%med -0%+1%
-0.53%11ᵗʰ pctile
ID-0.5%
1D-0.5%
3D+0.0%
1W+0.6%
MTD+2.2%
1M+11.8%
3M+47.2%
YTD+75.6%
1Y+139.0%
2Y+150.4%
Factor performance this week reveals strong momentum and high-beta leadership: the momentum-vs-low-volatility spread gained 5.45%, and high-beta outperformed low-vol by 2.54%. Growth versus value was essentially flat at -0.39%, while credit factors added 0.63%. In production baskets, Extended Momentum Risk rose 0.57% intraday, and Institutional Large-Cap Accumulation advanced 0.46%, contrasting with broader market weakness. Thematic Momentum Leadership basket rvol median is 0.57, and only 4.8% of Extended Momentum members trade above 1.5x normal volume, suggesting measured participation.
Sector Rotation
Energy+0.92%
Industrials+0.86%
Information Technology+0.45%
Health Care+0.24%
Materials-0.01%
Real Estate-0.23%
Utilities-0.37%
Financials-0.78%
Communication Services-1.27%
Consumer Discretionary-1.33%
Consumer Staples-1.75%
Energy outperforms decisively intraday (+0.92%) with a gap up of 1.52% and breadth of 77.5% advancing, extending its week-to-date rally to +3.9%. Industrials follow (+0.86% intraday, 73.1% breadth) while Consumer Staples lags sharply (-1.75%) on only 10.6% advancing. Health Care ekes out a slight gain (+0.24%) with 37.3% breadth. Over the week, defensive sectors are under pressure: Staples wtd -2.35%, Discretionary -2.21%, Communication Services -3.36%. Financials decline -0.78% intraday with weak breadth (15.5%). The leadership flip and rotation are reflected in the Spearman wtd_vs_m1 rank correlation of 0.67, underscoring active sector rotation.
Themes and Keyword Baskets
Defense / Aerospace+0.5%1D
202 names · 79% cov
ID+1.0%WTD+2.5%MTD-7.0%YTD+26.5%
Semiconductors+0.3%1D
188 names · 89% cov
ID+0.4%WTD+3.0%MTD-8.5%YTD+54.1%
Commodities / Materials+0.2%1D
161 names · 75% cov
ID+0.4%WTD+2.9%MTD-3.6%YTD+10.5%
Industrial Automation+0.2%1D
494 names · 77% covaggregate only
ID+0.3%WTD+0.9%MTD-3.4%YTD+23.2%
AI Infrastructure+0.1%1D
838 names · 80% covaggregate only
ID+0.1%WTD+0.4%MTD-4.3%YTD+21.5%
Energy Transition+0.1%1D
240 names · 82% cov
ID+0.1%WTD+1.7%MTD-5.1%YTD+23.1%
Oil & Gas+0.1%1D
269 names · 85% cov
ID+0.1%WTD+1.3%MTD+1.2%YTD+21.4%
Healthcare / Biotech degraded+0.0%1D
673 names · 58% cov
ID+0.1%WTD-0.9%MTD-0.8%YTD+23.1%
Crypto / Digital Assets-0.0%1D
150 names · 69% covaggregate only
ID-0.0%WTD+1.1%MTD+1.6%YTD+14.1%
Cybersecurity-0.0%1D
94 names · 70% covaggregate only
ID-0.0%WTD-3.2%MTD-1.4%YTD+11.0%
Macro Rates / Inflation-0.1%1D
506 names · 77% covaggregate only
ID-0.3%WTD-0.1%MTD-0.9%YTD+15.5%
Cloud Software-0.2%1D
258 names · 79% covaggregate only
ID-0.3%WTD-3.0%MTD-1.1%YTD+11.4%
Housing / Real Estate-0.2%1D
439 names · 71% cov
ID-0.4%WTD-1.4%MTD-1.5%YTD+10.9%
Financials / Credit-0.4%1D
646 names · 63% cov
ID-0.8%WTD-2.1%MTD+0.3%YTD+11.5%
Consumer / Retail-0.5%1D
467 names · 75% cov
ID-0.9%WTD-1.5%MTD-0.6%YTD+7.5%
Defense/Aerospace leads themes intraday with a 0.99% gain and week-to-date performance of +2.52%, accompanied by 69.0% breadth and rvol median 0.65. Commodities/Materials and Semiconductors also post intraday advances of 0.41% and 0.39% respectively, with wtd returns above 2.9%. Conversely, Consumer/Retail is the weakest theme (-0.89% intraday, -1.54% wtd) alongside Financials/Credit (-0.79%, -2.07% wtd). Breadth in lagging themes is poor: Consumer/Retail at 22.7% advancing, Financials/Credit 21.8%. Relative volume medians are elevated in Consumer/Retail (0.73) and Semiconductors (0.79), indicating higher trading intensity amid the rotation.
Sigma Board
−3σ0+3σ
Momentum - LowVol w1spread · +5.45% · 252d · n=252+1.65σ
EqualWeight - CapWeight d1spread · +0.72% · 252d · n=252+1.42σ
Credit w1spread · +0.63% · 252d · n=252+1.26σ
Duration w1spread · -1.35% · 252d · n=252-1.06σ
Growth - Value d1spread · -0.94% · 252d · n=252-0.99σ
Credit d1spread · +0.21% · 60d · n=60+0.95σ
% above SMA200breadth · 66.57 · 60d · n=60+0.90σ
Semis - Market w1spread · +4.08% · 252d · n=252+0.85σ
The current volatility environment registers a realized volatility (20-day) at the 29.7th percentile of the trailing two-year window, indicating subdued risk. True range relative to 20-day ATR stands at 1.09x, and the intraday range as a proportion of the 20-day average range is 0.55, signaling a contained session. While the regime composite score dipped to 0.55, the volatility component remains at a maximum score of 1.0, confirming a low-volatility backdrop. Elevated volume outliers appear in specific names—DGX (rvol 14.59) on breakout and ACI (rvol 10.08) on distribution—but broad basket rvol medians are modest, with the Oversold basket at 0.93.
Factor × Sector Map
Low-Vol Aligned Uptrendn3
Health Care
+5.0%1D
ID+5.0%WTD+3.8%MTD+5.9%
Institutional Large-Cap Accumulationn8
Industrials
+3.0%1D
ID+3.0%WTD+3.6%MTD+9.3%
Broken Momentum / Avoidn32
Industrials
+1.7%1D
ID+1.7%WTD+1.4%MTD-5.5%
Thematic Momentum Leadershipn7
Energy
+1.6%1D
ID+1.6%WTD+6.3%MTD+15.0%
Extended Momentum Riskn8
Energy
+1.4%1D
ID+1.4%WTD+5.0%MTD+28.8%
Low-Vol Aligned Uptrendn14
Industrials
+0.7%1D
ID+0.8%WTD+0.8%MTD+1.8%
Neutral / Transitionn18
Energy
+0.7%1D
ID+0.7%WTD+3.5%MTD+5.4%
Neutral / Transitionn103
Information Technology
+0.7%1D
ID+0.7%WTD+3.5%MTD-7.8%
Neutral / Transitionn112
Industrials
+0.6%1D
ID+0.6%WTD+1.5%MTD-4.8%
Neutral / Transitionn22
Materials
+0.4%1D
ID+0.4%WTD+1.4%MTD-1.9%
Broken Momentum / Avoidn31
Information Technology
+0.3%1D
ID+0.3%WTD-1.4%MTD-2.6%
Smaller-Cap High-Beta Breakoutn6
Information Technology
+0.3%1D
ID+0.3%WTD-2.7%MTD+0.5%
Neutral / Transitionn52
Health Care
+0.3%1D
ID+0.3%WTD-1.9%MTD-0.6%
Broken Momentum / Avoidn14
Health Care
+0.2%1D
ID+0.2%WTD-2.5%MTD-2.6%
Institutional Large-Cap Accumulationn6
Information Technology
+0.2%1D
ID+0.2%WTD+2.2%MTD+5.7%
Neutral / Transitionn26
Real Estate
+0.1%1D
ID+0.1%WTD-1.6%MTD+0.1%
Thematic Momentum Leadershipn28
Health Care
+0.1%1D
ID+0.1%WTD-0.5%MTD+2.8%
Oversold / Mean-Reversion Watchn6
Industrials
+0.0%1D
ID+0.0%WTD-2.5%MTD-17.7%
Institutional Large-Cap Accumulationn7
Health Care
-0.1%1D
ID-0.1%WTD+0.3%MTD+2.1%
Unclassified / Insufficient Datan3
Information Technology
-0.1%1D
ID-0.1%WTD+0.1%MTD-6.0%
Oversold / Mean-Reversion Watchn6
Information Technology
-0.1%1D
ID-0.1%WTD-6.2%MTD-19.4%
Neutral / Transitionn21
Utilities
-0.1%1D
ID-0.1%WTD+1.6%MTD-0.6%
Oversold / Mean-Reversion Watchn3
Materials
-0.1%1D
ID-0.1%WTD+0.9%MTD-14.4%
Broken Momentum / Avoidn18
Financials
-0.2%1D
ID-0.2%WTD-1.9%MTD+1.3%
Smaller-Cap High-Beta Breakoutn17
Health Care
-0.3%1D
ID-0.3%WTD-0.7%MTD+1.7%
Broken Momentum / Avoidn10
Real Estate
-0.4%1D
ID-0.4%WTD-3.1%MTD-0.4%
Neutral / Transitionn66
Financials
-0.4%1D
ID-0.4%WTD-0.3%MTD+1.2%
Low-Vol Aligned Uptrendn16
Real Estate
-0.5%1D
ID-0.5%WTD-1.4%MTD+4.1%
Low-Vol Aligned Uptrendn20
Utilities
-0.5%1D
ID-0.5%WTD+0.4%MTD+2.5%
Smaller-Cap High-Beta Breakoutn5
Consumer Discretionary
-0.6%1D
ID-0.6%WTD-1.6%MTD+8.3%
Thematic Momentum Leadershipn12
Real Estate
-0.7%1D
ID-0.7%WTD-2.0%MTD+3.0%
Low-Vol Aligned Uptrendn4
Communication Services
-0.8%1D
ID-0.8%WTD-2.9%MTD+4.4%
Thematic Momentum Leadershipn9
Information Technology
-0.9%1D
ID-0.9%WTD-5.8%MTD+1.0%
Institutional Large-Cap Accumulationn10
Financials
-0.9%1D
ID-0.9%WTD-1.3%MTD+4.6%
Broken Momentum / Avoidn10
Materials
-1.1%1D
ID-1.1%WTD+2.1%MTD-3.8%
Thematic Momentum Leadershipn4
Consumer Discretionary
-1.2%1D
ID-1.2%WTD-1.4%MTD+6.4%
Neutral / Transitionn66
Consumer Discretionary
-1.2%1D
ID-1.2%WTD-1.4%MTD-1.5%
Low-Vol Aligned Uptrendn27
Financials
-1.2%1D
ID-1.2%WTD-2.1%MTD+1.9%
Broken Momentum / Avoidn14
Communication Services
-1.3%1D
ID-1.3%WTD-3.3%MTD-2.8%
Neutral / Transitionn23
Communication Services
-1.4%1D
ID-1.4%WTD-3.6%MTD-1.6%
Thematic Momentum Leadershipn3
Consumer Staples
-1.5%1D
ID-1.5%WTD+0.3%MTD+3.3%
Thematic Momentum Leadershipn22
Financials
-1.5%1D
ID-1.5%WTD-2.4%MTD+5.6%
Neutral / Transitionn30
Consumer Staples
-1.6%1D
ID-1.6%WTD-2.3%MTD-0.6%
Broken Momentum / Avoidn26
Consumer Discretionary
-2.0%1D
ID-2.0%WTD-4.4%MTD-7.2%
Broken Momentum / Avoidn10
Consumer Staples
-2.9%1D
ID-2.9%WTD-4.6%MTD-3.2%
Where each factor basket is working by sector — sorted by 1-day equal-weight return, ≥3 names per cell.
Regime Assessment
trend+0.25
breadth+0.30
volatility+1.00
rotation+0.90
size+0.00
style+1.25
p(stay 1d)0.80
p(persist 5d)0.31
expected dwell5.0 td
samplen=194
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 Constructive Rotation (composite 0.55, confidence 0.80), newly initiated today with an expected dwell of 5 days. It is driven primarily by low realized volatility (2-year percentile 29.7) and active sector rotation (Spearman wtd vs m1 0.67, leadership flip true). Trend and breadth scores remain subdued at 0.25 and 0.30, respectively, while style factors indicate momentum outperforming low volatility (mom_lowvol_w1 5.45). This regime historically precedes periods of elevated dispersion.
Size and Breadth
| Size bucket | N | Intraday | D1 | WTD | Breadth |
|---|
| Large (>=5B) | 1004 | -0.14% | -0.13% | -0.21% | 40.0% 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 |
|---|
| 59.2% | 66.6% | 400 | 596 | 29.8% |
Breadth is narrow with only 59% of members above their 50-day moving average and an advance-decline ratio of 0.67. Sector breadth is extreme: Consumer Staples at 10.6% advancers, Utilities 13.6%, Communication Services 14.0%. Meanwhile, the size factor shows small-cap underperformance over the month (small_large_m1 -2.13%) despite short-term bounces. This reinforces a concentrated leadership 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 | 0.72 | 18.9% |
| production | Extended Momentum Risk | 0.71 | 4.8% |
| production | Institutional Large-Cap Accumulation | 0.84 | 11.8% |
| production | Low-Vol Aligned Uptrend | 0.50 | 13.5% |
| production | Neutral / Transition | 0.59 | 14.3% |
| production | Oversold / Mean-Reversion Watch | 0.93 | 30.4% |
| production | Smaller-Cap High-Beta Breakout | 0.58 | 10.0% |
| production | Thematic Momentum Leadership | 0.57 | 10.2% |
| production | Unclassified / Insufficient Data | 0.44 | 0.0% |
| Ticker | Basket | RVol | Return | Note |
|---|
| DGX | Low-Vol Aligned Uptrend | 14.59 | +9.89% | breakout volume |
| ACI | Broken Momentum / Avoid | 10.08 | -18.32% | distribution volume |
| TMO | Neutral / Transition | 10.07 | +9.20% | breakout volume |
| MEDP | Neutral / Transition | 9.17 | +17.35% | breakout volume |
| LMT | Broken Momentum / Avoid | 8.93 | +11.20% | breakout volume |
Volume analysis shows elevated activity in the Oversold / Mean-Reversion Watch basket, with a median relative volume of 0.93 and 30.4% of members above 1.5x. Institutional Large-Cap Accumulation also registers high engagement (median rvol 0.84, 11.8% >1.5). Anomalies include DGX (rvol 14.59, breakout) and ACI (rvol 10.08, distribution). This points to concentrated volume supporting selective reversals and breakdowns.
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 | +0.00% | +0.31% | diverges |
| EPRT | -0.46% | -0.09% | diverges |
| CELH | +0.18% | +0.49% | confirms |
| CMCSA | -0.43% | -0.12% | diverges |
| SFM | -2.79% | -2.75% | diverges |
Opportunity screening highlights CELH (score 92.5, Wave 1 accumulation, regime fit 94.3) as the only top idea with intraday confirmation (+0.18% vs. basket). UEC (92.4) and EPRT (88.4) also screen highly but lack confirmatory price action. Top pattern setups include DKNG (short, donchian breakdown, score 73.49) and TGTX (long, bull flag, score 69.36), reflecting a balanced mix of long and short candidates amid rotational markets.
Multi-Horizon Context
| Basket | D3 | WTD | MTD |
|---|
| production: Broken Momentum / Avoid | -0.83% | -1.58% | -3.52% |
| production: Extended Momentum Risk | +2.32% | +2.69% | +19.28% |
| production: Institutional Large-Cap Accumulation | +1.64% | +1.02% | +5.75% |
| production: Low-Vol Aligned Uptrend | -0.14% | -0.66% | +2.51% |
| production: Neutral / Transition | +0.92% | +0.45% | -2.59% |
| production: Oversold / Mean-Reversion Watch | -1.79% | -3.09% | -17.18% |
| production: Smaller-Cap High-Beta Breakout | +0.03% | -1.52% | +2.23% |
| production: Thematic Momentum Leadership | -0.09% | -1.03% | +4.49% |
| production: Unclassified / Insufficient Data | -0.27% | -1.33% | -6.26% |
| theme: AI Infrastructure | +0.70% | +0.36% | -4.32% |
| theme: Cloud Software | -2.71% | -3.03% | -1.05% |
| theme: Commodities / Materials | +4.00% | +2.93% | -3.59% |
| theme: Consumer / Retail | -0.92% | -1.54% | -0.56% |
| theme: Crypto / Digital Assets | +0.67% | +1.13% | +1.55% |
| theme: Cybersecurity | -2.99% | -3.21% | -1.42% |
| theme: Defense / Aerospace | +3.25% | +2.52% | -7.03% |
| theme: Energy Transition | +2.36% | +1.72% | -5.06% |
| theme: Financials / Credit | -1.29% | -2.07% | +0.28% |
| theme: Healthcare / Biotech | +0.76% | -0.94% | -0.85% |
| theme: Housing / Real Estate | -0.40% | -1.38% | -1.51% |
| theme: Industrial Automation | +1.59% | +0.87% | -3.43% |
| theme: Macro Rates / Inflation | +0.75% | -0.05% | -0.95% |
| theme: Oil & Gas | +1.60% | +1.28% | +1.25% |
| theme: Semiconductors | +3.40% | +3.00% | -8.53% |
| sector: Communication Services | -2.89% | -3.36% | -1.93% |
| sector: Consumer Discretionary | -1.18% | -2.21% | -2.08% |
| sector: Consumer Staples | -2.05% | -2.35% | +0.04% |
| sector: Energy | +3.74% | +3.90% | +11.10% |
| sector: Financials | -1.08% | -1.25% | +2.20% |
| sector: Health Care | +0.27% | -1.22% | +0.22% |
| sector: Industrials | +2.38% | +1.39% | -3.86% |
| sector: Information Technology | +1.10% | +1.35% | -5.88% |
| sector: Materials | +2.88% | +1.69% | -3.32% |
| sector: Real Estate | -0.92% | -1.73% | +1.78% |
| sector: Utilities | +1.57% | +1.05% | +0.30% |
| size: Large (>=5B) | +0.40% | -0.21% | -1.16% |
| 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 | -0.09% | -0.65% | -2.06% |
| style: Extended Overbought Momentum | +2.03% | +2.73% | +16.35% |
| style: High-Vol Breakdown | +0.85% | +0.09% | -9.88% |
| style: High-Vol Momentum | -0.18% | -1.31% | +4.51% |
| style: Low-Vol Uptrend | -0.30% | -0.92% | +2.27% |
| style: Momentum Breakout / Leadership | +0.67% | -0.03% | +10.56% |
| style: Neutral / Transition | +0.64% | +0.15% | -2.47% |
| style: Normal Vol/Trend | +1.31% | +0.78% | -1.05% |
| style: Oversold / Mean-Reversion Watch | -1.79% | -3.09% | -17.18% |
| style: Persistent Uptrend / Compounder | +0.98% | +0.20% | +2.84% |
| style: Weak Downtrend / Avoid Momentum | -0.83% | -1.58% | -3.52% |
Multi-horizon performance reveals persistent Energy strength: +5.21% over the past week, +10.46% over one month, contributing to a 41.61% year-to-date return. In contrast, Health Care shows a near-term dip (-1.10% weekly) but robust medium-term momentum (+5.93% monthly, +25.72% ytd). Information Technology and Industrials exhibit mixed signals, with monthly declines (-2.29% and -0.04%) despite strong year-to-date gains. Consumer Staples and Discretionary register negative across most horizons, suggesting sustained underperformance.
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 | 2026-07-23T09:45:00-04:00 |
| 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 2026-07-23T10:01:57-04:00; every figure above is computed deterministically from report.json