BoltFactors — Advanced Data Pattern Mining

Wrap · market state

Choppy Neutral

BeganThu Jul 23 · premarket · 07:00 ETheld 0 td

Typical dwell~7.7 tdp(stay 1d) 0.87 · fresh

Implied through~Tue Aug 4~8 td left

When it breaks, historically →→ Constructive Rotation 52%→ Distribution Risk 29%→ Risk-Off Stress 10%→ Risk-On Trend 8%

3-day tape

month →

0td in — ~8td of typical dwell leftfresh

age 0tdtypical dwell ~8td

SPY -1.23% since prior close; Institutional Large-Cap Accumulation leads (+0.25%), Smaller-Cap High-Beta Breakout lags (-1.07%).

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

Intelligence Summary

Session

The session closed with a mixed tone under the Choppy Neutral regime (confidence 0.87). Sectors diverged: Health Care added 0.79%, Industrials gained 0.51%, while Communication Services sank 2.57%. Breadth skewed negative, with 401 advancers against 597 decliners.

Session Snapshot →

Factors

On the day, Institutional Large-Cap Accumulation posted a 0.25% gain, while Broken Momentum / Avoid dropped 0.92%. Oversold / Mean-Reversion Watch slipped 0.50%, and Neutral / Transition fell 0.41%. Extended Momentum Risk edged 0.40% lower. The breadth was narrow with 12.77% of baskets positive.

Closing Factor Performance →

Sectors

Sector performance was led by Health Care (+0.79%), Industrials (+0.51%), and Utilities (+0.31%). Communication Services lagged sharply at -2.57%, followed by Consumer Staples (-2.08%) and Consumer Discretionary (-1.57%). Breadth was weakest in Consumer Staples (6.38% advancers) and strongest in Utilities (77.27% advancers).

Sector Rotation →

Session Snapshot

CAC -0.25mixed

−risk-off0+risk-on

Equitiesbroad index tape · 0/8 adv

-0.81%med

MDY -0.3%RSP -0.4%IWM -0.6%IJR -0.6%DIA -1.0%VTI -1.1%SPY -1.2%QQQ -1.9%

Rates & Creditduration + credit spread · 1/12 adv

-0.34%med

JAAA +0.0%SHY -0.1%SRLN -0.2%IEF -0.3%VCIT -0.3%TLT -0.3%HYG -0.4%LQD -0.4%ANGL -0.4%FALN -0.5%VCLT -0.5%PFF -1.0%

Commodities & FXgold · oil · the dollar · 2/5 adv

-1.85%med

USO +5.9%UUP +0.4%IBIT -1.9%GLD -2.0%SLV -3.5%

Globalint'l / EM equity · 3/15 adv

-1.18%med

EWY +2.0%FLKR +1.9%FXI +0.1%FLCH -0.4%EEM -0.6%KWEB -0.6%VXUS -1.0%EWJ -1.2%EWZ -1.2%EFA -1.3%FLJP -1.3%EFV -1.3%FLIN -1.3%VGK -1.4%EWO -1.7%

US Benchmarks8

MDY-0.3%rvol 0.7

RSP-0.4%rvol 0.8

IWM-0.6%rvol 1.2

IJR-0.6%rvol 1.4

DIA-1.0%rvol 1.2

VTI-1.1%rvol 1.0

SPY-1.2%rvol 1.1

QQQ-1.9%rvol 1.1

Rates & Credit12

JAAA+0.0%rvol 0.8

SHY-0.1%rvol 1.0

SRLN-0.2%rvol 1.0

IEF-0.3%rvol 0.9

VCIT-0.3%rvol 1.1

TLT-0.3%rvol 1.3

HYG-0.4%rvol 1.8

LQD-0.4%rvol 1.2

ANGL-0.4%rvol 1.6

FALN-0.5%rvol 1.9

VCLT-0.5%rvol 0.6

PFF-1.0%rvol 1.2

Commodities & FX5

USO+5.9%rvol 2.0

UUP+0.4%rvol 0.8

IBIT-1.9%rvol 0.8

GLD-2.0%rvol 1.5

SLV-3.5%rvol 0.8

Global15EWY +2.0% · EWO -1.7%

EWY+2.0%rvol 0.8

FLKR+1.9%rvol 0.3

FXI+0.1%rvol 0.8

FLCH-0.4%rvol 0.2

EEM-0.6%rvol 0.6

KWEB-0.6%rvol 0.7

VXUS-1.0%rvol 0.8

EWJ-1.2%rvol 0.9

EWZ-1.2%rvol 0.9

EFA-1.3%rvol 1.1

FLJP-1.3%rvol 2.5

EFV-1.3%rvol 0.4

FLIN-1.3%rvol 0.3

VGK-1.4%rvol 1.5

EWO-1.7%rvol 1.7

Style & Factor11

VTV+0.2%rvol 0.7

SPLV+0.2%rvol 0.8

VLUE+0.1%rvol 0.3

MTUM-0.1%rvol 0.5

USMV-0.1%rvol 0.9

JEPI-0.4%rvol 1.4

IWD-0.5%rvol 0.5

QUAL-0.6%rvol 0.5

SPHB-0.9%rvol 0.6

IWF-1.9%rvol 0.6

VUG-2.2%rvol 0.7

Sectors11

XLI+1.7%rvol 1.3

XLV+1.3%rvol 0.6

XLU+0.6%rvol 0.7

XLE+0.3%rvol 1.2

XLRE-0.1%rvol 1.0

XLF-0.4%rvol 0.7

XLK-1.0%rvol 0.7

XLB-1.0%rvol 1.0

XLP-1.4%rvol 0.9

XLC-3.5%rvol 1.8

XLY-4.6%rvol 1.5

Industry Themes11ITA +3.1% · ARKK -2.9%

ITA+3.1%rvol 1.2

DRAM+0.9%rvol 0.7

XBI+0.1%rvol 0.7

XHB-0.2%rvol 0.9

KRE-0.6%rvol 1.3

SOXX-0.8%rvol 0.7

VGT-1.1%rvol 0.7

SMH-1.1%rvol 0.7

TAN-1.6%rvol 0.5

IGV-2.2%rvol 0.9

ARKK-2.9%rvol 1.1

Bellwether Singles22FCEL +3.7% · TSLA -14.5%

FCEL+3.7%rvol 0.8

SPCX+2.6%rvol 0.9

VST+1.3%rvol 0.6

NBIS+1.3%rvol 0.8

DUK+1.0%rvol 0.9

JPM+0.5%rvol 1.1

NEE+0.4%rvol 0.9

CEG+0.2%rvol 0.8

BE-0.4%rvol 0.6

BAC-0.6%rvol 0.8

CCJ-1.1%rvol 0.9

AAPL-1.3%rvol 0.6

FSLR-1.4%rvol 0.8

ENPH-1.7%rvol 0.8

CRWV-1.9%rvol 0.7

GS-2.1%rvol 0.9

MSFT-2.2%rvol 0.7

META-3.4%rvol 0.8

AMZN-4.6%rvol 0.9

ORCL-4.6%rvol 0.8

GOOGL-7.1%rvol 2.1

TSLA-14.5%rvol 3.0

VIX is not carried on the board (no tradeable-feed source); the Regime volatility component and Sigma Board carry the vol read.

SPY-1.23%gap -1.08% · open -0.16%

Best factor+0.25%Institutional Large-Cap Accumulation

Worst factor-1.07%Smaller-Cap High-Beta Breakout

Breadth13%baskets +ve · A/D 401/597

Actionable Trading Ideas

High convictionpb:gap_fade_dn1

LONGsame-day

Fade XLY's -3.1% down-gap into the close

Down-gap fade into the close

XLY gapped -3.1% at the open · 8 proxies gapped <= -1%

n=815win 56%avg +0.34%med +0.28%t=4.92021–26

LONG · same-day (open→close) · blocked in Risk-Off Stress, Distribution Risk

InvalidationInvalidated if the gap keeps trending down through ~10:30 ET on expanding volume (not in the backtest).

why / how

EvidenceBacktested edge: n=815, 56% winners, avg +0.34% / median +0.28% per same-day open->close, t=4.9, 2021-26; per-year sign 6/6. Population = current liquid cross-section (survivorship disclosed).

ExpressTop matches by signal: XLY, XLC, SMH, QQQ, KRE +3 more

FramingSmall positive-expectancy same-day mean-reversion — tiny edge, tight risk; the edge inverts in risk-off tape (blocked there).

method / provenance

v_market_proxy_daily (split-adj), dedup QUALIFY; signal = gap at t0 open (o/pc-1 <= -1%); fwd = same-day open->close; h=0 keeps every event; regime_block excludes risk-off tape; harness v1 2026-07-24; population = current-universe (survivorship disclosed); refit quarterly.

Stats are fixed-horizon, no-stop, from the quarterly-refit offline backtest; t is naive (per-name non-overlap only) — read it as a screen and weight the per-year sign consistency, not as proof of significance.

Closing Factor Performance

LeadingInstitutional Large-Cap Accumulation +0.2%Low-Vol Aligned Uptrend -0.2%Extended Momentum Risk -0.4%

LaggingSmaller-Cap High-Beta Breakout -1.1%Broken Momentum / Avoid -0.9%Thematic Momentum Leadership -0.6%

Top-to-bottom basket spread 1.3pp today · dispersion Styles z60 -1.3 (compressed), Sectors z60 -0.3 (typical) · flow confirms 2/3 leaders.

Institutional Large-Cap Accumulation+0.25%

34 names · 100% cov · rvol 0.84

move vs all baskets today

-1%med -0%+0%

+0.25%100ᵗʰ pctile

ID+0.2%

1D+0.2%

3D+1.4%

1W+0.7%

MTD+5.5%

1M+8.6%

3M+21.0%

YTD+28.7%

1Y+41.7%

2Y+59.9%

Unclassified / Insufficient Data thin — n<10-0.07%

8 names · 100% cov · rvol 0.64

move vs all baskets today

-1%med -0%+0%

-0.07%89ᵗʰ pctile

ID-0.1%

1D-0.1%

3D-0.3%

1W-1.3%

MTD-6.3%

1M-0.0%

3M+7.0%

YTD+32.7%

Low-Vol Aligned Uptrend-0.20%

91 names · 99% cov · rvol 0.94

move vs all baskets today

-1%med -0%+0%

-0.20%78ᵗʰ pctile

ID-0.2%

1D-0.2%

3D+0.0%

1W-0.7%

MTD+2.7%

1M+4.2%

3M+6.5%

YTD+14.5%

1Y+18.0%

2Y+29.2%

Extended Momentum Risk-0.40%

21 names · 100% cov · rvol 0.95

move vs all baskets today

-1%med -0%+0%

-0.40%67ᵗʰ pctile

ID-0.4%

1D-0.4%

3D+1.3%

1W+3.9%

MTD+18.1%

1M+22.2%

3M+26.1%

YTD+57.3%

1Y+57.5%

2Y+54.8%

Neutral / Transition-0.41%

539 names · 100% cov · rvol 0.86

move vs all baskets today

-1%med -0%+0%

-0.41%56ᵗʰ pctile

ID-0.4%

1D-0.4%

3D+0.5%

1W-0.7%

MTD-3.0%

1M-0.5%

3M+6.0%

YTD+22.6%

1Y+38.8%

2Y+59.9%

Oversold / Mean-Reversion Watch-0.50%

24 names · 96% cov · rvol 0.98

move vs all baskets today

-1%med -0%+0%

-0.50%44ᵗʰ pctile

ID-0.5%

1D-0.5%

3D-2.2%

1W-7.2%

MTD-17.5%

1M-18.4%

3M-20.5%

YTD-10.6%

1Y+8.6%

2Y+76.1%

Thematic Momentum Leadership-0.57%

88 names · 100% cov · rvol 0.92

move vs all baskets today

-1%med -0%+0%

-0.57%33ᵗʰ pctile

ID-0.6%

1D-0.6%

3D-0.2%

1W-0.9%

MTD+4.4%

1M+8.3%

3M+23.9%

YTD+30.9%

1Y+46.2%

2Y+62.1%

Broken Momentum / Avoid-0.92%

169 names · 100% cov · rvol 0.91

move vs all baskets today

-1%med -0%+0%

-0.92%22ᵗʰ pctile

ID-0.9%

1D-0.9%

3D-1.4%

1W-3.5%

MTD-4.1%

1M-3.9%

3M-17.4%

YTD-18.4%

1Y-14.7%

2Y+15.9%

Smaller-Cap High-Beta Breakout-1.07%

30 names · 100% cov · rvol 0.74

move vs all baskets today

-1%med -0%+0%

-1.07%11ᵗʰ pctile

ID-1.1%

1D-1.1%

3D-0.5%

1W+0.0%

MTD+1.7%

1M+11.2%

3M+46.3%

YTD+74.8%

1Y+137.7%

2Y+150.0%

Sector Rotation

Health Care+0.79%

Industrials+0.51%

Utilities+0.31%

Energy-0.16%

Materials-0.58%

Financials-0.67%

Real Estate-0.71%

Information Technology-0.86%

Consumer Discretionary-1.57%

Consumer Staples-2.08%

Communication Services-2.57%

Themes and Keyword Baskets

Housing / Real Estate+0.3%1D

439 names · 71% cov

ID+0.3%WTD-0.8%MTD-0.9%YTD+10.6%

Defense / Aerospace+0.1%1D

202 names · 79% cov

ID+0.1%WTD+2.0%MTD-7.4%YTD+26.0%

Healthcare / Biotech degraded-0.1%1D

673 names · 58% cov

ID-0.1%WTD-1.1%MTD-0.9%YTD+23.0%

AI Infrastructure-0.4%1D

838 names · 80% covaggregate only

ID-0.4%WTD-0.1%MTD-4.7%YTD+20.3%

Commodities / Materials-0.6%1D

161 names · 75% cov

ID-0.6%WTD+2.1%MTD-4.3%YTD+9.8%

Consumer / Retail-0.7%1D

467 names · 75% cov

ID-0.7%WTD-1.7%MTD-0.7%YTD+6.5%

Industrial Automation-0.8%1D

494 names · 77% covaggregate only

ID-0.8%WTD-0.1%MTD-4.3%YTD+21.9%

Financials / Credit-0.9%1D

646 names · 63% cov

ID-0.9%WTD-2.5%MTD-0.1%YTD+11.1%

Oil & Gas-0.9%1D

269 names · 85% cov

ID-0.9%WTD+0.3%MTD+0.3%YTD+20.2%

Energy Transition-1.1%1D

240 names · 82% cov

ID-1.1%WTD+0.5%MTD-6.1%YTD+21.8%

Semiconductors-1.1%1D

188 names · 89% cov

ID-1.1%WTD+1.6%MTD-9.7%YTD+51.8%

Cybersecurity-1.2%1D

94 names · 70% covaggregate only

ID-1.2%WTD-4.3%MTD-2.6%YTD+9.6%

Macro Rates / Inflation-1.3%1D

506 names · 77% covaggregate only

ID-1.3%WTD-1.2%MTD-2.0%YTD+14.2%

Cloud Software-1.4%1D

258 names · 79% covaggregate only

ID-1.4%WTD-4.2%MTD-2.3%YTD+9.7%

Crypto / Digital Assets-1.5%1D

150 names · 69% covaggregate only

ID-1.5%WTD-0.4%MTD+0.2%YTD+12.6%

The Housing / Real Estate theme gained 0.30%, while Crypto / Digital Assets declined 1.48%. Cloud Software and Cybersecurity also underperformed, down 1.40% and 1.23% respectively. Commodities / Materials advanced 3.13% over the prior three days, the best across themes.

Sigma Board

−3σ0+3σ

EqualWeight - CapWeight d1spread · +0.87% · 252d · n=252+1.70σ

Growth - Value d1spread · -1.39% · 252d · n=252-1.49σ

Momentum - LowVol w1spread · +4.53% · 252d · n=252+1.35σ

Broken Momentum / Avoid d1basket · -0.92% · 60d · n=36-1.16σ

Duration w1spread · -1.24% · 252d · n=252-0.96σ

Credit w1spread · +0.44% · 252d · n=252+0.87σ

Small - Large d1spread · +0.66% · 60d · n=60+0.84σ

% above SMA50breadth · 58.03 · 60d · n=60-0.77σ

% above SMA200breadth · 66.06 · 60d · n=60+0.77σ

Adv/Dec ratiobreadth · 0.67 · 60d · n=60-0.76σ

Semis - Market w1spread · +3.65% · 252d · n=252+0.73σ

HighBeta - LowVol d1spread · -1.12% · 252d · n=252-0.69σ

The regime board registers Choppy Neutral with a composite score of 0.39 and confidence 0.87. One-day persistence probability stands at 87%, with an expected regime dwell of 7.7 trading days. Component indicators show trend at 0.25, breadth at 0.30, volatility at 0.25, rotation at 1.4, size at -0.15, and style at 0.75.

Factor × Sector Map

Low-Vol Aligned Uptrendn3

Health Care

+4.0%1D

ID+4.0%WTD+2.7%MTD+4.8%

Institutional Large-Cap Accumulationn8

Industrials

+2.2%1D

ID+2.2%WTD+2.8%MTD+8.4%

Broken Momentum / Avoidn32

Industrials

+1.1%1D

ID+1.1%WTD+0.8%MTD-6.0%

Broken Momentum / Avoidn14

Health Care

+1.1%1D

ID+1.1%WTD-1.7%MTD-1.8%

Neutral / Transitionn52

Health Care

+1.0%1D

ID+1.0%WTD-1.2%MTD+0.1%

Thematic Momentum Leadershipn28

Health Care

+0.8%1D

ID+0.8%WTD+0.1%MTD+3.5%

Institutional Large-Cap Accumulationn7

Health Care

+0.7%1D

ID+0.7%WTD+1.0%MTD+2.9%

Thematic Momentum Leadershipn7

Energy

+0.7%1D

ID+0.7%WTD+5.4%MTD+14.0%

Neutral / Transitionn21

Utilities

+0.6%1D

ID+0.6%WTD+2.4%MTD+0.1%

Low-Vol Aligned Uptrendn14

Industrials

+0.5%1D

ID+0.5%WTD+0.5%MTD+1.6%

Neutral / Transitionn112

Industrials

+0.3%1D

ID+0.3%WTD+1.2%MTD-5.0%

Smaller-Cap High-Beta Breakoutn5

Consumer Discretionary

+0.3%1D

ID+0.3%WTD-0.8%MTD+9.2%

Neutral / Transitionn22

Materials

+0.1%1D

ID+0.1%WTD+1.0%MTD-2.3%

Low-Vol Aligned Uptrendn20

Utilities

+0.1%1D

ID+0.1%WTD+1.0%MTD+3.1%

Neutral / Transitionn26

Real Estate

-0.1%1D

ID-0.1%WTD-1.8%MTD-0.1%

Oversold / Mean-Reversion Watchn6

Industrials

-0.1%1D

ID-0.1%WTD-2.7%MTD-17.7%

Neutral / Transitionn66

Financials

-0.3%1D

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

Smaller-Cap High-Beta Breakoutn17

Health Care

-0.3%1D

ID-0.3%WTD-0.7%MTD+1.7%

Neutral / Transitionn18

Energy

-0.4%1D

ID-0.4%WTD+2.4%MTD+4.3%

Low-Vol Aligned Uptrendn27

Financials

-0.4%1D

ID-0.4%WTD-1.3%MTD+2.8%

Institutional Large-Cap Accumulationn10

Financials

-0.7%1D

ID-0.7%WTD-1.0%MTD+4.9%

Neutral / Transitionn103

Information Technology

-0.7%1D

ID-0.7%WTD+2.0%MTD-9.1%

Broken Momentum / Avoidn31

Information Technology

-0.9%1D

ID-0.9%WTD-2.7%MTD-3.6%

Extended Momentum Riskn8

Energy

-0.9%1D

ID-0.9%WTD+2.5%MTD+25.8%

Broken Momentum / Avoidn18

Financials

-1.0%1D

ID-1.0%WTD-2.7%MTD+0.5%

Oversold / Mean-Reversion Watchn6

Information Technology

-1.0%1D

ID-1.0%WTD-7.1%MTD-20.1%

Low-Vol Aligned Uptrendn16

Real Estate

-1.1%1D

ID-1.1%WTD-2.0%MTD+3.5%

Smaller-Cap High-Beta Breakoutn6

Information Technology

-1.2%1D

ID-1.2%WTD-4.1%MTD-1.0%

Institutional Large-Cap Accumulationn6

Information Technology

-1.3%1D

ID-1.3%WTD+0.7%MTD+4.2%

Broken Momentum / Avoidn10

Real Estate

-1.3%1D

ID-1.3%WTD-4.0%MTD-1.3%

Thematic Momentum Leadershipn12

Real Estate

-1.3%1D

ID-1.3%WTD-2.6%MTD+2.3%

Oversold / Mean-Reversion Watchn3

Materials

-1.6%1D

ID-1.6%WTD-0.5%MTD-15.6%

Unclassified / Insufficient Datan3

Information Technology

-1.6%1D

ID-1.6%WTD-1.4%MTD-7.5%

Thematic Momentum Leadershipn9

Information Technology

-1.6%1D

ID-1.6%WTD-6.5%MTD+0.3%

Neutral / Transitionn30

Consumer Staples

-1.7%1D

ID-1.7%WTD-2.4%MTD-0.7%

Neutral / Transitionn66

Consumer Discretionary

-1.7%1D

ID-1.7%WTD-1.9%MTD-2.0%

Thematic Momentum Leadershipn22

Financials

-1.7%1D

ID-1.7%WTD-2.6%MTD+5.3%

Thematic Momentum Leadershipn3

Consumer Staples

-1.8%1D

ID-1.8%WTD-0.0%MTD+3.0%

Broken Momentum / Avoidn26

Consumer Discretionary

-1.9%1D

ID-1.9%WTD-4.3%MTD-7.0%

Broken Momentum / Avoidn10

Materials

-1.9%1D

ID-1.9%WTD+1.3%MTD-4.6%

Low-Vol Aligned Uptrendn4

Communication Services

-2.1%1D

ID-2.1%WTD-4.1%MTD+3.0%

Thematic Momentum Leadershipn4

Consumer Discretionary

-2.3%1D

ID-2.3%WTD-2.5%MTD+5.3%

Neutral / Transitionn23

Communication Services

-2.4%1D

ID-2.4%WTD-4.6%MTD-2.6%

Broken Momentum / Avoidn14

Communication Services

-3.1%1D

ID-3.1%WTD-5.1%MTD-4.6%

Broken Momentum / Avoidn10

Consumer Staples

-3.5%1D

ID-3.5%WTD-5.2%MTD-3.8%

Where each factor basket is working by sector — sorted by 1-day equal-weight return, ≥3 names per cell.

Regime Assessment

12 days · 52 runs · 6 published flips · raw≠published on 7 runs · raw label unavailable before Jul 10

Risk-Off Stress

Distribution Risk

Choppy Neutral

Constructive Rotation

Risk-On Trend

-0.70-0.15+0.55+0.90

Jul 8Jul 10Jul 14Jul 16Jul 20Jul 22

8 expected runs missing in window

Choppy NeutralConstructive RotationChoppy Neutral

published label · 2-run confirmation applied

Composite vs label bands, trailing month, all 5 editions/day. Ring = raw label disagreed with the published (confirmation-lag pressure). Y clamped to ±1.3.

trend+0.25

breadth+0.30

volatility+0.25

rotation+1.40

size-0.15

style+0.75

p(stay 1d)0.87

p(persist 5d)0.55

expected dwell7.7 td

samplen=506

Labels are monotone in forward VOLATILITY, not direction — size positions to the risk state, don't chase the label. Transition is empirical; a label change needs two-run confirmation.

The regime classification stands at Choppy Neutral with a confidence of 0.87 and a composite score of 0.39, having just initiated on July 23. This state's empirical expected dwell is 7.7 trading days, and the fresh posture implies an implied exit date around August 4. Historically, Choppy Neutral precedes elevated realized volatility and drawdown frequency; exit probabilities show a 52.5% transition to Constructive Rotation, while 28.8% move toward Distribution Risk. The current composite sits at the lower boundary of the Choppy Neutral band, with components flagging rotation (1.4) and negative size momentum (-0.15) as key drivers.

What Worked Today

Basket	Side	Ticker	Return	Weight
Institutional Large-Cap Accumulation	top	RTX	+7.33%	0.02
Institutional Large-Cap Accumulation	top	JNJ	+1.42%	0.05
Institutional Large-Cap Accumulation	top	MRK	+2.36%	0.03
Institutional Large-Cap Accumulation	bottom	AAPL	-1.30%	0.35
Institutional Large-Cap Accumulation	bottom	AMD	-2.29%	0.07
Institutional Large-Cap Accumulation	bottom	UNH	-1.80%	0.03
Unclassified / Insufficient Data	top	MDLN	+1.21%	0.16
Unclassified / Insufficient Data	top	MRSH	+0.23%	0.41
Unclassified / Insufficient Data	top	P	+0.82%	0.11
Unclassified / Insufficient Data	bottom	NAVN	-5.56%	0.03
Unclassified / Insufficient Data	bottom	Q	-0.06%	0.17
Unclassified / Insufficient Data	bottom	BLLN	-0.23%	0.03
Smaller-Cap High-Beta Breakout	top	RVMD	+3.13%	0.11
Smaller-Cap High-Beta Breakout	top	CORT	+6.36%	0.03
Smaller-Cap High-Beta Breakout	top	LQDA	+2.29%	0.02
Smaller-Cap High-Beta Breakout	bottom	MOH	-9.67%	0.03
Smaller-Cap High-Beta Breakout	bottom	XMTR	-12.12%	0.01
Smaller-Cap High-Beta Breakout	bottom	SEZL	-8.74%	0.02

Week-to-date, Extended Momentum Risk rose 1.69%, while Broken Momentum / Avoid declined 2.20%. Oversold / Mean-Reversion Watch fell 3.50%, continuing its month-to-date drawdown of 17.50%. Conversely, Institutional Large-Cap Accumulation managed a 0.81% advance for the week.

Size and Breadth

Size bucket	N	Intraday	D1	WTD	Breadth
Large (>=5B)	1004	-0.49%	-0.49%	-0.58%	40.1% adv
Micro Cap $250M-$1B	201	-1.25%	-1.25%	-1.29%	29.3% adv
Nano Cap <$250M	15	-0.25%	-0.25%	-3.85%	33.3% adv
Small Cap $1B-$5B	807	-1.01%	-1.01%	-1.97%	29.4% adv

% > SMA50	% > SMA200	Advancers	Decliners	% Baskets Positive
58.0%	66.1%	401	597	12.8%

Large caps (>=5B) fell 0.49%, small caps ($1B–$5B) lost 1.01%, micro caps ($250M–$1B) dropped 1.25%, and nano caps (<$250M) slipped 0.25%. Market breadth registered 401 advancers versus 597 decliners, with 58.03% of names above the 50-day moving average and 66.06% above the 200-day.

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	0.91	13.6%
production	Extended Momentum Risk	0.95	9.5%
production	Institutional Large-Cap Accumulation	0.84	14.7%
production	Low-Vol Aligned Uptrend	0.94	14.6%
production	Neutral / Transition	0.86	11.5%
production	Oversold / Mean-Reversion Watch	0.98	13.0%
production	Smaller-Cap High-Beta Breakout	0.74	6.7%
production	Thematic Momentum Leadership	0.92	8.0%
production	Unclassified / Insufficient Data	0.64	0.0%

Ticker	Basket	RVol	Return	Note
KRYS	Neutral / Transition	12.31	-2.76%	distribution volume
ACI	Broken Momentum / Avoid	7.25	-21.64%	distribution volume
DGX	Low-Vol Aligned Uptrend	4.21	+8.61%	breakout volume
DOV	Neutral / Transition	3.98	-7.80%	distribution volume
ROL	Broken Momentum / Avoid	3.69	-9.27%	distribution volume

Volume behavior remained in line with the Choppy Neutral regime. Relative volume medians ranged from 0.74 (Smaller-Cap High-Beta Breakout) to 0.98 (Oversold / Mean-Reversion Watch). Anomalies included KRYS with rvol 12.31 on distribution volume, and ACI with rvol 7.25 on distribution volume and a 21.64% decline. Breakout volume appeared in DGX (rvol 4.21, +8.61%).

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
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	89.5	Wave 1 / accumulation	92.4
CMCSA	Communication Services	89.9	Wave 1 / accumulation	92.0
MP	Materials	86.9	Wave 1 / accumulation	91.0
TEM	Health Care	85.4	Wave 1 / accumulation	88.3
QXO	Industrials	87.0	Wave 1 / accumulation	87.9

Ticker	Since close	Vs basket	Read
UEC	+1.03%	+1.95%	confirms
CMCSA	-6.80%	-6.30%	diverges
MP	-2.25%	-1.75%	diverges
TEM	-2.02%	-1.10%	diverges
QXO	-0.14%	+0.78%	diverges

Screened opportunities show UEC (Energy) leading with an opportunity score of 89.5 and a 92.4 regime fit while classified under Broken Momentum / Avoid; intraday confirmation at 1.03% versus its basket's 1.95% supports the signal. CMCSA (Communication Services) posts an 89.9 score but fails intraday confirmation, declining 6.80% against a basket loss of 6.30%. MP (Materials, 86.9), TEM (Health Care, 85.4), and QXO (Industrials, 87.0) similarly lack confirmation, all exhibiting weaker price action relative to their reference baskets. These names collectively favor early accumulation wave stages but demand confirmation discipline in the current choppy environment.

3D Summary

Side	Dimension	Basket	Return
best	theme	Commodities / Materials	+3.13%
best	theme	Defense / Aerospace	+2.77%
best	sector	Energy	+2.63%
worst	sector	Communication Services	-4.16%
worst	theme	Cybersecurity	-4.13%
worst	theme	Cloud Software	-3.91%

Spread	Move
Momentum - LowVol	+4.15%
HighBeta - LowVol	+1.62%
Growth - Value	-0.42%
Small - Large	+0.45%
EqualWeight - CapWeight	+0.29%
Credit	+0.27%
Duration	-0.86%
Semis - Market	+4.35%
Momentum Leadership - Broken Momentum	+2.87%
Quality - Extended Risk	-1.31%

Breadth trend: deteriorating.

Date	Mode	Regime	Composite	Top basket	Bottom basket	SPY D1
2026-07-21	wrap	Choppy Neutral	0.4	Oversold / Mean-Reversion Watch	Institutional Large-Cap Accumulation	+0.83%
2026-07-22	wrap	Choppy Neutral	0.2	Broken Momentum / Avoid	Unclassified / Insufficient Data	-0.12%

Over the past three sessions, the Commodities / Materials theme led with a 3.13% gain, followed closely by Defense / Aerospace at 2.77% and the Energy sector at 2.63%. On the downside, Communication Services sank 4.16%, Cybersecurity lost 4.13%, and Cloud Software shed 3.91%. Spread moves reinforced the risk-on tilt, with Semis - Market surging 4.35% and Momentum - LowVol advancing 4.15%, while Quality - Extended Risk contracted 1.31%. Breadth trend deteriorated, as the top-to-bottom basket path shifted from Oversold Mean-Reversion earlier in the week to Broken Momentum / Avoid by July 22.

WTD Summary

Side	Dimension	Basket	Return
best	sector	Energy	+2.79%
best	theme	Commodities / Materials	+2.08%
best	theme	Defense / Aerospace	+2.05%
worst	sector	Communication Services	-4.62%
worst	theme	Cybersecurity	-4.34%
worst	theme	Cloud Software	-4.22%

Spread	Move
Momentum - LowVol	+4.44%
HighBeta - LowVol	+2.01%
Growth - Value	+0.08%
Small - Large	+0.02%
EqualWeight - CapWeight	+0.01%
Credit	+0.68%
Duration	-1.60%
Semis - Market	+4.94%
Momentum Leadership - Broken Momentum	+3.01%
Quality - Extended Risk	-2.18%

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%
2026-07-22	wrap	Choppy Neutral	0.2	Broken Momentum / Avoid	Unclassified / Insufficient Data	-0.12%

Week-to-date performance is dominated by Energy's 2.79% advance, alongside Commodities / Materials (+2.08%) and Defense / Aerospace (+2.05%). Communication Services remain the weakest link with a 4.62% decline, joined by Cybersecurity (-4.34%) and Cloud Software (-4.22%). Spread behavior amplifies momentum's leadership: Semis - Market gained 4.94%, Momentum - LowVol rose 4.44%, and Credit widened by 0.68%. Meanwhile, Quality - Extended Risk fell 2.18%. The path improved during the week, with the composite rising from 0.2725 to 0.425 before a pullback to 0.155, though breadth improved overall.

MTD Summary

Side	Dimension	Basket	Return
best	production	Extended Momentum Risk	+18.06%
best	size	Nano Cap <$250M	+13.95%
best	style	Momentum Breakout / Leadership	+10.40%
worst	style	Oversold / Mean-Reversion Watch	-17.50%
worst	production	Oversold / Mean-Reversion Watch	-17.50%
worst	style	High-Vol Breakdown	-10.78%

Spread	Move
Momentum - LowVol	-8.05%
HighBeta - LowVol	-9.79%
Growth - Value	-6.04%
Small - Large	-1.63%
EqualWeight - CapWeight	+0.75%
Credit	+1.65%
Duration	-3.76%
Semis - Market	-10.39%
Momentum Leadership - Broken Momentum	+9.63%
Quality - Extended Risk	-15.39%

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%
2026-07-22	wrap	Choppy Neutral	0.2	Broken Momentum / Avoid	Unclassified / Insufficient Data	-0.12%

Month-to-date, Extended Momentum Risk leads with an 18.06% surge, followed by Nano Cap <$250M at 13.95% and Momentum Breakout / Leadership at 10.40%. The worst performers are Oversold / Mean-Reversion Watch (-17.50%) and High-Vol Breakdown (-10.78%). Spreads reflect strong factor rotation: Quality - Extended Risk plummeted 15.39%, HighBeta - LowVol slid 9.79%, and Semis - Market dropped 10.39%. Credit widened by 1.65%, while EqualWeight - CapWeight gained 0.75%. The regime oscillated between Constructive Rotation and Choppy Neutral, with breadth consistently deteriorating over the period.

Structural View (QTD YTD 1Y 2Y)

Basket	QTD	YTD	1Y	2Y
production: Broken Momentum / Avoid	-4.10%	-18.41%	-14.74%	+15.92%
production: Extended Momentum Risk	+18.06%	+57.33%	+57.46%	+54.79%
production: Institutional Large-Cap Accumulation	+5.53%	+28.72%	+41.69%	+59.93%
production: Low-Vol Aligned Uptrend	+2.67%	+14.50%	+18.01%	+29.24%
production: Neutral / Transition	-2.96%	+22.61%	+38.77%	+59.93%
production: Oversold / Mean-Reversion Watch	-17.50%	-10.58%	+8.60%	+76.06%
production: Smaller-Cap High-Beta Breakout	+1.72%	+74.75%	+137.66%	+150.04%
production: Thematic Momentum Leadership	+4.36%	+30.87%	+46.22%	+62.10%
production: Unclassified / Insufficient Data	-6.27%	+32.69%	n/a	n/a
theme: AI Infrastructure	-4.70%	+20.33%	+35.10%	+57.83%
theme: Cloud Software	-2.28%	+9.69%	+10.26%	+31.95%
theme: Commodities / Materials	-4.33%	+9.79%	+33.99%	+49.00%
theme: Consumer / Retail	-0.65%	+6.46%	+5.73%	+17.14%
theme: Crypto / Digital Assets	+0.24%	+12.63%	+21.12%	+44.94%
theme: Cybersecurity	-2.63%	+9.60%	+6.04%	+34.88%
theme: Defense / Aerospace	-7.43%	+25.96%	+55.75%	+109.56%
theme: Energy Transition	-6.08%	+21.79%	+35.21%	+47.65%
theme: Financials / Credit	-0.14%	+11.05%	+15.69%	+28.68%
theme: Healthcare / Biotech	-0.94%	+22.99%	+67.59%	+61.04%
theme: Housing / Real Estate	-0.86%	+10.62%	+12.32%	+18.05%
theme: Industrial Automation	-4.32%	+21.92%	+37.83%	+54.88%
theme: Macro Rates / Inflation	-2.02%	+14.19%	+22.16%	+34.19%
theme: Oil & Gas	+0.35%	+20.16%	+28.92%	+36.78%
theme: Semiconductors	-9.69%	+51.83%	+78.88%	+88.96%
sector: Communication Services	-3.21%	-8.27%	+8.85%	+58.60%
sector: Consumer Discretionary	-2.33%	+4.48%	+6.46%	+23.45%
sector: Consumer Staples	-0.32%	+5.03%	-1.43%	+5.51%
sector: Energy	+9.84%	+39.87%	+42.58%	+37.20%
sector: Financials	+2.30%	+8.43%	+13.55%	+42.90%
sector: Health Care	+0.77%	+26.34%	+68.66%	+65.84%
sector: Industrials	-4.20%	+19.56%	+32.99%	+66.28%
sector: Information Technology	-7.08%	+35.62%	+61.55%	+92.41%
sector: Materials	-3.90%	+13.21%	+23.55%	+37.24%
sector: Real Estate	+1.29%	+10.88%	+9.50%	+17.24%
sector: Utilities	+0.99%	+8.27%	+10.80%	+47.17%
size: Large (>=5B)	-1.50%	+17.44%	+31.33%	+52.87%
size: Micro Cap $250M-$1B	-3.39%	+12.48%	+33.04%	+34.15%
size: Nano Cap <$250M	+13.95%	+35.62%	+12.53%	-12.54%
size: Small Cap $1B-$5B	-2.22%	+18.50%	+34.96%	+40.22%
style: Base Building / Coiled	-2.38%	+15.34%	+26.11%	+43.83%
style: Extended Overbought Momentum	+15.99%	+47.49%	+77.32%	+71.62%
style: High-Vol Breakdown	-10.78%	-22.00%	-9.11%	+68.72%
style: High-Vol Momentum	+3.67%	+77.78%	+121.61%	+143.82%
style: Low-Vol Uptrend	+2.41%	+15.60%	+18.45%	+31.54%
style: Momentum Breakout / Leadership	+10.40%	+40.33%	+53.43%	+61.99%
style: Neutral / Transition	-2.81%	+23.09%	+38.73%	+59.79%
style: Normal Vol/Trend	-1.54%	+23.11%	+44.39%	+62.59%
style: Oversold / Mean-Reversion Watch	-17.50%	-10.58%	+8.60%	+76.06%
style: Persistent Uptrend / Compounder	+2.62%	+28.38%	+45.32%	+58.12%
style: Weak Downtrend / Avoid Momentum	-4.10%	-18.41%	-14.74%	+15.92%

Year-to-date structural outperformance resides in High-Vol Momentum (+77.78%), Smaller-Cap High-Beta Breakout (+74.75%), and Extended Momentum Risk (+57.33%). Underperformance is concentrated in High-Vol Breakdown (-22.00%), Weak Downtrend (-18.41%), and Broken Momentum / Avoid (-18.41%). Over the trailing one-year horizon, Smaller-Cap High-Beta Breakout leads at 137.66%, with High-Vol Momentum at 121.61% and Semiconductors at 78.88%. Two-year returns solidify this hierarchy: Smaller-Cap High-Beta Breakout returned 150.04%, High-Vol Momentum 143.82%, and Defense / Aerospace 109.56%, while Nano Cap <$250M posted -12.54%.

Chart Pattern and Wave Census

Breakouts	Breakdowns	Oversold
69	32	24

Setup type	Count
donchian_breakdown	8
bear_flag	8
double_top	8
tight_base	8
bull_flag	8
double_bottom	8
head_shoulders	8
donchian_breakout	8
gap_up_unfilled	4

Ticker	Pattern	Direction	Score
OKLO	bear_flag	short	76.7
BLDR	head_shoulders	short	75.4
RGTI	bear_flag	short	74.5
ASTS	bear_flag	short	69.1
FTDR	double_bottom	long	68.7
LW	donchian_breakout	long	66.5
ACIW	bull_flag	long	64.4
TMHC	tight_base	long	62.2
CWAN	donchian_breakout	long	59.0
CWEN	double_top	short	56.2

Ticker	From stage	To stage
WSC	pullback	markup
PFE	accumulation	pullback
CNC	pullback	markup
LAUR	pullback	breakout
HIMS	pullback	markup
AFRM	pullback	markup
LINE	pullback	markup
CLF	accumulation	markup
STWD	mixed	accumulation
VNO	mixed	markup
AES	mixed	pullback
VIRT	mixed	markup
OSCR	mixed	markup
FLR	mixed	markup
DBX	mixed	pullback

The pattern census reveals 69 breakouts versus 32 breakdowns, with oversold conditions flagged on 24 names. Bear flags dominate the top setups: OKLO (bear flag, short, 76.72), RGTI (bear flag, short, 74.48), and ASTS (bear flag, short, 69.12). BLDR triggers a head-and-shoulders short at 75.44. Long setups include FTDR (double bottom, 68.74), LW (donchian breakout, 66.52), and ACIW (bull flag, 64.36). Notable stage transitions include WSC moving from pullback to markup and multiple mixed-to-markup shifts (AFRM, LINE, CLF), signaling nascent rotation within the choppy regime.

Tomorrow Setup

Spread	Legs	Intraday	D1	WTD	MTD
Momentum - LowVol	MTUM − USMV	+0.06%	+0.06%	+4.44%	-8.05%
HighBeta - LowVol	SPHB − SPLV	-1.12%	-1.12%	+2.01%	-9.79%
Growth - Value	IWF − IWD	-1.39%	-1.39%	+0.08%	-6.04%
Small - Large	IWM − SPY	+0.66%	+0.66%	+0.02%	-1.63%
EqualWeight - CapWeight	RSP − SPY	+0.87%	+0.87%	+0.01%	+0.75%
Credit	HYG − LQD	+0.02%	+0.02%	+0.68%	+1.65%
Duration	TLT	-0.32%	-0.32%	-1.60%	-3.76%
Semis - Market	SMH − SPY	+0.09%	+0.09%	+4.94%	-10.39%
Momentum Leadership - Broken Momentum	Institutional Large-Cap Accumulation − Broken Momentum / Avoid	+1.17%	+1.17%	+3.01%	+9.63%
Quality - Extended Risk	Low-Vol Aligned Uptrend − Extended Momentum Risk	+0.20%	+0.20%	-2.18%	-15.39%

The regime remains Choppy Neutral with a composite of 0.39 and a fresh posture, indicating early-cycle uncertainty and elevated two-way risk. Top opportunity UEC (Energy, 89.5 score, 92.4 regime fit) confirmed intraday, advancing 1.03% versus its basket's 1.95%. CMCSA (89.9) broke down 6.80% intraday, invalidating its signal, while MP, TEM, and QXO all failed to confirm. The setup favors Energy and select accumulation plays, but broad failure of confirmation across other names underscores the importance of intraday validation. Extended Momentum Risk and Smaller-Cap High-Beta Breakout remain structural leaders, though near-term momentum is fading.

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	2026-07-23T19:45:00-04:00
warehouse_snapshot	2026-07-23
proxy_daily	2026-07-22
screener_artifact	2026-07-23T20:52:06.717792-04:00
grouped_daily	2026-07-23

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 2026-07-24T02:49:41-04:00; every figure above is computed deterministically from report.json