Housing / Real Estate+0.7%1D
439 names · 70% cov
ID+1.3%WTD-0.1%MTD-0.1%YTD+11.2%
Close · market state
Choppy Neutral
BeganThu Jul 23 · premarket · 07:00 ETheld 1 td
Typical dwell~7.7 tdp(stay 1d) 0.87 · fresh
Implied through~Tue Aug 4~7 td left
When it breaks, historically →→ Constructive Rotation 52%→ Distribution Risk 29%→ Risk-Off Stress 10%→ Risk-On Trend 8%
1td in — ~7td of typical dwell leftfresh
age 1tdtypical dwell ~8td
SPY -0.04% since prior close; Thematic Momentum Leadership leads (+0.84%), Smaller-Cap High-Beta Breakout lags (-0.89%).
Risk-STATE gauge — monotone in forward volatility, not direction. Size to the state; don't chase the label.
Regime Tilts — What Moves With This Tape
Today's tape tracks this regime's historical tilt on 2/4 cells · biggest divergence: SMH -3.6% rel vs a +12bp/d historical tilt.
Relative to SPY, bp/day with hit rates; n≈506 days per cell · empirical rel-SPY tilts, 2021-07-26..2026-07-22, labels=v1.1+2-run, min-n 60, refit annually. Same-day = state description; next-day = tradeable lean (reversion-flavored at the extremes).
Intelligence Summary
Session
The Choppy Neutral regime that began on July 23 remains in place at the close, with a composite score of 0.41 and 87% confidence. The session closed with 65.4% of large-cap names advancing, and 62.89% of all stocks above their 50-day SMA. Realized volatility is at the 35.5th percentile of its two-year range. Fresh at just 1 day old, this regime has an expected dwell of 7.7 days and historically precedes elevated near-term turbulence. The implied exit is around August 4.
Factors
Production factor baskets diverged sharply. Thematic Momentum Leadership rose 0.84% with 72.73% breadth, and Low-Vol Aligned Uptrend added 0.76% on 81.48% advancing breadth. In contrast, Smaller-Cap High-Beta Breakout sank 0.89%, the worst performer, with only 40% of constituents advancing. Broken Momentum/Avoid rebounded 0.68%, though its week-to-date loss is 1.48%. Extended Momentum Risk eked out 0.37% but remains the strongest factor month-to-date at 16.0%. The session favored quality and low-vol over high-beta and small-cap momentum.
Sectors
Sector rotation was erratic. Real Estate surged 1.62% intraday, with 93.94% of names advancing, and Consumer Discretionary jumped 1.46%. Energy fell 0.34% but holds a 2.35% gain week-to-date, while Information Technology dropped 0.87%, extending its month-to-date loss to 7.04%. Communication Services added 1.05% yet is down 2.63% over three days. Defensive Staples gained 1.04% but have a flat week. Leadership remains volatile, with no clear directional conviction amid the choppy backdrop.
Connections
- Momentum - LowVol d1 is stretched at -2.3σ — mean-reversion pressure. Sigma Board →
- Semis - Market d1 is stretched at -2.2σ — mean-reversion pressure. Sigma Board →
- Sharpest cell: Neutral / Transition × Real Estate +2.0% (n25) vs Oversold / Mean-Reversion Watch × Materials -3.7% (n3) — long/short the spread, not the index. Factor × Sector →
- Rotation spread: Real Estate +1.6% over Information Technology -0.9% (2.5pp). Sector Rotation →
Session Snapshot
CAC -0.10mixed
−risk-off0+risk-on
Equitiesbroad index tape · 4/8 adv
-0.01%med
Rates & Creditduration + credit spread · 9/12 adv
+0.06%med
Commodities & FXgold · oil · the dollar · 3/5 adv
+0.05%med
Globalint'l / EM equity · 8/15 adv
+0.02%med
US Benchmarks8
Rates & Credit12
Global15FLIN +0.9% · EWY -6.0%
Style & Factor11
Sectors11
Industry Themes11XHB +1.6% · DRAM -8.8%
Bellwether Singles22AAPL +3.4% · BE -14.9%
VIX is not carried on the board (no tradeable-feed source); the Regime volatility component and Sigma Board carry the vol read.
SPY-0.04%gap +0.04% · open -0.08%
Best factor+0.84%Thematic Momentum Leadership
Worst factor-0.89%Smaller-Cap High-Beta Breakout
Breadth60%baskets +ve · A/D 654/345
Up/Down Vol1.07xvolume in advancers vs decliners
Actionable Trading Ideas
0 of 3 playbooks triggered this run. Absence of a triggered edge is a position — no forced trade.
Nearest miss: large-cap capitulation — worst 5-day drop -8.8% (needs <= -10.0%).
Three down days in an uptrendRSI(14) < 30 pullback in an uptrendFive-day capitulation in large caps
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.
Intraday Factor Moves
LeadingThematic Momentum Leadership +0.8%Low-Vol Aligned Uptrend +0.8%Broken Momentum / Avoid +0.7%
LaggingSmaller-Cap High-Beta Breakout -0.9%Neutral / Transition +0.1%Oversold / Mean-Reversion Watch +0.1%
Top-to-bottom basket spread 1.7pp today · dispersion Sectors z60 +2.0 (wide), Styles z60 -0.2 (typical) · flow confirms 1/3 leaders.
Thematic Momentum Leadership88 names · 100% covz +0.7+0.84%
ID+0.8%
1D+0.8%
3D+0.3%
1W+0.4%
MTD+5.8%
1M+8.5%
3M+25.6%
YTD+31.1%
1Y+42.6%
2Y+66.5%
Low-Vol Aligned Uptrend83 names · 98% covz +0.9+0.76%
ID+0.8%
1D+0.8%
3D+1.5%
1W+0.9%
MTD+3.4%
1M+4.0%
3M+6.0%
YTD+16.5%
1Y+21.5%
2Y+30.4%
Broken Momentum / Avoid170 names · 100% covz +0.9+0.68%
ID+0.7%
1D+0.7%
3D-0.9%
1W-1.5%
MTD-2.6%
1M-2.6%
3M-14.5%
YTD-17.1%
1Y-14.7%
2Y+18.1%
Institutional Large-Cap Accumulation33 names · 100% covz +0.2+0.51%
ID+0.5%
1D+0.5%
3D+1.6%
1W+2.0%
MTD+6.5%
1M+9.2%
3M+22.7%
YTD+34.6%
1Y+45.8%
2Y+71.6%
Extended Momentum Risk29 names · 100% covz -0.0+0.37%
ID+0.4%
1D+0.4%
3D+4.3%
1W+4.7%
MTD+16.0%
1M+19.9%
3M+25.0%
YTD+45.8%
1Y+49.0%
2Y+52.6%
Unclassified / Insufficient Data thin — n<108 names · 100% covz +0.1+0.34%
ID+0.3%
1D+0.3%
3D-2.4%
1W-1.1%
MTD-5.9%
1M-0.9%
3M+8.3%
YTD+32.4%
Oversold / Mean-Reversion Watch46 names · 98% covz +0.3+0.08%
ID+0.1%
1D+0.1%
3D-5.1%
1W-6.0%
MTD-14.1%
1M-14.3%
3M-17.9%
YTD-15.3%
1Y-2.1%
2Y+32.8%
Neutral / Transition513 names · 100% covz -0.1+0.07%
ID+0.1%
1D+0.1%
3D-0.6%
1W-0.2%
MTD-2.7%
1M-1.0%
3M+6.5%
YTD+21.7%
1Y+36.2%
2Y+57.0%
Smaller-Cap High-Beta Breakout35 names · 100% covz -1.1-0.89%
ID-0.9%
1D-0.9%
3D-1.4%
1W-1.2%
MTD+2.8%
1M+11.1%
3M+50.1%
YTD+80.9%
1Y+139.4%
2Y+125.5%
z = today's move vs the basket's own trailing 60-session daily distribution (current membership; partial-day moves on intraday editions). |z| ≥ 2 highlighted.
Sector Rotation
Real Estate+1.62%
Consumer Discretionary+1.46%
Communication Services+1.05%
Consumer Staples+1.04%
Financials+0.68%
Materials+0.54%
Health Care-0.01%
Industrials-0.06%
Energy-0.34%
Utilities-0.36%
Information Technology-0.87%
Themes and Keyword Baskets
Cloud Software+0.6%1D
258 names · 79% covaggregate only
ID+1.1%WTD-3.7%MTD-1.6%YTD+9.9%
Cybersecurity+0.6%1D
94 names · 70% covaggregate only
ID+1.1%WTD-3.9%MTD-2.0%YTD+9.8%
Consumer / Retail+0.6%1D
467 names · 75% cov
ID+1.0%WTD-1.1%MTD-0.0%YTD+7.0%
Financials / Credit+0.5%1D
646 names · 63% cov
ID+0.9%WTD-2.1%MTD+0.3%YTD+11.4%
Macro Rates / Inflation+0.4%1D
506 names · 77% covaggregate only
ID+0.7%WTD-0.8%MTD-1.5%YTD+14.5%
Commodities / Materials+0.0%1D
161 names · 73% cov
ID+0.0%WTD+2.0%MTD-4.0%YTD+9.7%
Industrial Automation-0.0%1D
494 names · 76% covaggregate only
ID-0.0%WTD-0.1%MTD-4.2%YTD+21.4%
Healthcare / Biotech degraded-0.1%1D
673 names · 58% cov
ID-0.2%WTD-1.1%MTD-0.9%YTD+22.7%
Oil & Gas-0.1%1D
269 names · 84% cov
ID-0.2%WTD+0.2%MTD+0.3%YTD+19.7%
AI Infrastructure-0.2%1D
838 names · 80% covaggregate only
ID-0.3%WTD-0.4%MTD-4.7%YTD+19.4%
Defense / Aerospace-0.2%1D
202 names · 79% cov
ID-0.3%WTD+1.9%MTD-7.4%YTD+25.7%
Crypto / Digital Assets-0.4%1D
150 names · 69% covaggregate only
ID-0.6%WTD-0.9%MTD-0.1%YTD+11.8%
Energy Transition-0.5%1D
240 names · 81% cov
ID-0.8%WTD+0.0%MTD-6.3%YTD+20.7%
Semiconductors-1.3%1D
188 names · 89% cov
ID-2.0%WTD+0.2%MTD-10.6%YTD+48.7%
Thematic leadership was shallow. Housing/Real Estate led with an intraday bounce of 1.29% and 82.04% breadth, while Cybersecurity and Cloud Software each added over 1% despite negative week-to-date returns of -3.9% and -3.7%. Semiconductors remained the weakest theme, plummeting 2.0% intraday and now down 10.63% month-to-date. Energy Transition fell 0.81%, and AI Infrastructure slipped 0.27%. The bounce in housing and consumer themes contrasted with ongoing pressure in tech hardware and green energy names.
Sigma Board
−3σ0+3σ
Momentum - LowVol d1spread · -3.37% · 252d · n=252-2.26σ
Semis - Market d1spread · -3.64% · 252d · n=252-2.17σ
Growth - Value d1spread · -1.82% · 252d · n=252-1.98σ
HighBeta - LowVol d1spread · -2.88% · 252d · n=252-1.65σ
EqualWeight - CapWeight d1spread · +0.79% · 252d · n=252+1.56σ
Credit w1spread · +0.69% · 252d · n=252+1.37σ
% above SMA200breadth · 68.20 · 60d · n=60+1.23σ
Duration w1spread · -1.38% · 252d · n=252-1.07σ
The cross-asset sigma board flashed defensive tilts intraday. Momentum over Low Volatility compressed 3.37 percentage points, High Beta underperformed Low Vol by 2.88 points, and Growth lagged Value by 1.82 points. Semiconductors trailed the broad market by 3.64 points, while Equal Weight edged Cap Weight by 0.79 points. Credit spreads were flat at +0.01, and duration rose 0.22 points. These moves signal a risk-off leaning within the session, with cyclical and growth leadership giving way to stability and value.
Factor × Sector Map
Neutral / Transitionn25
Real Estate
+2.0%1D
ID+2.0%WTD+0.1%MTD+1.9%
Oversold / Mean-Reversion Watchn11
Communication Services
+1.9%1D
ID+1.9%WTD-5.8%MTD-7.3%
Broken Momentum / Avoidn31
Consumer Discretionary
+1.8%1D
ID+1.8%WTD-1.7%MTD-3.5%
Thematic Momentum Leadershipn17
Financials
+1.7%1D
ID+1.7%WTD+0.2%MTD+7.8%
Neutral / Transitionn54
Consumer Discretionary
+1.6%1D
ID+1.6%WTD-0.1%MTD-0.8%
Thematic Momentum Leadershipn8
Consumer Discretionary
+1.6%1D
ID+1.6%WTD+0.4%MTD+8.2%
Thematic Momentum Leadershipn12
Real Estate
+1.6%1D
ID+1.6%WTD-0.5%MTD+4.0%
Neutral / Transitionn20
Materials
+1.5%1D
ID+1.5%WTD+3.3%MTD-0.1%
Thematic Momentum Leadershipn8
Information Technology
+1.4%1D
ID+1.4%WTD-4.6%MTD+3.7%
Broken Momentum / Avoidn10
Real Estate
+1.3%1D
ID+1.3%WTD-3.0%MTD-0.6%
Broken Momentum / Avoidn10
Consumer Staples
+1.3%1D
ID+1.3%WTD-1.5%MTD+0.3%
Neutral / Transitionn28
Consumer Staples
+1.3%1D
ID+1.3%WTD-1.4%MTD-0.3%
Broken Momentum / Avoidn32
Information Technology
+1.2%1D
ID+1.2%WTD-2.4%MTD-1.8%
Low-Vol Aligned Uptrendn17
Real Estate
+1.2%1D
ID+1.2%WTD-0.8%MTD+4.7%
Low-Vol Aligned Uptrendn17
Financials
+1.2%1D
ID+1.2%WTD+1.2%MTD+4.9%
Extended Momentum Riskn8
Industrials
+1.1%1D
ID+1.1%WTD+5.4%MTD+13.1%
Neutral / Transitionn18
Communication Services
+1.1%1D
ID+1.1%WTD-2.7%MTD+0.5%
Institutional Large-Cap Accumulationn6
Financials
+1.1%1D
ID+1.1%WTD+1.5%MTD+7.7%
Institutional Large-Cap Accumulationn6
Health Care
+1.0%1D
ID+1.0%WTD+2.4%MTD+4.1%
Low-Vol Aligned Uptrendn14
Industrials
+0.7%1D
ID+0.7%WTD+1.3%MTD+2.9%
Institutional Large-Cap Accumulationn9
Industrials
+0.5%1D
ID+0.5%WTD+4.0%MTD+6.3%
Neutral / Transitionn83
Financials
+0.5%1D
ID+0.5%WTD-0.9%MTD+2.1%
Thematic Momentum Leadershipn5
Consumer Staples
+0.5%1D
ID+0.5%WTD+1.7%MTD+8.3%
Low-Vol Aligned Uptrendn25
Utilities
+0.4%1D
ID+0.4%WTD+1.6%MTD+2.9%
Broken Momentum / Avoidn12
Communication Services
+0.3%1D
ID+0.3%WTD-3.6%MTD-1.7%
Oversold / Mean-Reversion Watchn9
Information Technology
+0.3%1D
ID+0.3%WTD-5.8%MTD-16.4%
Broken Momentum / Avoidn28
Industrials
+0.2%1D
ID+0.2%WTD+0.4%MTD-6.5%
Broken Momentum / Avoidn12
Materials
+0.2%1D
ID+0.2%WTD+0.4%MTD-2.6%
Institutional Large-Cap Accumulationn7
Information Technology
+0.1%1D
ID+0.1%WTD+1.3%MTD+4.5%
Smaller-Cap High-Beta Breakoutn5
Consumer Discretionary
+0.1%1D
ID+0.1%WTD-0.7%MTD+9.4%
Neutral / Transitionn51
Health Care
+0.1%1D
ID+0.1%WTD-2.1%MTD-0.7%
Unclassified / Insufficient Datan3
Information Technology
+0.1%1D
ID+0.1%WTD-1.6%MTD-7.3%
Thematic Momentum Leadershipn29
Health Care
+0.0%1D
ID+0.0%WTD+0.5%MTD+3.4%
Broken Momentum / Avoidn19
Financials
+0.0%1D
ID+0.0%WTD-1.6%MTD+0.9%
Thematic Momentum Leadershipn5
Energy
-0.0%1D
ID-0.0%WTD+5.4%MTD+16.8%
Oversold / Mean-Reversion Watchn9
Industrials
-0.2%1D
ID-0.2%WTD-4.9%MTD-18.2%
Neutral / Transitionn105
Industrials
-0.3%1D
ID-0.3%WTD+0.6%MTD-5.7%
Neutral / Transitionn16
Energy
-0.3%1D
ID-0.3%WTD+2.3%MTD+4.4%
Broken Momentum / Avoidn12
Health Care
-0.4%1D
ID-0.4%WTD-1.9%MTD-2.6%
Extended Momentum Riskn6
Health Care
-0.5%1D
ID-0.5%WTD+5.8%MTD+10.1%
Thematic Momentum Leadershipn3
Industrials
-0.5%1D
ID-0.5%WTD+7.5%MTD+3.4%
Neutral / Transitionn15
Utilities
-0.6%1D
ID-0.6%WTD+1.9%MTD-0.7%
Smaller-Cap High-Beta Breakoutn19
Health Care
-0.7%1D
ID-0.7%WTD-0.4%MTD+2.4%
Low-Vol Aligned Uptrendn4
Energy
-0.7%1D
ID-0.7%WTD+0.9%MTD+0.4%
Oversold / Mean-Reversion Watchn6
Consumer Discretionary
-0.8%1D
ID-0.8%WTD-10.5%MTD-13.0%
Institutional Large-Cap Accumulationn3
Energy
-0.8%1D
ID-0.8%WTD-0.9%MTD+14.5%
Extended Momentum Riskn7
Energy
-0.9%1D
ID-0.9%WTD+3.8%MTD+21.6%
Smaller-Cap High-Beta Breakoutn8
Information Technology
-1.6%1D
ID-1.6%WTD-3.0%MTD-4.1%
Neutral / Transitionn98
Information Technology
-1.9%1D
ID-1.9%WTD-0.5%MTD-10.3%
Oversold / Mean-Reversion Watchn3
Materials
-3.7%1D
ID-3.7%WTD-4.2%MTD-18.6%
Regime Assessment
13 days · 56 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+0.90Jul 8Jul 13Jul 16Jul 21Jul 24
8 expected runs missing in window
Choppy 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+0.00
breadth+1.20
volatility+1.00
rotation+0.90
size-0.70
style+0.25
p(stay 1d)0.87
p(persist 5d)0.55
expected dwell7.7 td
samplen=506
Labels are monotone in forward VOLATILITY, not direction — size positions to the risk state, don't chase the label. Transition is empirical; a label change needs two-run confirmation.
The current regime is classified as Choppy Neutral with 87% confidence and a composite score of 0.4125. The regime began on July 23, 2026, and has an expected dwell of 7.7 trading days, leaving an estimated 6.7 days remaining with an implied exit by August 4. The most probable next regime is Constructive Rotation at 52.5%, followed by Distribution Risk at 28.8%. Conditional same-day tilts favor semiconductors (SMH +12.2 bp relative to SPY) and growth (QQQ +3.2 bp), while low-volatility and defensive areas underperform (SPLV -4.2 bp, XLP -4.2 bp). These tilts persist into next-day signals.
Top Single-Stock Setups (4h–1 Week)
Momentum continuation4h–1 week
Thematic Momentum Leadership · factor score 7.3/10 (top quintile)
Leadership/uptrend with room — flow-confirmed
UptrendQ1RSI 601w +7.7%MACD+CMF+Force+
Last$199.84
RSI60
1wk+7.7%
ATR stop−5.9%
1-week return vs Thematic Momentum Leadership basket (n=88)
-11%+12%
Momentum continuation4h–1 week
Thematic Momentum Leadership · factor score 7.2/10 (top quintile)
Leadership/uptrend with room — flow-confirmed
UptrendQ1RSI 591w +5.8%MACD+CMF+Force+
Last$875.25
RSI60
1wk+5.8%
ATR stop−5.0%
1-week return vs Thematic Momentum Leadership basket (n=88)
-11%+12%
Momentum continuation4h–1 week
Smaller-Cap High-Beta Breakout · factor score 7.9/10 (top quintile)
Leadership/uptrend with room — flow-confirmed
UptrendQ1RSI 621w +4.0%MACD+CMF+Force+
Last$622.75
RSI63
1wk+4.0%
ATR stop−5.0%
1-week return vs Smaller-Cap High-Beta Breakout basket (n=35)
-12%+23%
Momentum continuation4h–1 week
Thematic Momentum Leadership · factor score 7.5/10 (top quintile)
Leadership/uptrend with room — flow-confirmed
UptrendQ1RSI 651w +2.2%MACD+CMF+Force+
Last$50.97
RSI66
1wk+2.2%
ATR stop−2.9%
1-week return vs Thematic Momentum Leadership basket (n=88)
-11%+12%
Momentum continuation4h–1 week
Thematic Momentum Leadership · factor score 8.0/10 (top quintile)
Leadership/uptrend with room — flow-confirmed
UptrendQ1RSI 581w -0.3%MACD+CMF+Force+
Last$17.28
RSI59
1wk-0.3%
ATR stop−4.6%
1-week return vs Thematic Momentum Leadership basket (n=88)
-11%+12%
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.Size and Breadth
| Size bucket | N | Intraday | D1 | WTD | Breadth |
|---|---|---|---|---|---|
| Large (>=5B) | 1005 | +0.29% | +0.29% | -0.39% | 65.4% adv |
| Micro Cap $250M-$1B | 201 | n/a | +0.00% | -1.29% | 0.0% adv |
| Nano Cap <$250M | 15 | n/a | +0.00% | -3.85% | 0.0% adv |
| Small Cap $1B-$5B | 807 | -1.03% | -0.01% | -1.98% | 50.0% adv |
| % > SMA50 | % > SMA200 | Advancers | Decliners | % Baskets Positive |
|---|---|---|---|---|
| 62.9% | 68.2% | 654 | 345 | 59.6% |
Large-cap breadth stood at 65.4% advancing with a median relative volume of 0.62, while small-cap breadth narrowed to 50.0% and registered a median rvol of 0.68. Micro and nano segments showed zero intraday breadth and three-day losses of -2.35% and -2.52%, respectively. Overall market breadth metrics pointed to cautious participation: 62.89% of stocks above the 50-day moving average, 68.2% above the 200-day, an advance-decline ratio of 654 to 345, and an up/down volume ratio of 1.07. Only 59.57% of factor baskets produced positive returns, reflecting uneven distribution of strength.
Cross-Sectional Dispersion
| Cross-section | Dispersion σ | IQR | z60 | z252 | State | Widest up / down |
|---|---|---|---|---|---|---|
| Sectors | +1.91% | +1.65% | 2.04 (n=60) | 3.01 (n=252) | Wide | XLI +1.73% / XLY -4.61% |
| Styles | +0.87% | +0.86% | -0.16 (n=60) | 0.64 (n=252) | Normal | VTV +0.24% / VUG -2.22% |
Volume and Participation
| Dimension | Basket | Median RVol | % Members RVol>1.5 |
|---|---|---|---|
| production | Broken Momentum / Avoid | 0.65 | 4.7% |
| production | Extended Momentum Risk | 0.83 | 6.9% |
| production | Institutional Large-Cap Accumulation | 0.62 | 0.0% |
| production | Low-Vol Aligned Uptrend | 0.63 | 2.5% |
| production | Neutral / Transition | 0.61 | 6.5% |
| production | Oversold / Mean-Reversion Watch | 0.89 | 13.3% |
| production | Smaller-Cap High-Beta Breakout | 0.50 | 2.9% |
| production | Thematic Momentum Leadership | 0.59 | 4.5% |
| production | Unclassified / Insufficient Data | 0.60 | 0.0% |
| Ticker | Basket | RVol | Return | Note |
|---|---|---|---|---|
| THC | Neutral / Transition | 4.16 | +17.66% | breakout volume |
| WEX | Extended Momentum Risk | 3.60 | +3.32% | breakout volume |
| CLF | Neutral / Transition | 3.53 | +8.59% | breakout volume |
| SXT | Neutral / Transition | 3.35 | +7.36% | breakout volume |
| DLR | Neutral / Transition | 3.17 | +11.29% | breakout volume |
The median relative volume across production baskets ranged from 0.50 in Smaller-Cap High-Beta Breakout to 0.89 in Oversold / Mean-Reversion Watch, where 13.3% of members traded above 1.5x average volume. Extended Momentum Risk registered a median rvol of 0.83 with 6.9% elevated. Individual anomalies included THC from Neutral / Transition with rvol 4.16 and a 17.66% gain, WEX from Extended Momentum Risk with rvol 3.60 and a 3.32% return, and CLF with rvol 3.53 and an 8.59% move, all accompanied by breakout volume notes.
Cross-Asset Confirmation
CAC -0.10 — mixed (positive = risk-supportive)
| Signal | 5d | Points |
|---|---|---|
| Credit (HYG−LQD) | +0.44% | +0.30 |
| Risk vs defensives | -1.95% | -0.40 |
| Dollar (−UUP) | -0.78% | -0.15 |
| Curve (IEF/TLT) | +0.31% | +0.15 |
Duration-in-disguise — 63d TLT beta of style spreads
| Spread | TLT β | β · SPY-ctrl | β | %ile | Duration read | |
|---|---|---|---|---|---|---|
| Momentum - LowVol | 1.28 | 0.22 | 98% | duration-driven (current, unstable) | ||
| Growth - Value | 0.16 | -0.24 | 68% | factor-driven (current, unstable) | ||
| HighBeta - LowVol | 1.44 | 0.06 | 98% | 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 | n/a | n/a | diverges |
| CMCSA | +1.69% | +1.61% | confirms |
| MP | -7.72% | -7.80% | diverges |
| TEM | -6.72% | -7.40% | diverges |
| QXO | -0.18% | -0.86% | diverges |
The top five screener opportunities centered on accumulation-stage names, led by CMCSA with a score of 89.9 and a confirmed intraday move of 1.688% relative to a basket gain of 1.61%. UEC scored 89.5 but lacked intraday confirmation, while MP, TEM, and QXO all declined intraday. Among pattern setups, OKLO's bear flag scored 76.72, with BLDR's head-and-shoulders at 75.44 and RGTI's bear flag at 74.48 also ranking high on the short side. Long setup FTDR's double bottom registered 68.74. The landscape favors mean-reversion and breakdown structures alongside select accumulation entries.
Multi-Horizon Context
| Basket | D3 | WTD | MTD |
|---|---|---|---|
| production: Broken Momentum / Avoid | -0.92% | -1.48% | -2.59% |
| production: Extended Momentum Risk | +4.33% | +4.68% | +16.00% |
| production: Institutional Large-Cap Accumulation | +1.65% | +2.00% | +6.48% |
| production: Low-Vol Aligned Uptrend | +1.46% | +0.91% | +3.42% |
| production: Neutral / Transition | -0.62% | -0.25% | -2.74% |
| production: Oversold / Mean-Reversion Watch | -5.09% | -6.01% | -14.08% |
| production: Smaller-Cap High-Beta Breakout | -1.42% | -1.18% | +2.76% |
| production: Thematic Momentum Leadership | +0.28% | +0.42% | +5.85% |
| production: Unclassified / Insufficient Data | -2.39% | -1.15% | -5.89% |
| theme: AI Infrastructure | -1.64% | -0.38% | -4.70% |
| theme: Cloud Software | -3.10% | -3.70% | -1.57% |
| theme: Commodities / Materials | +0.06% | +2.02% | -4.03% |
| theme: Consumer / Retail | -0.53% | -1.08% | -0.02% |
| theme: Crypto / Digital Assets | -2.40% | -0.89% | -0.11% |
| theme: Cybersecurity | -2.52% | -3.90% | -2.05% |
| theme: Defense / Aerospace | -0.53% | +1.92% | -7.37% |
| theme: Energy Transition | -1.51% | +0.03% | -6.27% |
| theme: Financials / Credit | -1.45% | -2.12% | +0.33% |
| theme: Healthcare / Biotech | -1.40% | -1.12% | -0.95% |
| theme: Housing / Real Estate | +0.57% | -0.13% | -0.08% |
| theme: Industrial Automation | -1.25% | -0.15% | -4.19% |
| theme: Macro Rates / Inflation | -1.11% | -0.75% | -1.50% |
| theme: Oil & Gas | -0.77% | +0.21% | +0.32% |
| theme: Semiconductors | -2.94% | +0.18% | -10.63% |
| sector: Communication Services | -2.63% | -3.64% | -2.14% |
| sector: Consumer Discretionary | -0.09% | -1.05% | -0.91% |
| sector: Consumer Staples | -0.74% | -1.64% | +0.73% |
| sector: Energy | +0.98% | +2.35% | +9.91% |
| sector: Financials | -0.39% | -0.57% | +3.04% |
| sector: Health Care | -0.34% | -0.62% | +1.00% |
| sector: Industrials | +0.81% | +0.93% | -4.05% |
| sector: Information Technology | -3.20% | -1.33% | -7.04% |
| sector: Materials | +1.53% | +1.78% | -2.61% |
| sector: Real Estate | +0.39% | -0.61% | +2.94% |
| sector: Utilities | +1.83% | +1.36% | +0.67% |
| size: Large (>=5B) | -0.45% | -0.39% | -0.96% |
| size: Micro Cap $250M-$1B | -2.35% | -1.29% | -3.39% |
| size: Nano Cap <$250M | -2.52% | -3.85% | +13.95% |
| size: Small Cap $1B-$5B | -2.09% | -1.98% | -2.22% |
| style: Base Building / Coiled | +0.22% | -0.05% | -0.74% |
| style: Extended Overbought Momentum | +6.32% | +6.38% | +17.08% |
| style: High-Vol Breakdown | -4.30% | -3.15% | -12.17% |
| style: High-Vol Momentum | -1.74% | -1.27% | +3.15% |
| style: Low-Vol Uptrend | +0.95% | +0.29% | +3.41% |
| style: Momentum Breakout / Leadership | +1.66% | +1.88% | +10.23% |
| style: Neutral / Transition | -0.75% | -0.44% | -2.41% |
| style: Normal Vol/Trend | -0.98% | -0.40% | -1.98% |
| style: Oversold / Mean-Reversion Watch | -5.09% | -6.01% | -14.08% |
| style: Persistent Uptrend / Compounder | +1.25% | +1.31% | +3.65% |
| style: Weak Downtrend / Avoid Momentum | -0.92% | -1.48% | -2.59% |
Over the last three days, Extended Momentum Risk returned 4.33% while Oversold / Mean-Reversion Watch fell –5.09%, with the Momentum-LowVol spread contracting -3.07%. Week-to-date, the same dynamic persisted: Extended Momentum Risk +4.68%, Oversold –6.01%, and Quality - Extended Risk spread –3.77%. Month-to-date returns reinforced these extremes, with Extended Momentum Risk up 16.0% versus Oversold down –14.08% and Growth-Value spread at –7.82%. Breadth trends were deteriorating across all horizons, indicating narrowing leadership behind the factor extremes.
Data Quality and Coverage
| Source | As of |
|---|---|
| intraday_bars | 2026-07-24T15:45:00-04:00 |
| warehouse_snapshot | 2026-07-24 |
| proxy_daily | 2026-07-23 |
| screener_artifact | 2026-07-23T20:52:06.717792-04:00 |
| grouped_daily | unavailable |
- Overall coverage: 99.5%
- 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 2026-07-24T16:01:18-04:00; every figure above is computed deterministically from report.json