Close · market state
Choppy Neutral
BeganThu Jul 23 · close · 16:00 ETheld 2 td
Typical dwell~7.7 tdp(stay 1d) 0.87 · fresh
Implied through~Tue Aug 4~6 td left
When it breaks, historically →→ Constructive Rotation 52%→ Distribution Risk 29%→ Risk-Off Stress 10%→ Risk-On Trend 8%
3-day tape
month →
2td in — ~6td of typical dwell leftfresh
age 2tdtypical dwell ~8td

SPY -0.03% since prior close; Broken Momentum / Avoid leads (+2.34%), Extended Momentum Risk lags (-0.74%).

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

Regime Playbook — Choppy Neutral

History says after Choppy Neutral days like today: Gold & Semis lead, Staples & REITs lag the next session.

TOMORROWForward lean — next session, relative to SPYtradeable
−16 bp0+16 bp
Historically lead
Gold GLDhit 50% · n 287 · skewed: few big days+16 bp
Semis SMHhit 56% · n 505+14 bp
Tech XLKhit 55% · n 505+6 bp
Biotech XBIhit 49% · n 505 · skewed: few big days+5 bp
· 22 more cells between -6 and +4 bp/d ·
Historically lag
Low Vol SPLVhit 46% · n 505-6 bp
Utilities XLUhit 45% · n 505-6 bp
REITs XLREhit 48% · n 505-7 bp
Staples XLPhit 43% · n 505-9 bp
Today's tape vs this playbook1/4 tracking

biggest divergence: SMH -2.4% rel vs a +12bp/d historical tilt

TODAYWhat usually moves WITH this tape — state description, not a signalcontext
−17 bp0+17 bp
Gold GLDhit 50% · n 283+17 bp
Semis SMHhit 54% · n 506+12 bp
Regional Banks KREhit 48% · n 283 · skewed: few big days+5 bp
· 24 more cells between -4 and +5 bp/d ·
Materials XLBhit 48% · n 506-4 bp
Health Care XLVhit 47% · n 506-5 bp
HY Credit HYGhit 45% · n 506-6 bp

bp/day relative to SPY · bar scale = largest shown tilt per ladder (printed on the axis) · n≈505 days per cell · empirical rel-SPY tilts, 2021-07-26..2026-07-22, labels=v1.1+2-run, min-n 60, refit annually. TOMORROW is the tradeable lean (reversion-flavored at extremes); TODAY only describes the tape.

Intelligence Summary

Session

Today's session closed in Choppy Neutral territory, composite score 0.0425, consistent with directionless intraday swings. Advancers led decliners 639 to 360 on up/down volume ratio of 1.8. Breadth held above key moving averages: 67.0% of components above their 50-day, 70.51% above their 200-day. The session featured sharp reversals: Broken Momentum and Oversold baskets surged 2.34% and 2.17%, respectively, while Energy sold off 2.83% and Extended Overbought Momentum declined 1.71%. The regime persists with 87% probability of staying the next day, expecting another 5.7 trading days of choppiness before potential transition.

Session Snapshot →
Factors

Production factors showed a stark reversal. Broken Momentum / Avoid led with a 2.34% daily gain on 84.89% advancing breadth, while Oversold / Mean-Reversion Watch added 2.17% on 70.83% advancing breadth. Extended Momentum Risk fell 0.74%, with only 35.48% of constituents positive. Institutional Large-Cap Accumulation rose 0.25%, Thematic Momentum Leadership gained 0.69%, and Low-Vol Aligned Uptrend was flat at -0.02%. The 3-day trends further highlight the shift: Broken Momentum up 1.57% versus Extended Momentum up 4.29%, reflecting prior outperformance but today's reversal.

Intraday Factor Moves →
Sectors

Sector performance diverged sharply. Communication Services surged 2.27% with 86.05% advance, Consumer Discretionary added 2.04% on 86.79% breadth, and Consumer Staples gained 2.13% with near-unanimous 95.74% breadth. In contrast, Energy dropped 2.83% on only 15.38% advancing stocks, and Utilities fell 0.93% with just 11.36% advancing. Information Technology rebounded 1.28% after recent weakness. Financials rose 0.99%, and Health Care added 0.95%. Materials and Real Estate were modestly positive. The rotation favored battered cyclical and telecom while punishing prior energy strength.

Sector Rotation →
Connections
  • Broken Momentum / Avoid d1 is stretched at +2.5σ — mean-reversion pressure. Sigma Board →
  • % above SMA200 is stretched at +1.7σ — mean-reversion pressure. Sigma Board →
  • Sharpest cell: Oversold / Mean-Reversion Watch × Information Technology +4.5% (n14) vs Extended Momentum Risk × Energy -3.2% (n8) — long/short the spread, not the index. Factor × Sector →
  • Rotation spread: Communication Services +2.3% over Energy -2.8% (5.1pp). Sector Rotation →

Session Snapshot

CAC +0.60mixed
−risk-off0+risk-on
Equitiesbroad index tape · 6/8 adv
+0.34%med
Rates & Creditduration + credit spread · 12/12 adv
+0.22%med
Commodities & FXgold · oil · the dollar · 4/5 adv
+0.72%med
Globalint'l / EM equity · 12/15 adv
+0.42%med
US Benchmarks8
RSP+0.8%rvol 0.7
IWM+0.6%rvol 1.0
DIA+0.5%rvol 1.0
IJR+0.4%rvol 0.8
MDY+0.3%rvol 0.9
VTI+0.1%rvol 1.1
SPY-0.0%rvol 0.8
QQQ-0.4%rvol 1.2
Rates & Credit12
TLT+0.7%rvol 1.1
PFF+0.5%rvol 0.8
VCLT+0.4%rvol 0.9
LQD+0.3%rvol 1.4
IEF+0.3%rvol 0.8
ANGL+0.2%rvol 1.8
VCIT+0.2%rvol 1.4
SRLN+0.1%rvol 0.6
HYG+0.1%rvol 1.0
FALN+0.1%rvol 0.8
SHY+0.0%rvol 0.8
JAAA+0.0%rvol 0.8
Commodities & FX5
IBIT+1.1%rvol 0.8
GLD+0.8%rvol 0.5
SLV+0.7%rvol 1.1
UUP+0.0%rvol 0.8
USO-8.4%rvol 1.6
Global15KWEB +2.6% · FLKR -1.8%
KWEB+2.6%rvol 0.9
FXI+2.0%rvol 0.7
FLIN+1.7%rvol 0.2
FLCH+1.6%rvol 0.5
EFV+0.7%rvol 0.4
EFA+0.5%rvol 0.8
VGK+0.5%rvol 1.1
EWZ+0.4%rvol 0.7
VXUS+0.4%rvol 1.0
FLJP+0.4%rvol 0.4
EEM+0.3%rvol 1.1
EWJ+0.3%rvol 0.5
EWO-1.0%rvol 0.1
EWY-1.7%rvol 0.9
FLKR-1.8%rvol 0.5
Style & Factor11
USMV+0.7%rvol 0.6
IWD+0.6%rvol 0.8
JEPI+0.6%rvol 1.5
QUAL+0.2%rvol 1.0
VTV+0.2%rvol 0.8
SPLV+0.1%rvol 1.1
VLUE+0.0%rvol 0.4
VUG-0.1%rvol 0.7
SPHB-0.2%rvol 1.0
IWF-0.5%rvol 0.7
MTUM-1.6%rvol 1.1
Sectors11
XLP+1.6%rvol 1.2
XLC+1.4%rvol 1.1
XLY+1.3%rvol 0.8
XLF+1.0%rvol 0.8
XLV+0.6%rvol 0.8
XLB+0.2%rvol 0.7
XLI+0.2%rvol 1.0
XLRE-0.2%rvol 0.9
XLK-1.1%rvol 1.0
XLU-1.3%rvol 0.9
XLE-2.0%rvol 1.1
Industry Themes11IGV +3.4% · SMH -2.5%
IGV+3.4%rvol 2.0
ITA+1.6%rvol 1.6
XBI+1.1%rvol 1.1
ARKK+1.0%rvol 0.9
XHB+0.8%rvol 0.5
TAN+0.4%rvol 3.9
KRE-0.1%rvol 0.7
VGT-0.9%rvol 1.1
DRAM-2.4%rvol 1.2
SOXX-2.4%rvol 1.6
SMH-2.5%rvol 2.7
Bellwether Singles22ORCL +4.0% · VST -4.4%
ORCL+4.0%rvol 1.0
ENPH+3.1%rvol 0.7
GOOGL+2.4%rvol 0.8
MSFT+2.1%rvol 0.7
CCJ+1.8%rvol 0.7
BE+1.4%rvol 1.1
FSLR+1.2%rvol 0.8
AAPL+0.9%rvol 0.8
JPM+0.8%rvol 0.7
NBIS+0.7%rvol 1.0
FCEL+0.5%rvol 0.5
BAC+0.3%rvol 0.9
AMZN-0.3%rvol 0.6
META-0.3%rvol 0.5
NEE-1.1%rvol 0.7
DUK-1.2%rvol 0.7
TSLA-1.4%rvol 1.1
CRWV-1.5%rvol 0.7
GS-1.6%rvol 1.1
SPCX-2.1%rvol 0.9
CEG-2.2%rvol 0.9
VST-4.4%rvol 1.1

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

SPY-0.03%gap +0.81% · open -0.83%
Best factor+2.34%Broken Momentum / Avoid
Worst factor-0.74%Extended Momentum Risk
Breadth77%baskets +ve · A/D 639/360
Up/Down Vol1.80xvolume 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 -1.45% (needs <= -10.00%).

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

LeadingBroken Momentum / Avoid +2.3%Oversold / Mean-Reversion Watch +2.2%Thematic Momentum Leadership +0.7%
LaggingExtended Momentum Risk -0.7%Low-Vol Aligned Uptrend -0.0%Smaller-Cap High-Beta Breakout +0.1%

Top-to-bottom basket spread 3.1pp today · dispersion Styles z60 +0.4 (typical), Sectors z60 -0.5 (typical) · flow confirms none of the leaders.

Broken Momentum / Avoid139 names · 100% covz +2.7+2.34%
ID+2.3%
1D+2.3%
3D+1.6%
1W+0.9%
MTD-0.8%
1M+0.3%
3M-14.0%
YTD-15.2%
1Y-13.1%
2Y+7.6%
Oversold / Mean-Reversion Watch49 names · 98% covz +1.4+2.17%
ID+2.2%
1D+2.2%
3D-3.4%
1W-3.2%
MTD-16.3%
1M-15.9%
3M-16.5%
YTD-6.3%
1Y+13.4%
2Y+85.5%
Unclassified / Insufficient Data thin — n<108 names · 100% covz +1.0+1.86%
ID+1.9%
1D+1.9%
3D+2.5%
1W+1.9%
MTD-3.6%
1M+0.2%
3M+11.2%
YTD+36.0%
Thematic Momentum Leadership104 names · 100% covz +0.4+0.69%
ID+0.7%
1D+0.7%
3D+2.0%
1W+2.5%
MTD+6.8%
1M+8.9%
3M+28.0%
YTD+33.8%
1Y+44.4%
2Y+65.0%
Neutral / Transition507 names · 100% covz +0.5+0.61%
ID+0.6%
1D+0.6%
3D+0.1%
1W+0.7%
MTD-2.3%
1M-1.3%
3M+6.0%
YTD+20.4%
1Y+36.6%
2Y+57.7%
Institutional Large-Cap Accumulation33 names · 100% covz -0.1+0.25%
ID+0.2%
1D+0.2%
3D+1.7%
1W+2.6%
MTD+8.0%
1M+9.8%
3M+23.5%
YTD+30.5%
1Y+39.4%
2Y+60.3%
Smaller-Cap High-Beta Breakout27 names · 100% covz -0.5+0.12%
ID+0.1%
1D+0.1%
3D+0.5%
1W+0.9%
MTD+7.7%
1M+13.3%
3M+51.1%
YTD+88.5%
1Y+149.7%
2Y+136.5%
Low-Vol Aligned Uptrend107 names · 98% covz -0.2-0.02%
ID-0.0%
1D-0.0%
3D+1.0%
1W+1.3%
MTD+3.2%
1M+3.2%
3M+7.1%
YTD+15.4%
1Y+18.9%
2Y+28.1%
Extended Momentum Risk31 names · 100% covz -1.2-0.74%
ID-0.7%
1D-0.7%
3D+4.3%
1W+5.8%
MTD+15.4%
1M+15.2%
3M+18.7%
YTD+27.4%
1Y+36.6%
2Y+36.2%

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

Communication Services+2.27%
Consumer Staples+2.13%
Consumer Discretionary+2.06%
Information Technology+1.28%
Financials+0.99%
Health Care+0.95%
Real Estate+0.34%
Industrials+0.24%
Materials+0.05%
Utilities-0.93%
Energy-2.83%
Themes and Keyword Baskets
Cloud Software+1.3%1D
285 names · 77% covaggregate only
ID+2.1%WTD+1.3%MTD-0.0%YTD+9.5%
Cybersecurity+0.9%1D
100 names · 68% covaggregate only
ID+1.6%WTD+0.9%MTD-0.4%YTD+17.0%
Consumer / Retail+0.9%1D
503 names · 72% cov
ID+1.5%WTD+0.9%MTD+1.3%YTD+8.1%
Crypto / Digital Assets+0.7%1D
157 names · 68% covaggregate only
ID+1.0%WTD+0.7%MTD+0.4%YTD+13.2%
AI Infrastructure+0.5%1D
919 names · 77% covaggregate only
ID+0.9%WTD+0.5%MTD-4.1%YTD+17.0%
Financials / Credit+0.5%1D
689 names · 61% cov
ID+1.0%WTD+0.5%MTD+1.2%YTD+11.2%
Housing / Real Estate+0.5%1D
465 names · 69% cov
ID+0.8%WTD+0.5%MTD+0.8%YTD+10.6%
Defense / Aerospace+0.4%1D
220 names · 76% cov
ID+0.7%WTD+0.4%MTD-7.4%YTD+24.2%
Macro Rates / Inflation+0.3%1D
560 names · 75% covaggregate only
ID+0.6%WTD+0.3%MTD-0.9%YTD+17.0%
Healthcare / Biotech degraded+0.3%1D
721 names · 55% cov
ID+0.7%WTD+0.3%MTD-1.3%YTD+20.4%
Industrial Automation+0.2%1D
540 names · 74% covaggregate only
ID+0.4%WTD+0.2%MTD-4.3%YTD+19.8%
Energy Transition+0.1%1D
286 names · 79% cov
ID+0.1%WTD+0.1%MTD-5.6%YTD+16.3%
Oil & Gas-0.1%1D
295 names · 79% cov
ID-0.2%WTD-0.1%MTD-0.0%YTD+17.4%
Semiconductors-0.2%1D
207 names · 84% cov
ID-0.2%WTD-0.2%MTD-10.8%YTD+47.7%
Commodities / Materials-0.2%1D
184 names · 71% cov
ID-0.4%WTD-0.2%MTD-3.9%YTD+10.6%

Theme baskets exhibited a relief rally in beaten-down areas. Cloud Software rebounded 1.26% with 73.28% breadth, and Cybersecurity gained 0.95% on 71.79% breadth. Consumer / Retail added 0.86%. AI Infrastructure inched up 0.53%. On the downside, Commodities / Materials slipped 0.23%, Oil & Gas fell 0.15%, and Semiconductors declined 0.16%. Energy Transition was flat at 0.08%. The month-to-date picture remains negative for Semiconductors (-10.85%) and Energy Transition (-5.58%). Despite the daily bounce, most theme multi-period returns remain weak except for semiconductors' YTD 47.69%.

Sigma Board
−3σ0+3σ
Broken Momentum / Avoid d1basket · +2.34% · 60d · n=38+2.50σ
% above SMA200breadth · 70.51 · 60d · n=60+1.73σ
EqualWeight - CapWeight w1spread · +1.75% · 252d · n=252+1.59σ
Growth - Value w1spread · -3.16% · 252d · n=252-1.57σ
EqualWeight - CapWeight d1spread · +0.78% · 252d · n=252+1.53σ
Momentum - LowVol d1spread · -2.26% · 252d · n=252-1.52σ
Semis - Market d1spread · -2.42% · 252d · n=252-1.47σ
% above SMA50breadth · 67.00 · 60d · n=60+1.41σ

Cross-sectional factor spreads widened today. Momentum - LowVol compressed 2.26 percentage points, while HighBeta - LowVol fell 0.30 and Growth - Value declined 1.13. Semis - Market spread plunged 2.42 points, extending month-to-date underperformance to -15.46. Equal weight outperformed cap weight by 0.78 points, and small caps led large caps by 0.65 points. Credit spread narrowed 0.23 points, while duration gained 0.70 points as rates dipped. The Momentum Leadership - Broken Momentum spread was -2.09, reflecting the rotation out of leaders.

Factor × Sector Map
Oversold / Mean-Reversion Watchn14
Information Technology
+4.5%1D
ID+4.5%WTD+4.5%MTD-17.9%
Broken Momentum / Avoidn21
Information Technology
+4.4%1D
ID+4.4%WTD+4.4%MTD+4.2%
Broken Momentum / Avoidn14
Financials
+3.5%1D
ID+3.5%WTD+3.5%MTD+2.6%
Broken Momentum / Avoidn8
Consumer Staples
+3.0%1D
ID+3.0%WTD+3.0%MTD+1.2%
Unclassified / Insufficient Datan3
Information Technology
+2.7%1D
ID+2.7%WTD+2.7%MTD-4.2%
Neutral / Transitionn20
Communication Services
+2.7%1D
ID+2.7%WTD+2.7%MTD+3.0%
Broken Momentum / Avoidn15
Communication Services
+2.3%1D
ID+2.3%WTD+2.3%MTD+0.5%
Broken Momentum / Avoidn23
Consumer Discretionary
+2.3%1D
ID+2.3%WTD+2.3%MTD-1.7%
Neutral / Transitionn63
Consumer Discretionary
+2.2%1D
ID+2.2%WTD+2.2%MTD+0.8%
Neutral / Transitionn27
Consumer Staples
+2.1%1D
ID+2.1%WTD+2.1%MTD+2.3%
Oversold / Mean-Reversion Watchn3
Utilities
+1.9%1D
ID+1.9%WTD+1.9%MTD-11.1%
Oversold / Mean-Reversion Watchn5
Health Care
+1.8%1D
ID+1.8%WTD+1.8%MTD-18.8%
Broken Momentum / Avoidn10
Health Care
+1.8%1D
ID+1.8%WTD+1.8%MTD+0.5%
Broken Momentum / Avoidn26
Industrials
+1.8%1D
ID+1.8%WTD+1.8%MTD-7.6%
Thematic Momentum Leadershipn14
Information Technology
+1.8%1D
ID+1.8%WTD+1.8%MTD+6.2%
Smaller-Cap High-Beta Breakoutn4
Consumer Discretionary
+1.7%1D
ID+1.7%WTD+1.7%MTD+11.6%
Smaller-Cap High-Beta Breakoutn6
Information Technology
+1.7%1D
ID+1.7%WTD+1.7%MTD+5.6%
Oversold / Mean-Reversion Watchn5
Consumer Discretionary
+1.6%1D
ID+1.6%WTD+1.6%MTD-12.6%
Thematic Momentum Leadershipn6
Consumer Staples
+1.5%1D
ID+1.5%WTD+1.5%MTD+10.8%
Oversold / Mean-Reversion Watchn6
Communication Services
+1.4%1D
ID+1.4%WTD+1.4%MTD-12.1%
Neutral / Transitionn50
Health Care
+1.4%1D
ID+1.4%WTD+1.4%MTD-0.1%
Thematic Momentum Leadershipn23
Financials
+1.2%1D
ID+1.2%WTD+1.2%MTD+8.8%
Oversold / Mean-Reversion Watchn3
Financials
+1.1%1D
ID+1.1%WTD+1.1%MTD-17.1%
Low-Vol Aligned Uptrendn4
Consumer Staples
+1.1%1D
ID+1.1%WTD+1.1%MTD+1.7%
Institutional Large-Cap Accumulationn9
Financials
+1.0%1D
ID+1.0%WTD+1.0%MTD+7.9%
Thematic Momentum Leadershipn9
Consumer Discretionary
+1.0%1D
ID+1.0%WTD+1.0%MTD+10.3%
Broken Momentum / Avoidn9
Real Estate
+0.9%1D
ID+0.9%WTD+0.9%MTD+0.9%
Extended Momentum Riskn3
Financials
+0.7%1D
ID+0.7%WTD+0.7%MTD+20.3%
Oversold / Mean-Reversion Watchn6
Industrials
+0.7%1D
ID+0.7%WTD+0.7%MTD-23.2%
Thematic Momentum Leadershipn30
Health Care
+0.7%1D
ID+0.7%WTD+0.7%MTD+4.5%
Neutral / Transitionn67
Financials
+0.6%1D
ID+0.6%WTD+0.6%MTD+2.5%
Oversold / Mean-Reversion Watchn4
Materials
+0.6%1D
ID+0.6%WTD+0.6%MTD-13.5%
Extended Momentum Riskn6
Health Care
+0.5%1D
ID+0.5%WTD+0.5%MTD+11.9%
Neutral / Transitionn13
Materials
+0.4%1D
ID+0.4%WTD+0.4%MTD-4.2%
Low-Vol Aligned Uptrendn28
Financials
+0.4%1D
ID+0.4%WTD+0.4%MTD+4.4%
Neutral / Transitionn23
Real Estate
+0.4%1D
ID+0.4%WTD+0.4%MTD+0.8%
Institutional Large-Cap Accumulationn8
Health Care
+0.4%1D
ID+0.4%WTD+0.4%MTD+4.9%
Thematic Momentum Leadershipn11
Real Estate
+0.4%1D
ID+0.4%WTD+0.4%MTD+6.0%
Institutional Large-Cap Accumulationn4
Information Technology
+0.3%1D
ID+0.3%WTD+0.3%MTD+8.8%
Low-Vol Aligned Uptrendn18
Industrials
+0.3%1D
ID+0.3%WTD+0.3%MTD+3.0%
Broken Momentum / Avoidn12
Materials
+0.1%1D
ID+0.1%WTD+0.1%MTD-1.9%
Low-Vol Aligned Uptrendn19
Real Estate
+0.1%1D
ID+0.1%WTD+0.1%MTD+4.6%
Neutral / Transitionn102
Information Technology
+0.1%1D
ID+0.1%WTD+0.1%MTD-9.1%
Low-Vol Aligned Uptrendn3
Information Technology
+0.0%1D
ID+0.0%WTD+0.0%MTD+0.1%
Institutional Large-Cap Accumulationn6
Industrials
+0.0%1D
ID+0.0%WTD+0.0%MTD+6.6%
Neutral / Transitionn109
Industrials
-0.0%1D
ID-0.0%WTD-0.0%MTD-4.9%
Smaller-Cap High-Beta Breakoutn15
Health Care
-0.3%1D
ID-0.3%WTD-0.3%MTD+5.0%
Extended Momentum Riskn8
Industrials
-0.4%1D
ID-0.4%WTD-0.4%MTD+12.6%
Extended Momentum Riskn3
Real Estate
-0.7%1D
ID-0.7%WTD-0.7%MTD+12.8%
Low-Vol Aligned Uptrendn26
Utilities
-0.9%1D
ID-0.9%WTD-0.9%MTD+2.0%
Institutional Large-Cap Accumulationn5
Energy
-1.4%1D
ID-1.4%WTD-1.4%MTD+14.0%
Thematic Momentum Leadershipn5
Materials
-1.6%1D
ID-1.6%WTD-1.6%MTD+7.1%
Neutral / Transitionn15
Utilities
-1.6%1D
ID-1.6%WTD-1.6%MTD-2.0%
Thematic Momentum Leadershipn4
Industrials
-1.7%1D
ID-1.7%WTD-1.7%MTD+1.4%
Neutral / Transitionn18
Energy
-2.8%1D
ID-2.8%WTD-2.8%MTD+1.4%
Extended Momentum Riskn8
Energy
-3.2%1D
ID-3.2%WTD-3.2%MTD+16.1%
Where each factor basket is working by sector — sorted by 1-day equal-weight return, ≥3 names per cell.
Regime Assessment
14 days · 61 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 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+1.40
volatility+0.25
rotation-1.10
size+0.15
style-1.25
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 environment is classified as Choppy Neutral with a composite score of 0.0425 and 0.87 confidence. The regime began two days ago and carries an expected dwell of 7.7 days, leaving an estimated 5.7 days remaining. Empirical exit probabilities point to Constructive Rotation at 52.5% and Distribution Risk at 28.8%. Component analysis shows positive breadth (1.4) offset by negative rotation (-1.1) and style (-1.25), with trend neutral (0.0). Same-day relative excess returns favor SMH at 12.2 basis points and GLD at 16.8, while defensive sectors like XLP and USMV underperform. This regime historically precedes choppy conditions with elevated cross-sectional volatility.

Top Single-Stock Setups (4h–1 Week)

#1SJMConsumer Staples100
▲Momentum continuation4h–1 week
Thematic Momentum Leadership · factor score 7.4/10 (top quintile)

Leadership/uptrend with room — flow-confirmed

UptrendQ1RSI 611w +5.6%MACD+CMF+Force+
Last$118.32
RSI61
1wk+5.6%
ATR stop−4.0%
1-week return vs Thematic Momentum Leadership basket (n=104)
-12%+16%
#2CPAYInformation Technology99
▲Momentum continuation4h–1 week
Thematic Momentum Leadership · factor score 7.4/10 (top quintile)

Leadership/uptrend with room — flow-confirmed

UptrendQ1RSI 591w +1.3%MACD+CMF+Force+
Last$370.58
RSI59
1wk+1.3%
ATR stop−4.5%
1-week return vs Thematic Momentum Leadership basket (n=104)
-12%+16%
#3CTREReal Estate98
▲Momentum continuation4h–1 week
Thematic Momentum Leadership · factor score 7.4/10 (top quintile)

Leadership/uptrend with room — flow-confirmed

UptrendQ1RSI 631w +0.9%MACD+CMF+Force+
Last$43.25
RSI63
1wk+0.9%
ATR stop−3.6%
1-week return vs Thematic Momentum Leadership basket (n=104)
-12%+16%
#4HPQInformation Technology98
▲Momentum continuation4h–1 week
Smaller-Cap High-Beta Breakout · factor score 7.2/10 (top quintile)

Leadership/uptrend with room — flow-confirmed

UptrendQ1RSI 611w +3.7%MACD+CMF+Force+
Last$25.75
RSI62
1wk+3.7%
ATR stop−6.0%
1-week return vs Smaller-Cap High-Beta Breakout basket (n=27)
-15%+8%
#5HRReal Estate98
▲Momentum continuation4h–1 week
Thematic Momentum Leadership · factor score 7.0/10 (top quintile)

Leadership/uptrend with room — flow-confirmed

UptrendQ1RSI 621w +0.4%MACD+CMF+Force+
Last$21.40
RSI62
1wk+0.4%
ATR stop−2.6%
1-week return vs Thematic Momentum Leadership basket (n=104)
-12%+16%

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.
BoltFactors © 2026 · CLOSE edition · 2026-07-27 · GitHub · every number is computed deterministically from report.json before narration; ideas pair today's live trigger with a static historical prior.