Midday · 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 -0.05% since prior close; Broken Momentum / Avoid leads (+2.34%), Extended Momentum Risk lags (-0.62%).

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 -2.9% 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

The regime remains Choppy Neutral with a composite score of 0.0425, having begun on July 23. Broad market breadth is constructive: 67.5% of stocks trade above their 50-day moving average and advancing volume outweighs declining by 1.55 to 1. Intraday, counter-trend forces dominate as Broken Momentum / Avoid rallies 2.34% and Communication Services gains 2.64%, while Energy drops 1.93%. Factor spreads show Momentum - LowVol at -2.83% and Semis - Market at -2.90%, underscoring the rotational, choppy character of the session.

Session Snapshot →
Factors

Broken Momentum / Avoid leads production factors with a 2.34% intraday surge, while Oversold / Mean-Reversion Watch rebounds 1.97%. Extended Momentum Risk gives back 0.62%, and Low-Vol Aligned Uptrend is flat at -0.09%. Thematic Momentum Leadership adds 0.65% and Institutional Large-Cap Accumulation posts a 0.29% gain. Breadth within the leading factor is strong at 84.89% advancing, while only 35.48% of Extended Momentum Risk members advance, confirming a rotation out of extended winners.

Intraday Factor Moves →
Sectors

Communication Services paces sector gains at 2.64%, with Consumer Discretionary up 1.88% and Health Care rising 1.13%. Energy is the clear laggard, down 1.93%, as Utilities shed 0.92% and Industrials slip 0.09%. Financials post a 0.76% advance and Real Estate adds 0.33%.

Sector Rotation →
Connections
  • Broken Momentum / Avoid d1 is stretched at +2.5σ — mean-reversion pressure. Sigma Board →
  • Momentum - LowVol d1 is stretched at -1.9σ — mean-reversion pressure. Sigma Board →
  • Sharpest cell: Oversold / Mean-Reversion Watch × Information Technology +4.1% (n14) vs Extended Momentum Risk × Energy -2.5% (n8) — long/short the spread, not the index. Factor × Sector →
  • Rotation spread: Communication Services +2.6% over Energy -1.9% (4.6pp). Sector Rotation →

Session Snapshot

CAC +0.60mixed
−risk-off0+risk-on
Equitiesbroad index tape · 6/8 adv
+0.21%med
Rates & Creditduration + credit spread · 11/12 adv
+0.27%med
Commodities & FXgold · oil · the dollar · 3/5 adv
+0.81%med
Globalint'l / EM equity · 10/15 adv
+0.32%med
US Benchmarks8
RSP+0.7%rvol 1.2
IWM+0.5%rvol 1.6
DIA+0.4%rvol 1.7
IJR+0.3%rvol 0.9
MDY+0.1%rvol 1.1
VTI+0.0%rvol 1.5
SPY-0.1%rvol 1.2
QQQ-0.5%rvol 1.9
Rates & Credit12
TLT+0.6%rvol 1.2
VCLT+0.4%rvol 1.1
PFF+0.4%rvol 0.9
ANGL+0.4%rvol 3.4
LQD+0.3%rvol 1.8
IEF+0.3%rvol 0.8
VCIT+0.2%rvol 1.9
FALN+0.2%rvol 0.6
SRLN+0.1%rvol 0.7
HYG+0.1%rvol 1.6
SHY+0.0%rvol 1.3
JAAA+0.0%rvol 0.9
Commodities & FX5
SLV+1.0%rvol 1.1
IBIT+1.0%rvol 1.3
GLD+0.8%rvol 0.8
UUP-0.1%rvol 0.9
USO-7.7%rvol 2.4
Global15KWEB +2.8% · FLKR -2.7%
KWEB+2.8%rvol 1.4
FXI+2.0%rvol 1.1
FLIN+1.6%rvol 0.3
FLCH+1.6%rvol 0.8
EFV+0.6%rvol 0.6
VGK+0.5%rvol 1.8
EFA+0.4%rvol 1.2
EWZ+0.3%rvol 1.2
VXUS+0.2%rvol 1.5
FLJP+0.1%rvol 0.6
EEM-0.1%rvol 1.5
EWJ-0.1%rvol 0.8
EWO-1.1%rvol 0.2
EWY-2.6%rvol 1.5
FLKR-2.7%rvol 0.8
Style & Factor11
USMV+0.7%rvol 0.8
IWD+0.6%rvol 1.2
JEPI+0.5%rvol 1.5
QUAL+0.2%rvol 0.9
VTV+0.1%rvol 1.2
SPLV+0.1%rvol 1.3
VUG-0.1%rvol 0.9
VLUE-0.4%rvol 0.4
IWF-0.6%rvol 1.1
SPHB-0.7%rvol 1.0
MTUM-2.1%rvol 1.6
Sectors11
XLC+1.8%rvol 1.6
XLP+1.3%rvol 1.9
XLY+1.1%rvol 1.1
XLV+0.9%rvol 1.2
XLF+0.7%rvol 1.1
XLB+0.1%rvol 1.1
XLI-0.1%rvol 1.5
XLRE-0.3%rvol 1.4
XLU-1.1%rvol 1.1
XLK-1.2%rvol 1.6
XLE-1.5%rvol 1.7
Industry Themes11IGV +3.9% · DRAM -3.1%
IGV+3.9%rvol 2.7
ITA+1.6%rvol 1.9
XBI+1.1%rvol 1.9
XHB+0.7%rvol 0.8
ARKK+0.5%rvol 1.4
KRE-0.1%rvol 1.0
TAN-0.3%rvol 2.1
VGT-1.0%rvol 1.6
SMH-2.9%rvol 1.5
SOXX-3.1%rvol 2.7
DRAM-3.1%rvol 2.4
Bellwether Singles22ORCL +4.8% · VST -3.9%
ORCL+4.8%rvol 1.5
MSFT+2.6%rvol 1.0
GOOGL+2.4%rvol 1.4
CCJ+1.6%rvol 1.1
ENPH+1.4%rvol 0.8
AAPL+1.1%rvol 1.3
META+0.6%rvol 0.8
FCEL+0.4%rvol 0.8
NBIS+0.3%rvol 1.8
BAC+0.0%rvol 1.4
JPM+0.0%rvol 0.9
FSLR-0.1%rvol 1.0
AMZN-0.2%rvol 0.9
BE-0.5%rvol 1.7
CEG-0.7%rvol 1.2
CRWV-1.0%rvol 1.2
DUK-1.0%rvol 0.8
NEE-1.2%rvol 0.8
GS-1.3%rvol 1.5
TSLA-1.5%rvol 1.7
SPCX-3.5%rvol 1.6
VST-3.9%rvol 1.5

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

SPY-0.05%gap +0.81% · open -0.85%
Best factor+2.34%Broken Momentum / Avoid
Worst factor-0.62%Extended Momentum Risk
Breadth73%baskets +ve · A/D 627/371
Up/Down Vol1.55xvolume in advancers vs decliners

Actionable Trading Ideas

High convictionpb:gap_fade_dn1
LONGsame-day

Fade XLE's -2.0% down-gap into the close

Down-gap fade into the close
XLE gapped -2.0% at the open · 1 proxy 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: XLE
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.

Intraday Factor Moves

LeadingBroken Momentum / Avoid +2.3%Oversold / Mean-Reversion Watch +2.0%Thematic Momentum Leadership +0.7%
LaggingExtended Momentum Risk -0.6%Low-Vol Aligned Uptrend -0.1%Smaller-Cap High-Beta Breakout +0.2%

Top-to-bottom basket spread 3.0pp 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 +1.3+1.97%
ID+2.0%
1D+2.0%
3D-3.6%
1W-3.4%
MTD-16.4%
1M-16.0%
3M-16.7%
YTD-6.5%
1Y+13.1%
2Y+85.0%
Unclassified / Insufficient Data thin — n<108 names · 100% covz +0.8+1.42%
ID+1.4%
1D+1.4%
3D+2.0%
1W+1.5%
MTD-4.0%
1M-0.2%
3M+10.6%
YTD+35.1%
Thematic Momentum Leadership104 names · 100% covz +0.3+0.65%
ID+0.7%
1D+0.7%
3D+2.0%
1W+2.4%
MTD+6.8%
1M+8.9%
3M+28.0%
YTD+33.7%
1Y+44.4%
2Y+65.0%
Neutral / Transition507 names · 100% covz +0.3+0.45%
ID+0.5%
1D+0.5%
3D-0.1%
1W+0.5%
MTD-2.4%
1M-1.4%
3M+5.8%
YTD+20.1%
1Y+36.2%
2Y+57.4%
Institutional Large-Cap Accumulation33 names · 100% covz -0.1+0.29%
ID+0.3%
1D+0.3%
3D+1.7%
1W+2.7%
MTD+8.0%
1M+9.8%
3M+23.5%
YTD+30.6%
1Y+39.5%
2Y+60.4%
Smaller-Cap High-Beta Breakout27 names · 100% covz -0.4+0.20%
ID+0.2%
1D+0.2%
3D+0.5%
1W+0.9%
MTD+7.8%
1M+13.4%
3M+51.3%
YTD+88.7%
1Y+149.8%
2Y+136.0%
Low-Vol Aligned Uptrend107 names · 98% covz -0.3-0.09%
ID-0.1%
1D-0.1%
3D+0.9%
1W+1.2%
MTD+3.1%
1M+3.1%
3M+7.1%
YTD+15.3%
1Y+18.8%
2Y+28.0%
Extended Momentum Risk31 names · 100% covz -1.0-0.62%
ID-0.6%
1D-0.6%
3D+4.4%
1W+5.9%
MTD+15.5%
1M+15.3%
3M+18.8%
YTD+27.6%
1Y+36.7%
2Y+36.4%

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+2.64%
Consumer Discretionary+1.90%
Consumer Staples+1.74%
Health Care+1.13%
Information Technology+0.99%
Financials+0.76%
Real Estate+0.33%
Materials+0.07%
Industrials-0.09%
Utilities-0.92%
Energy-1.93%
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+1.1%1D
100 names · 68% covaggregate only
ID+1.9%WTD+1.1%MTD-0.2%YTD+17.1%
Consumer / Retail+0.8%1D
503 names · 72% cov
ID+1.4%WTD+0.8%MTD+1.2%YTD+8.0%
Crypto / Digital Assets+0.7%1D
157 names · 68% covaggregate only
ID+1.0%WTD+0.7%MTD+0.4%YTD+13.2%
Financials / Credit+0.5%1D
689 names · 61% cov
ID+1.0%WTD+0.5%MTD+1.2%YTD+11.1%
AI Infrastructure+0.5%1D
919 names · 77% covaggregate only
ID+0.8%WTD+0.5%MTD-4.2%YTD+16.9%
Housing / Real Estate+0.4%1D
465 names · 69% cov
ID+0.7%WTD+0.4%MTD+0.8%YTD+10.5%
Healthcare / Biotech degraded+0.3%1D
721 names · 55% cov
ID+0.7%WTD+0.3%MTD-1.3%YTD+20.4%
Macro Rates / Inflation+0.3%1D
560 names · 75% covaggregate only
ID+0.4%WTD+0.3%MTD-1.0%YTD+16.8%
Defense / Aerospace+0.2%1D
220 names · 76% cov
ID+0.3%WTD+0.2%MTD-7.6%YTD+23.9%
Industrial Automation+0.1%1D
540 names · 74% covaggregate only
ID+0.1%WTD+0.1%MTD-4.4%YTD+19.5%
Energy Transition-0.1%1D
286 names · 79% cov
ID-0.1%WTD-0.1%MTD-5.7%YTD+16.1%
Oil & Gas-0.1%1D
295 names · 79% cov
ID-0.1%WTD-0.1%MTD+0.1%YTD+17.5%
Commodities / Materials-0.2%1D
184 names · 71% cov
ID-0.5%WTD-0.2%MTD-3.9%YTD+10.5%
Semiconductors-0.5%1D
207 names · 84% cov
ID-0.7%WTD-0.5%MTD-11.1%YTD+47.2%

Cloud Software rallies 2.14% intraday, leading all themes, with Cybersecurity gaining 1.89% and Consumer / Retail up 1.38%. Crypto / Digital Assets rise 0.97% and Financials / Credit add 0.97%. Conversely, Semiconductors decline 0.67%, and Commodities / Materials slip 0.47%. Oil & Gas and Energy Transition are nearly flat, down 0.12% and 0.13% respectively. The breadth within Cloud Software is strong at 71.76% advancing, while Semiconductors struggle with only 46.09% of constituents positive.

Sigma Board
−3σ0+3σ
Broken Momentum / Avoid d1basket · +2.34% · 60d · n=38+2.50σ
Momentum - LowVol d1spread · -2.83% · 252d · n=252-1.89σ
Semis - Market d1spread · -2.90% · 252d · n=252-1.73σ
% above SMA200breadth · 70.41 · 60d · n=60+1.70σ
Growth - Value w1spread · -3.16% · 252d · n=252-1.57σ
EqualWeight - CapWeight w1spread · +1.70% · 252d · n=252+1.55σ
% above SMA50breadth · 67.50 · 60d · n=60+1.53σ
EqualWeight - CapWeight d1spread · +0.73% · 252d · n=252+1.44σ

The intraday spread board reflects a sharp unwind of momentum and high-beta: Momentum - LowVol spread compresses to -2.83%, HighBeta - LowVol to -0.72%, and Growth - Value to -1.12%. Semis - Market lags significantly at -2.90%, while Small - Large widens 0.59% and EqualWeight - CapWeight expands 0.73%. Credit tightens modestly at -0.22% and Duration widens 0.64%, indicating a mixed risk appetite across asset classes.

Factor × Sector Map
Oversold / Mean-Reversion Watchn14
Information Technology
+4.1%1D
ID+4.1%WTD+4.1%MTD-18.1%
Broken Momentum / Avoidn21
Information Technology
+4.0%1D
ID+4.0%WTD+4.0%MTD+3.9%
Broken Momentum / Avoidn15
Communication Services
+3.3%1D
ID+3.3%WTD+3.3%MTD+1.5%
Broken Momentum / Avoidn14
Financials
+3.0%1D
ID+3.0%WTD+3.0%MTD+2.1%
Neutral / Transitionn20
Communication Services
+2.7%1D
ID+2.7%WTD+2.7%MTD+3.0%
Broken Momentum / Avoidn8
Consumer Staples
+2.7%1D
ID+2.7%WTD+2.7%MTD+0.9%
Broken Momentum / Avoidn23
Consumer Discretionary
+2.3%1D
ID+2.3%WTD+2.3%MTD-1.7%
Broken Momentum / Avoidn10
Health Care
+2.3%1D
ID+2.3%WTD+2.3%MTD+0.9%
Oversold / Mean-Reversion Watchn5
Health Care
+2.3%1D
ID+2.3%WTD+2.3%MTD-18.4%
Thematic Momentum Leadershipn14
Information Technology
+2.2%1D
ID+2.2%WTD+2.2%MTD+6.6%
Neutral / Transitionn63
Consumer Discretionary
+2.0%1D
ID+2.0%WTD+2.0%MTD+0.6%
Smaller-Cap High-Beta Breakoutn6
Information Technology
+1.9%1D
ID+1.9%WTD+1.9%MTD+5.7%
Neutral / Transitionn27
Consumer Staples
+1.8%1D
ID+1.8%WTD+1.8%MTD+2.0%
Smaller-Cap High-Beta Breakoutn4
Consumer Discretionary
+1.7%1D
ID+1.7%WTD+1.7%MTD+11.6%
Oversold / Mean-Reversion Watchn6
Communication Services
+1.6%1D
ID+1.6%WTD+1.6%MTD-11.9%
Neutral / Transitionn50
Health Care
+1.6%1D
ID+1.6%WTD+1.6%MTD+0.1%
Broken Momentum / Avoidn26
Industrials
+1.4%1D
ID+1.4%WTD+1.4%MTD-7.9%
Oversold / Mean-Reversion Watchn5
Consumer Discretionary
+1.4%1D
ID+1.4%WTD+1.4%MTD-12.7%
Unclassified / Insufficient Datan3
Information Technology
+1.3%1D
ID+1.3%WTD+1.3%MTD-5.5%
Broken Momentum / Avoidn9
Real Estate
+1.2%1D
ID+1.2%WTD+1.2%MTD+1.2%
Oversold / Mean-Reversion Watchn3
Utilities
+1.1%1D
ID+1.1%WTD+1.1%MTD-11.8%
Extended Momentum Riskn6
Health Care
+0.9%1D
ID+0.9%WTD+0.9%MTD+12.4%
Thematic Momentum Leadershipn23
Financials
+0.8%1D
ID+0.8%WTD+0.8%MTD+8.4%
Institutional Large-Cap Accumulationn9
Financials
+0.8%1D
ID+0.8%WTD+0.8%MTD+7.6%
Thematic Momentum Leadershipn9
Consumer Discretionary
+0.8%1D
ID+0.8%WTD+0.8%MTD+10.1%
Thematic Momentum Leadershipn30
Health Care
+0.7%1D
ID+0.7%WTD+0.7%MTD+4.5%
Thematic Momentum Leadershipn6
Consumer Staples
+0.7%1D
ID+0.7%WTD+0.7%MTD+9.9%
Institutional Large-Cap Accumulationn4
Information Technology
+0.7%1D
ID+0.7%WTD+0.7%MTD+9.2%
Low-Vol Aligned Uptrendn4
Consumer Staples
+0.6%1D
ID+0.6%WTD+0.6%MTD+1.3%
Oversold / Mean-Reversion Watchn4
Materials
+0.6%1D
ID+0.6%WTD+0.6%MTD-13.4%
Extended Momentum Riskn3
Financials
+0.6%1D
ID+0.6%WTD+0.6%MTD+20.1%
Institutional Large-Cap Accumulationn8
Health Care
+0.5%1D
ID+0.5%WTD+0.5%MTD+5.0%
Oversold / Mean-Reversion Watchn3
Financials
+0.5%1D
ID+0.5%WTD+0.5%MTD-17.6%
Neutral / Transitionn67
Financials
+0.5%1D
ID+0.5%WTD+0.5%MTD+2.4%
Broken Momentum / Avoidn12
Materials
+0.3%1D
ID+0.3%WTD+0.3%MTD-1.7%
Neutral / Transitionn23
Real Estate
+0.3%1D
ID+0.3%WTD+0.3%MTD+0.6%
Thematic Momentum Leadershipn11
Real Estate
+0.3%1D
ID+0.3%WTD+0.3%MTD+5.9%
Low-Vol Aligned Uptrendn28
Financials
+0.3%1D
ID+0.3%WTD+0.3%MTD+4.2%
Neutral / Transitionn13
Materials
+0.2%1D
ID+0.2%WTD+0.2%MTD-4.3%
Low-Vol Aligned Uptrendn18
Industrials
+0.2%1D
ID+0.2%WTD+0.2%MTD+3.0%
Low-Vol Aligned Uptrendn19
Real Estate
+0.1%1D
ID+0.1%WTD+0.1%MTD+4.7%
Institutional Large-Cap Accumulationn6
Industrials
+0.1%1D
ID+0.1%WTD+0.1%MTD+6.7%
Low-Vol Aligned Uptrendn3
Information Technology
-0.1%1D
ID-0.1%WTD-0.1%MTD-0.0%
Oversold / Mean-Reversion Watchn6
Industrials
-0.2%1D
ID-0.2%WTD-0.2%MTD-23.7%
Extended Momentum Riskn8
Industrials
-0.2%1D
ID-0.2%WTD-0.2%MTD+12.8%
Neutral / Transitionn102
Information Technology
-0.2%1D
ID-0.2%WTD-0.2%MTD-9.3%
Smaller-Cap High-Beta Breakoutn15
Health Care
-0.3%1D
ID-0.3%WTD-0.3%MTD+5.0%
Neutral / Transitionn109
Industrials
-0.4%1D
ID-0.4%WTD-0.4%MTD-5.3%
Extended Momentum Riskn3
Real Estate
-0.5%1D
ID-0.5%WTD-0.5%MTD+13.0%
Low-Vol Aligned Uptrendn26
Utilities
-0.9%1D
ID-0.9%WTD-0.9%MTD+2.0%
Thematic Momentum Leadershipn5
Materials
-0.9%1D
ID-0.9%WTD-0.9%MTD+7.8%
Institutional Large-Cap Accumulationn5
Energy
-1.2%1D
ID-1.2%WTD-1.2%MTD+14.1%
Neutral / Transitionn15
Utilities
-1.4%1D
ID-1.4%WTD-1.4%MTD-1.7%
Neutral / Transitionn18
Energy
-1.5%1D
ID-1.5%WTD-1.5%MTD+2.8%
Thematic Momentum Leadershipn4
Industrials
-1.6%1D
ID-1.6%WTD-1.6%MTD+1.5%
Extended Momentum Riskn8
Energy
-2.5%1D
ID-2.5%WTD-2.5%MTD+16.8%
Where each factor basket is working by sector — sorted by 1-day equal-weight return, ≥3 names per cell.
Regime Assessment
14 days · 60 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+0.50
rotation-1.10
size-0.10
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 Choppy Neutral regime, with a composite score of 0.0425 and confidence of 87%, began on July 23 and has an expected dwell of 7.7 trading days. The probability of persisting five days stands at 55%. Component scores show a neutral trend (0.0), constructive breadth (1.4), and contained volatility (0.5), offset by negative rotation (-1.1) and style (-1.25) signals, indicating defensive positioning. Same-day ETF tilts predominantly favor SMH (+12.2 bp) and QQQ (+3.2 bp) while low-volatility and value proxies lag. The composite declined 0.33 from the morning run, suggesting intraday erosion.

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 · MIDDAY 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.