Morning · 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 +0.59% since prior close; Oversold / Mean-Reversion Watch leads (+2.50%), Extended Momentum Risk lags (-0.20%).

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 playbook3/4 tracking

biggest divergence: SMH -1.3% 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 session opened with broad buying as 89.58% of baskets trade positive and 768 stocks advance versus 227 declining, yielding an advance-decline ratio of 3.38. The S&P 500 composite is modestly higher, and 68.81% of constituents sit above their 50-day moving average. Small caps lead large caps by 0.60% intraday, while micro and nano caps are essentially flat or slightly negative. Volume is elevated in beaten-down names, with the Oversold / Mean-Reversion Watch basket posting a median relative volume of 1.10 and gaining 2.50% intraday. The regime remains Choppy Neutral, a condition that historically precedes elevated volatility.

Session Snapshot →
Factors

Factor baskets show strong reversals in oversold and broken momentum cohorts. The Oversold / Mean-Reversion Watch basket leads with a 2.50% intraday gain on 85.42% advancing breadth and a median rvol of 1.10, suggesting capitulation buying. Broken Momentum / Avoid adds 1.98% with 91.37% breadth and rvol of 0.69, indicating short covering. Conversely, Extended Momentum Risk edges lower by -0.20% on only 45.16% breadth, as late-cycle momentum names face distribution. The Neutral / Transition basket gains 1.06% with 75.0% breadth, reflecting the broad-based nature of the rally. Low-Vol Aligned Uptrend advances 0.35% with characteristic low participation.

Intraday Factor Moves →
Sectors

Communication Services leads sector returns with a 1.80% intraday gain on 90.48% breadth, followed by Consumer Discretionary (+1.73%, 90.57% breadth) and Information Technology (+1.58%, 75.45% breadth). Financials rise 1.47% with the strongest sector breadth of 92.57%. Energy is the sole declining sector, down -0.69% with only 23.08% of constituents advancing and a median rvol of 1.18, reflecting acute selling pressure. Utilities barely move (+0.04%, 38.64% breadth), and Real Estate is similarly subdued. The rotation rewards previously beaten-down growth-oriented sectors while punishing commodity and defensive areas, consistent with a Choppy Neutral regime where reversals are common.

Sector Rotation →
Connections
  • Adv/Dec ratio is stretched at +2.9σ — mean-reversion pressure. Sigma Board →
  • Broken Momentum / Avoid d1 is stretched at +2.1σ — mean-reversion pressure. Sigma Board →
  • Sharpest cell: Oversold / Mean-Reversion Watch × Information Technology +4.7% (n14) vs Extended Momentum Risk × Energy -1.5% (n8) — long/short the spread, not the index. Factor × Sector →
  • Rotation spread: Communication Services +1.8% over Energy -0.7% (2.5pp). Sector Rotation →

Session Snapshot

CAC +0.60mixed
−risk-off0+risk-on
Equitiesbroad index tape · 8/8 adv
+0.83%med
Rates & Creditduration + credit spread · 12/12 adv
+0.26%med
Commodities & FXgold · oil · the dollar · 3/5 adv
+0.79%med
Globalint'l / EM equity · 14/15 adv
+1.06%med
US Benchmarks8
IWM+1.2%rvol 1.9
DIA+1.0%rvol 2.8
IJR+0.9%rvol 0.9
RSP+0.9%rvol 1.5
MDY+0.8%rvol 1.5
VTI+0.7%rvol 1.8
SPY+0.6%rvol 1.1
QQQ+0.5%rvol 1.7
Rates & Credit12
TLT+0.6%rvol 1.2
PFF+0.6%rvol 1.0
VCLT+0.4%rvol 0.4
ANGL+0.4%rvol 0.9
LQD+0.3%rvol 0.7
FALN+0.3%rvol 0.3
IEF+0.2%rvol 0.8
VCIT+0.2%rvol 1.4
HYG+0.2%rvol 1.9
SRLN+0.1%rvol 0.2
SHY+0.0%rvol 0.5
JAAA+0.0%rvol 1.1
Commodities & FX5
IBIT+2.0%rvol 2.2
SLV+1.2%rvol 1.4
GLD+0.8%rvol 0.9
UUP-0.1%rvol 0.4
USO-6.5%rvol 4.9
Global15KWEB +1.6% · EWO -0.3%
KWEB+1.6%rvol 1.1
FXI+1.4%rvol 0.9
FLIN+1.4%rvol 0.4
EWY+1.2%rvol 0.6
FLJP+1.2%rvol 0.3
FLKR+1.1%rvol 0.6
FLCH+1.1%rvol 0.4
EWJ+1.1%rvol 0.4
EEM+1.0%rvol 1.3
EFV+0.9%rvol 0.3
EFA+0.9%rvol 1.1
VXUS+0.9%rvol 1.6
VGK+0.8%rvol 0.8
EWZ+0.1%rvol 1.2
EWO-0.3%rvol 0.2
Style & Factor11
SPHB+1.1%rvol 1.0
VLUE+0.9%rvol 0.4
IWD+0.8%rvol 0.3
JEPI+0.8%rvol 2.2
USMV+0.8%rvol 1.1
VUG+0.7%rvol 0.9
QUAL+0.7%rvol 1.3
VTV+0.6%rvol 1.0
IWF+0.5%rvol 0.4
SPLV+0.3%rvol 1.6
MTUM-0.1%rvol 1.4
Sectors11
XLC+1.6%rvol 1.1
XLY+1.4%rvol 1.3
XLF+1.3%rvol 1.6
XLP+0.8%rvol 1.6
XLV+0.5%rvol 1.0
XLI+0.5%rvol 1.5
XLB+0.5%rvol 1.7
XLK+0.2%rvol 1.7
XLRE+0.0%rvol 3.7
XLU-0.1%rvol 1.1
XLE-0.6%rvol 3.0
Industry Themes11IGV +3.1% · SMH -0.7%
IGV+3.1%rvol 2.0
ITA+1.9%rvol 1.7
XBI+1.8%rvol 2.7
DRAM+1.7%rvol 1.6
ARKK+1.6%rvol 1.2
XHB+1.3%rvol 1.7
KRE+0.7%rvol 0.9
TAN+0.5%rvol 2.0
VGT+0.3%rvol 1.4
SOXX-0.4%rvol 2.3
SMH-0.7%rvol 1.0
Bellwether Singles22ORCL +5.3% · SPCX -2.0%
ORCL+5.3%rvol 2.1
CCJ+3.6%rvol 1.2
GOOGL+2.9%rvol 1.9
FCEL+2.7%rvol 0.9
BE+2.3%rvol 1.8
GS+2.1%rvol 1.2
MSFT+1.9%rvol 1.2
CRWV+1.8%rvol 1.2
NBIS+1.6%rvol 2.2
ENPH+1.5%rvol 0.7
META+1.4%rvol 0.9
JPM+1.4%rvol 0.9
FSLR+1.3%rvol 0.6
AMZN+1.1%rvol 0.9
BAC+1.0%rvol 1.6
AAPL+0.8%rvol 1.2
NEE+0.3%rvol 0.9
CEG-0.4%rvol 0.9
TSLA-0.5%rvol 2.1
DUK-0.5%rvol 0.8
VST-1.1%rvol 1.2
SPCX-2.0%rvol 1.7

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

SPY+0.59%gap +0.81% · open -0.22%
Best factor+2.50%Oversold / Mean-Reversion Watch
Worst factor-0.20%Extended Momentum Risk
Breadth90%baskets +ve · A/D 768/227
Up/Down Vol2.97xvolume 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

LeadingOversold / Mean-Reversion Watch +2.5%Broken Momentum / Avoid +2.0%Neutral / Transition +1.1%
LaggingExtended Momentum Risk -0.2%Low-Vol Aligned Uptrend +0.3%Institutional Large-Cap Accumulation +0.6%

Top-to-bottom basket spread 2.7pp today · dispersion Styles z60 +0.4 (typical), Sectors z60 -0.5 (typical) · flow confirms none of the leaders.

Oversold / Mean-Reversion Watch49 names · 98% covz +1.6+2.50%
ID+2.5%
1D+2.5%
3D-3.1%
1W-2.9%
MTD-16.1%
1M-15.7%
3M-16.2%
YTD-5.8%
1Y+14.0%
2Y+86.2%
Broken Momentum / Avoid139 names · 100% covz +2.3+1.98%
ID+2.0%
1D+2.0%
3D+1.2%
1W+0.6%
MTD-1.2%
1M-0.1%
3M-14.3%
YTD-15.4%
1Y-13.2%
2Y+7.3%
Unclassified / Insufficient Data thin — n<108 names · 100% covz +1.1+1.92%
ID+1.9%
1D+1.9%
3D+2.5%
1W+2.0%
MTD-3.6%
1M+0.2%
3M+11.1%
YTD+35.9%
Neutral / Transition507 names · 100% covz +1.0+1.07%
ID+1.1%
1D+1.1%
3D+0.5%
1W+1.2%
MTD-1.9%
1M-0.9%
3M+6.5%
YTD+21.3%
1Y+37.7%
2Y+58.7%
Smaller-Cap High-Beta Breakout27 names · 100% covz +0.2+1.03%
ID+1.0%
1D+1.0%
3D+1.4%
1W+1.8%
MTD+8.7%
1M+14.3%
3M+52.6%
YTD+90.5%
1Y+151.2%
2Y+138.0%
Thematic Momentum Leadership104 names · 100% covz +0.7+0.95%
ID+0.9%
1D+0.9%
3D+2.3%
1W+2.7%
MTD+7.0%
1M+9.2%
3M+28.4%
YTD+34.4%
1Y+45.2%
2Y+65.8%
Institutional Large-Cap Accumulation33 names · 100% covz +0.3+0.57%
ID+0.6%
1D+0.6%
3D+2.0%
1W+3.0%
MTD+8.3%
1M+10.1%
3M+24.0%
YTD+31.2%
1Y+40.1%
2Y+61.1%
Low-Vol Aligned Uptrend107 names · 98% covz +0.3+0.35%
ID+0.3%
1D+0.3%
3D+1.4%
1W+1.6%
MTD+3.5%
1M+3.6%
3M+7.5%
YTD+15.8%
1Y+19.4%
2Y+28.6%
Extended Momentum Risk31 names · 100% covz -0.6-0.20%
ID-0.2%
1D-0.2%
3D+4.8%
1W+6.4%
MTD+16.0%
1M+15.8%
3M+19.3%
YTD+28.2%
1Y+37.3%
2Y+36.8%

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+1.84%
Consumer Discretionary+1.75%
Information Technology+1.58%
Financials+1.47%
Health Care+1.18%
Consumer Staples+1.03%
Industrials+0.90%
Materials+0.66%
Real Estate+0.33%
Utilities+0.04%
Energy-0.69%
Themes and Keyword Baskets
Crypto / Digital Assets+1.1%1D
157 names · 68% covaggregate only
ID+1.7%WTD+1.1%MTD+0.8%YTD+13.9%
Cloud Software+1.1%1D
285 names · 77% covaggregate only
ID+1.9%WTD+1.1%MTD-0.2%YTD+9.7%
Cybersecurity+1.1%1D
100 names · 68% covaggregate only
ID+1.9%WTD+1.1%MTD-0.2%YTD+17.8%
AI Infrastructure+0.8%1D
919 names · 77% covaggregate only
ID+1.3%WTD+0.8%MTD-4.0%YTD+17.6%
Consumer / Retail+0.7%1D
503 names · 72% cov
ID+1.3%WTD+0.7%MTD+1.1%YTD+8.0%
Defense / Aerospace+0.7%1D
220 names · 76% cov
ID+1.3%WTD+0.7%MTD-7.2%YTD+24.8%
Financials / Credit+0.7%1D
689 names · 61% cov
ID+1.3%WTD+0.7%MTD+1.3%YTD+11.4%
Macro Rates / Inflation+0.5%1D
560 names · 75% covaggregate only
ID+0.9%WTD+0.5%MTD-0.8%YTD+17.3%
Housing / Real Estate+0.5%1D
465 names · 69% cov
ID+0.9%WTD+0.5%MTD+0.8%YTD+10.7%
Industrial Automation+0.5%1D
540 names · 74% covaggregate only
ID+0.9%WTD+0.5%MTD-4.0%YTD+20.3%
Healthcare / Biotech degraded+0.5%1D
721 names · 55% cov
ID+1.2%WTD+0.5%MTD-1.1%YTD+20.7%
Energy Transition+0.4%1D
286 names · 79% cov
ID+0.7%WTD+0.4%MTD-5.3%YTD+16.8%
Semiconductors+0.4%1D
207 names · 84% cov
ID+0.6%WTD+0.4%MTD-10.5%YTD+48.9%
Oil & Gas+0.3%1D
295 names · 79% cov
ID+0.5%WTD+0.3%MTD+0.5%YTD+18.1%
Commodities / Materials+0.2%1D
184 names · 71% cov
ID+0.4%WTD+0.2%MTD-3.5%YTD+11.2%

Thematic baskets show a clear bid for earlier-stage growth and digital assets. Cybersecurity leads with a 1.11% intraday gain on 89.74% advancing breadth, followed closely by Cloud Software (+1.12%) and Crypto / Digital Assets (+1.13%). Financials / Credit adds 0.67% with broad participation. AI Infrastructure gains 0.77% but lags the broader move. Commodities-related themes underperform: Commodities / Materials ekes out 0.21%, Oil & Gas adds 0.31%, and Semiconductors only +0.38%. Energy Transition is up just 0.41%. The median relative volume across themes is moderate, with Semiconductors at 0.76 indicating continued pressure. Overall, the theme board favors tech-adjacent and reflationary plays over cyclical resources.

Sigma Board
−3σ0+3σ
Adv/Dec ratiobreadth · 3.38 · 60d · n=60+2.88σ
Broken Momentum / Avoid d1basket · +1.98% · 60d · n=38+2.10σ
% above SMA50breadth · 68.81 · 60d · n=60+1.85σ
% above SMA200breadth · 70.71 · 60d · n=60+1.77σ
Neutral / Transition d1basket · +1.06% · 60d · n=38+1.51σ
Oversold / Mean-Reversion Watch d1basket · +2.50% · 60d · n=38+1.49σ
EqualWeight - CapWeight w1spread · +1.29% · 252d · n=252+1.19σ
Growth - Value w1spread · -2.38% · 252d · n=252-1.15σ

The cross-factor sigma board reflects a market in transition. The Momentum-minus-LowVol spread is -0.89% intraday, signaling that low-volatility names are outpacing momentum plays, while the HighBeta-minus-LowVol spread is +0.85%, indicating that some high-beta segments are catching a bid. Growth-minus-Value sits at -0.33%, favoring value modestly. Small-minus-Large is +0.60%, rewarding size and cyclicality. Semiconductors are notably weak, with the Semis-minus-Market spread at -1.30%. The Quality-minus-Extended Risk spread is +0.55%, highlighting a demand for quality. This mixed spread environment points to rotational rather than directional conviction.

Factor × Sector Map
Oversold / Mean-Reversion Watchn14
Information Technology
+4.7%1D
ID+4.7%WTD+4.7%MTD-17.8%
Broken Momentum / Avoidn14
Financials
+3.8%1D
ID+3.8%WTD+3.8%MTD+2.8%
Broken Momentum / Avoidn21
Information Technology
+2.7%1D
ID+2.7%WTD+2.7%MTD+2.3%
Oversold / Mean-Reversion Watchn5
Health Care
+2.2%1D
ID+2.2%WTD+2.2%MTD-18.5%
Unclassified / Insufficient Datan3
Information Technology
+2.1%1D
ID+2.1%WTD+2.1%MTD-4.9%
Smaller-Cap High-Beta Breakoutn6
Information Technology
+2.1%1D
ID+2.1%WTD+2.1%MTD+5.9%
Oversold / Mean-Reversion Watchn6
Communication Services
+2.1%1D
ID+2.1%WTD+2.1%MTD-11.6%
Oversold / Mean-Reversion Watchn3
Utilities
+2.1%1D
ID+2.1%WTD+2.1%MTD-11.0%
Thematic Momentum Leadershipn14
Information Technology
+2.0%1D
ID+2.0%WTD+2.0%MTD+6.3%
Broken Momentum / Avoidn23
Consumer Discretionary
+2.0%1D
ID+2.0%WTD+2.0%MTD-2.0%
Neutral / Transitionn20
Communication Services
+1.9%1D
ID+2.0%WTD+1.9%MTD+2.2%
Broken Momentum / Avoidn10
Health Care
+1.9%1D
ID+1.9%WTD+1.9%MTD+0.5%
Smaller-Cap High-Beta Breakoutn4
Consumer Discretionary
+1.9%1D
ID+1.9%WTD+1.9%MTD+11.8%
Broken Momentum / Avoidn8
Consumer Staples
+1.9%1D
ID+1.9%WTD+1.9%MTD+0.1%
Broken Momentum / Avoidn26
Industrials
+1.9%1D
ID+1.9%WTD+1.9%MTD-7.5%
Neutral / Transitionn63
Consumer Discretionary
+1.8%1D
ID+1.8%WTD+1.8%MTD+0.4%
Oversold / Mean-Reversion Watchn6
Industrials
+1.7%1D
ID+1.7%WTD+1.7%MTD-22.6%
Broken Momentum / Avoidn15
Communication Services
+1.7%1D
ID+1.7%WTD+1.7%MTD-0.0%
Oversold / Mean-Reversion Watchn5
Consumer Discretionary
+1.6%1D
ID+1.6%WTD+1.6%MTD-12.6%
Thematic Momentum Leadershipn23
Financials
+1.4%1D
ID+1.4%WTD+1.4%MTD+9.1%
Neutral / Transitionn50
Health Care
+1.4%1D
ID+1.4%WTD+1.4%MTD-0.1%
Neutral / Transitionn67
Financials
+1.3%1D
ID+1.3%WTD+1.3%MTD+3.2%
Institutional Large-Cap Accumulationn4
Information Technology
+1.3%1D
ID+1.3%WTD+1.3%MTD+9.8%
Oversold / Mean-Reversion Watchn3
Financials
+1.2%1D
ID+1.2%WTD+1.2%MTD-17.2%
Institutional Large-Cap Accumulationn9
Financials
+1.2%1D
ID+1.2%WTD+1.2%MTD+8.1%
Neutral / Transitionn27
Consumer Staples
+1.1%1D
ID+1.1%WTD+1.1%MTD+1.3%
Neutral / Transitionn13
Materials
+1.1%1D
ID+1.1%WTD+1.1%MTD-3.6%
Thematic Momentum Leadershipn9
Consumer Discretionary
+1.0%1D
ID+1.0%WTD+1.0%MTD+10.4%
Low-Vol Aligned Uptrendn28
Financials
+0.9%1D
ID+0.9%WTD+0.9%MTD+4.9%
Thematic Momentum Leadershipn30
Health Care
+0.9%1D
ID+0.9%WTD+0.9%MTD+4.7%
Neutral / Transitionn102
Information Technology
+0.9%1D
ID+0.9%WTD+0.9%MTD-8.6%
Neutral / Transitionn109
Industrials
+0.8%1D
ID+0.8%WTD+0.8%MTD-4.2%
Smaller-Cap High-Beta Breakoutn15
Health Care
+0.8%1D
ID+0.8%WTD+0.8%MTD+6.2%
Broken Momentum / Avoidn12
Materials
+0.7%1D
ID+0.7%WTD+0.7%MTD-1.3%
Broken Momentum / Avoidn9
Real Estate
+0.7%1D
ID+0.7%WTD+0.7%MTD+0.7%
Institutional Large-Cap Accumulationn6
Industrials
+0.5%1D
ID+0.5%WTD+0.5%MTD+7.2%
Low-Vol Aligned Uptrendn18
Industrials
+0.5%1D
ID+0.5%WTD+0.5%MTD+3.3%
Extended Momentum Riskn3
Financials
+0.5%1D
ID+0.5%WTD+0.5%MTD+20.0%
Neutral / Transitionn23
Real Estate
+0.5%1D
ID+0.5%WTD+0.5%MTD+0.8%
Oversold / Mean-Reversion Watchn4
Materials
+0.4%1D
ID+0.4%WTD+0.4%MTD-13.6%
Thematic Momentum Leadershipn11
Real Estate
+0.4%1D
ID+0.4%WTD+0.4%MTD+6.0%
Extended Momentum Riskn8
Industrials
+0.3%1D
ID+0.3%WTD+0.3%MTD+13.4%
Low-Vol Aligned Uptrendn4
Consumer Staples
+0.3%1D
ID+0.3%WTD+0.3%MTD+0.9%
Institutional Large-Cap Accumulationn8
Health Care
+0.3%1D
ID+0.3%WTD+0.3%MTD+4.8%
Extended Momentum Riskn6
Health Care
+0.3%1D
ID+0.3%WTD+0.3%MTD+11.6%
Low-Vol Aligned Uptrendn3
Information Technology
+0.2%1D
ID+0.2%WTD+0.2%MTD+0.2%
Low-Vol Aligned Uptrendn19
Real Estate
+0.1%1D
ID+0.1%WTD+0.1%MTD+4.6%
Thematic Momentum Leadershipn6
Consumer Staples
+0.0%1D
ID+0.0%WTD+0.0%MTD+9.2%
Low-Vol Aligned Uptrendn26
Utilities
-0.1%1D
ID-0.1%WTD-0.1%MTD+2.8%
Thematic Momentum Leadershipn4
Industrials
-0.1%1D
ID-0.1%WTD-0.1%MTD+3.0%
Neutral / Transitionn15
Utilities
-0.2%1D
ID-0.2%WTD-0.2%MTD-0.5%
Neutral / Transitionn18
Energy
-0.2%1D
ID-0.2%WTD-0.2%MTD+4.1%
Thematic Momentum Leadershipn5
Materials
-0.3%1D
ID-0.3%WTD-0.3%MTD+8.5%
Extended Momentum Riskn3
Real Estate
-0.5%1D
ID-0.5%WTD-0.5%MTD+13.1%
Institutional Large-Cap Accumulationn5
Energy
-0.6%1D
ID-0.6%WTD-0.6%MTD+14.8%
Extended Momentum Riskn8
Energy
-1.5%1D
ID-1.5%WTD-1.5%MTD+18.0%
Where each factor basket is working by sector — sorted by 1-day equal-weight return, ≥3 names per cell.
Regime Assessment
14 days · 59 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+0.25
breadth+1.60
volatility+1.00
rotation-1.10
size-0.10
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 Choppy Neutral (composite 0.37, confidence 0.87), having transitioned on July 23 and now in its second day. Historically, this environment precedes elevated volatility and frequent mean-reversion episodes. The breadth component (score 1.6) reflects sturdy participation—68.81% of names above the 50-day—but rotation (score -1.1) is sharply negative, signaling rapid factor churn. Volatility inputs are middling (score 1.0), and trend is weak (0.25). Empirical next-day tilts favor growth: SMH +14.2 bp, QQQ +4.1 bp, while defensive sectors like XLP and XLU show -8.8 bp and -6.5 bp, respectively. The expected dwell of 7.7 days suggests the choppy backdrop persists, with the most probable exit being Constructive Rotation (52.5% probability).

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 · MORNING 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.