Wrap · 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 +0.02% since prior close; Oversold / Mean-Reversion Watch leads (+2.37%), Extended Momentum Risk lags (-0.83%).

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 -2.3% 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 market closed under a Choppy Neutral regime (composite 0.1325, confidence 0.87) with erratic rotation. Breadth skewed positive: 633 stocks advanced versus 364 declining, on up/down volume of 1.84, and 81.25% of production baskets finished higher. Large caps rose 0.79%, while Micro Cap surged 1.83%. High-Vol Breakdown led factor performance with a 2.68% intraday gain.

Session Snapshot →
Factors

The day closed with the Oversold / Mean-Reversion Watch basket gaining 2.37% and Broken Momentum / Avoid up 2.27%, leading a broad bounce that lifted 81.25% of baskets into positive territory. The Neutral / Transition basket added 0.64%, while Extended Momentum Risk declined 0.83% and Low-Vol Aligned Uptrend slipped 0.18%. Advance-decline breadth stood at 633 advancers versus 364 decliners, with up volume 1.84 times down volume. S&P 500 equal-weight outperformed cap-weight by 0.73 percentage points, reflecting gains concentrated in smaller and previously damaged names.

Closing Factor Performance →
Sectors

Communication Services surged 2.19% and Consumer Discretionary gained 2.07%, pacing a sector rotation away from recent leaders. Energy dropped 3.02% and Utilities fell 1.01%, as the High-Vol Breakdown style basket jumped 2.68% and the Cloud Software theme rose 2.66%. Consumer Staples added 1.92%, while Industrials and Materials were barely positive. The Oversold / Mean-Reversion factor led all production and style categories at 2.37%, reflecting a sharp snapback in deeply extended and broken-momentum names. Only two of eleven sectors declined, with breadth in Communication Services reaching 88.37% advancers.

Sector Rotation →
Connections
  • Broken Momentum / Avoid d1 is stretched at +2.4σ — mean-reversion pressure. Sigma Board →
  • % above SMA200 is stretched at +1.8σ — mean-reversion pressure. Sigma Board →
  • Sharpest cell: Oversold / Mean-Reversion Watch × Information Technology +4.7% (n14) vs Extended Momentum Risk × Energy -3.5% (n8) — long/short the spread, not the index. Factor × Sector →
  • Rotation spread: Communication Services +2.2% over Energy -3.0% (5.2pp). Sector Rotation →

Session Snapshot

CAC +0.60mixed
−risk-off0+risk-on
Equitiesbroad index tape · 7/8 adv
+0.38%med
Rates & Creditduration + credit spread · 12/12 adv
+0.20%med
Commodities & FXgold · oil · the dollar · 4/5 adv
+0.65%med
Globalint'l / EM equity · 12/15 adv
+0.47%med
US Benchmarks8
RSP+0.8%rvol 0.7
IWM+0.6%rvol 0.9
DIA+0.5%rvol 0.9
IJR+0.5%rvol 0.7
MDY+0.3%rvol 0.9
VTI+0.1%rvol 0.9
SPY+0.0%rvol 0.9
QQQ-0.3%rvol 1.1
Rates & Credit12
TLT+0.6%rvol 1.1
PFF+0.4%rvol 0.7
VCLT+0.4%rvol 0.8
IEF+0.3%rvol 0.7
LQD+0.3%rvol 1.2
ANGL+0.2%rvol 1.5
VCIT+0.2%rvol 1.1
SRLN+0.1%rvol 0.6
FALN+0.1%rvol 3.0
HYG+0.1%rvol 0.9
SHY+0.0%rvol 1.0
JAAA+0.0%rvol 0.7
Commodities & FX5
IBIT+1.2%rvol 0.7
GLD+0.7%rvol 0.6
SLV+0.7%rvol 1.0
UUP+0.1%rvol 0.8
USO-8.7%rvol 1.4
Global15KWEB +2.7% · FLKR -1.4%
KWEB+2.7%rvol 1.0
FXI+2.0%rvol 0.9
FLIN+1.7%rvol 0.3
FLCH+1.6%rvol 0.4
EFV+0.6%rvol 0.3
VGK+0.5%rvol 1.0
EFA+0.5%rvol 0.8
VXUS+0.5%rvol 0.8
EEM+0.5%rvol 1.0
EWZ+0.4%rvol 0.8
FLJP+0.4%rvol 0.3
EWJ+0.3%rvol 0.5
EWO-1.0%rvol 0.2
EWY-1.1%rvol 0.8
FLKR-1.4%rvol 0.4
Style & Factor11
USMV+0.6%rvol 0.8
IWD+0.6%rvol 0.9
JEPI+0.5%rvol 1.2
VLUE+0.4%rvol 0.3
VTV+0.3%rvol 1.3
QUAL+0.2%rvol 0.8
SPHB+0.1%rvol 1.0
SPLV+0.0%rvol 1.0
VUG-0.1%rvol 0.5
IWF-0.4%rvol 0.7
MTUM-1.3%rvol 0.9
Sectors11
XLP+1.5%rvol 1.1
XLY+1.3%rvol 0.8
XLC+1.3%rvol 0.9
XLF+1.0%rvol 0.9
XLV+0.5%rvol 0.8
XLI+0.3%rvol 0.9
XLB+0.2%rvol 0.8
XLRE-0.4%rvol 0.9
XLK-0.9%rvol 0.9
XLU-1.3%rvol 0.9
XLE-2.1%rvol 1.1
Industry Themes11IGV +3.3% · SMH -2.2%
IGV+3.3%rvol 1.8
ITA+1.6%rvol 1.4
ARKK+0.9%rvol 0.8
XHB+0.7%rvol 0.5
TAN+0.6%rvol 3.2
XBI+0.1%rvol 1.0
KRE-0.3%rvol 0.6
VGT-0.8%rvol 0.9
DRAM-1.4%rvol 1.1
SOXX-2.0%rvol 1.4
SMH-2.2%rvol 3.8
Bellwether Singles22ORCL +4.3% · VST -3.9%
ORCL+4.3%rvol 0.9
ENPH+3.6%rvol 0.7
GOOGL+2.1%rvol 0.9
MSFT+1.9%rvol 0.7
BE+1.8%rvol 1.0
CCJ+1.7%rvol 0.8
FSLR+1.5%rvol 1.0
AAPL+1.2%rvol 0.8
FCEL+1.1%rvol 0.4
JPM+0.8%rvol 0.8
BAC+0.1%rvol 1.1
NBIS+0.1%rvol 1.0
META-0.2%rvol 0.6
AMZN-0.3%rvol 0.7
NEE-1.1%rvol 1.0
TSLA-1.2%rvol 1.0
GS-1.2%rvol 1.3
DUK-1.3%rvol 0.8
SPCX-1.4%rvol 0.8
CRWV-1.5%rvol 0.7
CEG-1.6%rvol 0.9
VST-3.9%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+0.02%gap +0.81% · open -0.78%
Best factor+2.37%Oversold / Mean-Reversion Watch
Worst factor-0.83%Extended Momentum Risk
Breadth81%baskets +ve · A/D 633/364
Up/Down Vol1.84xvolume 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 -1.22% (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.

Closing Factor Performance

LeadingOversold / Mean-Reversion Watch +2.4%Broken Momentum / Avoid +2.3%Neutral / Transition +0.6%
LaggingExtended Momentum Risk -0.8%Low-Vol Aligned Uptrend -0.2%Smaller-Cap High-Beta Breakout -0.2%

Top-to-bottom basket spread 3.2pp 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 +1.5+2.37%
ID+2.4%
1D+2.4%
3D-3.2%
1W-3.0%
MTD-16.1%
1M-15.7%
3M-16.4%
YTD-6.1%
1Y+13.6%
2Y+85.8%
Broken Momentum / Avoid139 names · 100% covz +2.6+2.27%
ID+2.3%
1D+2.3%
3D+1.5%
1W+0.8%
MTD-0.9%
1M+0.2%
3M-14.1%
YTD-15.2%
1Y-13.1%
2Y+7.6%
Unclassified / Insufficient Data thin — n<108 names · 100% covz +1.1+2.05%
ID+2.0%
1D+2.0%
3D+2.6%
1W+2.1%
MTD-3.4%
1M+0.4%
3M+11.5%
YTD+36.3%
Neutral / Transition507 names · 100% covz +0.5+0.64%
ID+0.6%
1D+0.6%
3D+0.1%
1W+0.7%
MTD-2.3%
1M-1.3%
3M+6.0%
YTD+20.5%
1Y+36.8%
2Y+57.9%
Thematic Momentum Leadership104 names · 100% covz +0.2+0.57%
ID+0.6%
1D+0.6%
3D+1.9%
1W+2.4%
MTD+6.7%
1M+8.8%
3M+27.9%
YTD+33.6%
1Y+44.3%
2Y+64.8%
Institutional Large-Cap Accumulation33 names · 100% covz -0.2+0.24%
ID+0.2%
1D+0.2%
3D+1.6%
1W+2.6%
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 -0.7-0.16%
ID-0.2%
1D-0.2%
3D+0.2%
1W+0.6%
MTD+7.4%
1M+13.0%
3M+50.7%
YTD+87.9%
1Y+149.1%
2Y+135.8%
Low-Vol Aligned Uptrend107 names · 98% covz -0.4-0.18%
ID-0.2%
1D-0.2%
3D+0.9%
1W+1.1%
MTD+3.0%
1M+3.0%
3M+7.0%
YTD+15.3%
1Y+18.7%
2Y+27.9%
Extended Momentum Risk31 names · 100% covz -1.3-0.83%
ID-0.8%
1D-0.8%
3D+4.2%
1W+5.7%
MTD+15.3%
1M+15.1%
3M+18.6%
YTD+27.3%
1Y+36.4%
2Y+36.0%

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+2.19%
Consumer Discretionary+2.07%
Consumer Staples+1.92%
Information Technology+1.38%
Financials+0.94%
Health Care+0.65%
Industrials+0.42%
Materials+0.17%
Real Estate+0.17%
Utilities-1.01%
Energy-3.02%
Themes and Keyword Baskets
Cloud Software+2.7%1D
285 names · 77% covaggregate only
ID+2.7%WTD+2.7%MTD+1.4%YTD+10.7%
Cybersecurity+2.2%1D
100 names · 68% covaggregate only
ID+2.2%WTD+2.2%MTD+1.1%YTD+18.4%
Consumer / Retail+1.9%1D
503 names · 72% cov
ID+1.9%WTD+1.9%MTD+2.2%YTD+8.9%
AI Infrastructure+1.3%1D
919 names · 77% covaggregate only
ID+1.3%WTD+1.3%MTD-3.4%YTD+17.7%
Crypto / Digital Assets+1.3%1D
157 names · 68% covaggregate only
ID+1.3%WTD+1.3%MTD+1.5%YTD+14.2%
Financials / Credit+1.1%1D
689 names · 61% cov
ID+1.1%WTD+1.1%MTD+1.9%YTD+11.7%
Defense / Aerospace+1.0%1D
220 names · 76% cov
ID+1.1%WTD+1.0%MTD-7.0%YTD+24.8%
Macro Rates / Inflation+0.8%1D
560 names · 75% covaggregate only
ID+0.8%WTD+0.8%MTD-0.5%YTD+17.4%
Housing / Real Estate+0.8%1D
465 names · 69% cov
ID+0.8%WTD+0.8%MTD+1.1%YTD+10.9%
Industrial Automation+0.7%1D
540 names · 74% covaggregate only
ID+0.7%WTD+0.7%MTD-3.9%YTD+20.1%
Healthcare / Biotech degraded+0.6%1D
721 names · 55% cov
ID+0.6%WTD+0.6%MTD-0.8%YTD+20.5%
Energy Transition+0.4%1D
286 names · 79% cov
ID+0.4%WTD+0.4%MTD-5.3%YTD+16.5%
Semiconductors+0.2%1D
207 names · 84% cov
ID+0.2%WTD+0.2%MTD-10.6%YTD+47.8%
Commodities / Materials+0.1%1D
184 names · 71% cov
ID+0.1%WTD+0.1%MTD-3.6%YTD+10.7%
Oil & Gas-0.4%1D
295 names · 79% cov
ID-0.4%WTD-0.4%MTD-0.4%YTD+16.9%

Cloud Software led thematic performance with a 2.66% gain, followed by Cybersecurity at 2.20% and Consumer / Retail at 1.85%. AI Infrastructure rebounded 1.31%, while Crypto / Digital Assets edged up 1.31%. The laggards included Oil & Gas, down 0.36%, and Commodities / Materials, essentially flat at 0.09%. Semiconductors limped to a 0.16% rise after a gap-open lift of 1.03% faded. Breadth among theme members was robust: Cloud Software saw 76.82% advancing, and Consumer / Retail reached 79.06%. Relative volume was moderate, with most themes trading below their 20-day average.

Sigma Board
−3σ0+3σ
Broken Momentum / Avoid d1basket · +2.27% · 60d · n=38+2.42σ
% above SMA200breadth · 70.61 · 60d · n=60+1.75σ
EqualWeight - CapWeight w1spread · +1.70% · 252d · n=252+1.55σ
Growth - Value w1spread · -3.08% · 252d · n=252-1.53σ
EqualWeight - CapWeight d1spread · +0.73% · 252d · n=252+1.44σ
Oversold / Mean-Reversion Watch d1basket · +2.37% · 60d · n=38+1.41σ
Semis - Market d1spread · -2.27% · 252d · n=252-1.39σ
Momentum - LowVol d1spread · -1.94% · 252d · n=252-1.31σ
Credit d1spread · -0.21% · 60d · n=60-1.22σ
% above SMA50breadth · 66.20 · 60d · n=60+1.22σ
Duration d1spread · +0.60% · 60d · n=60+1.16σ
Growth - Value d1spread · -1.05% · 252d · n=252-1.10σ

The regime board registers Choppy Neutral with a composite of 0.1325 and 0.87 confidence. The volatility sub-score is 0.25, informed by a 20-day realized vol percentile of 35.5 and intraday range 1.345 times the 20-day average. Breadth is supportive at 1.4, but rotation is negative (-1.1) and style dispersion is -1.0. The regime has been active for 2 days, with an expected dwell of 7.7 days; the one-day persistence probability is 0.87. The most likely exit is to Constructive Rotation (52.5%).

Factor × Sector Map
Oversold / Mean-Reversion Watchn14
Information Technology
+4.7%1D
ID+4.7%WTD+4.7%MTD-17.7%
Broken Momentum / Avoidn21
Information Technology
+4.4%1D
ID+4.4%WTD+4.4%MTD+4.1%
Broken Momentum / Avoidn14
Financials
+3.5%1D
ID+3.5%WTD+3.5%MTD+2.6%
Unclassified / Insufficient Datan3
Information Technology
+3.0%1D
ID+3.0%WTD+3.0%MTD-3.9%
Broken Momentum / Avoidn8
Consumer Staples
+2.9%1D
ID+2.9%WTD+2.9%MTD+1.1%
Neutral / Transitionn20
Communication Services
+2.6%1D
ID+2.6%WTD+2.6%MTD+2.9%
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+2.3%WTD+2.2%MTD+0.8%
Oversold / Mean-Reversion Watchn3
Utilities
+2.2%1D
ID+2.2%WTD+2.2%MTD-10.8%
Broken Momentum / Avoidn15
Communication Services
+2.1%1D
ID+2.1%WTD+2.1%MTD+0.3%
Neutral / Transitionn27
Consumer Staples
+1.9%1D
ID+1.9%WTD+1.9%MTD+2.1%
Smaller-Cap High-Beta Breakoutn4
Consumer Discretionary
+1.9%1D
ID+1.9%WTD+1.9%MTD+11.8%
Oversold / Mean-Reversion Watchn3
Financials
+1.9%1D
ID+1.9%WTD+1.9%MTD-16.5%
Broken Momentum / Avoidn26
Industrials
+1.9%1D
ID+1.9%WTD+1.9%MTD-7.5%
Oversold / Mean-Reversion Watchn5
Health Care
+1.7%1D
ID+1.7%WTD+1.7%MTD-18.9%
Oversold / Mean-Reversion Watchn6
Communication Services
+1.7%1D
ID+1.7%WTD+1.7%MTD-11.9%
Smaller-Cap High-Beta Breakoutn6
Information Technology
+1.7%1D
ID+1.7%WTD+1.7%MTD+5.5%
Oversold / Mean-Reversion Watchn5
Consumer Discretionary
+1.6%1D
ID+1.6%WTD+1.6%MTD-12.6%
Thematic Momentum Leadershipn14
Information Technology
+1.6%1D
ID+1.6%WTD+1.6%MTD+6.0%
Broken Momentum / Avoidn10
Health Care
+1.4%1D
ID+1.4%WTD+1.4%MTD+0.1%
Thematic Momentum Leadershipn6
Consumer Staples
+1.3%1D
ID+1.3%WTD+1.3%MTD+10.6%
Thematic Momentum Leadershipn23
Financials
+1.1%1D
ID+1.1%WTD+1.1%MTD+8.7%
Oversold / Mean-Reversion Watchn6
Industrials
+1.1%1D
ID+1.1%WTD+1.1%MTD-23.0%
Neutral / Transitionn50
Health Care
+1.0%1D
ID+1.0%WTD+1.0%MTD-0.5%
Thematic Momentum Leadershipn9
Consumer Discretionary
+1.0%1D
ID+1.0%WTD+1.0%MTD+10.3%
Institutional Large-Cap Accumulationn9
Financials
+1.0%1D
ID+1.0%WTD+1.0%MTD+7.8%
Oversold / Mean-Reversion Watchn4
Materials
+0.8%1D
ID+0.8%WTD+0.8%MTD-13.3%
Low-Vol Aligned Uptrendn4
Consumer Staples
+0.8%1D
ID+0.8%WTD+0.8%MTD+1.4%
Extended Momentum Riskn3
Financials
+0.8%1D
ID+0.8%WTD+0.8%MTD+20.3%
Neutral / Transitionn13
Materials
+0.7%1D
ID+0.7%WTD+0.7%MTD-4.0%
Institutional Large-Cap Accumulationn4
Information Technology
+0.6%1D
ID+0.6%WTD+0.6%MTD+9.1%
Neutral / Transitionn67
Financials
+0.6%1D
ID+0.6%WTD+0.6%MTD+2.5%
Broken Momentum / Avoidn9
Real Estate
+0.6%1D
ID+0.6%WTD+0.6%MTD+0.6%
Thematic Momentum Leadershipn30
Health Care
+0.5%1D
ID+0.5%WTD+0.5%MTD+4.2%
Extended Momentum Riskn6
Health Care
+0.4%1D
ID+0.4%WTD+0.4%MTD+11.8%
Low-Vol Aligned Uptrendn18
Industrials
+0.4%1D
ID+0.4%WTD+0.4%MTD+3.1%
Thematic Momentum Leadershipn11
Real Estate
+0.4%1D
ID+0.4%WTD+0.4%MTD+6.0%
Institutional Large-Cap Accumulationn6
Industrials
+0.3%1D
ID+0.3%WTD+0.3%MTD+6.9%
Neutral / Transitionn102
Information Technology
+0.3%1D
ID+0.3%WTD+0.3%MTD-9.0%
Neutral / Transitionn23
Real Estate
+0.2%1D
ID+0.2%WTD+0.2%MTD+0.6%
Low-Vol Aligned Uptrendn3
Information Technology
+0.2%1D
ID+0.2%WTD+0.2%MTD+0.2%
Broken Momentum / Avoidn12
Materials
+0.2%1D
ID+0.2%WTD+0.2%MTD-1.8%
Low-Vol Aligned Uptrendn28
Financials
+0.2%1D
ID+0.2%WTD+0.2%MTD+4.1%
Neutral / Transitionn109
Industrials
+0.2%1D
ID+0.2%WTD+0.2%MTD-4.7%
Institutional Large-Cap Accumulationn8
Health Care
+0.1%1D
ID+0.1%WTD+0.1%MTD+4.6%
Low-Vol Aligned Uptrendn19
Real Estate
-0.0%1D
ID-0.0%WTD-0.0%MTD+4.5%
Extended Momentum Riskn8
Industrials
-0.3%1D
ID-0.3%WTD-0.3%MTD+12.7%
Extended Momentum Riskn3
Real Estate
-0.9%1D
ID-0.9%WTD-0.9%MTD+12.6%
Smaller-Cap High-Beta Breakoutn15
Health Care
-0.9%1D
ID-0.9%WTD-0.9%MTD+4.4%
Low-Vol Aligned Uptrendn26
Utilities
-1.1%1D
ID-1.1%WTD-1.1%MTD+1.8%
Thematic Momentum Leadershipn4
Industrials
-1.4%1D
ID-1.4%WTD-1.4%MTD+1.7%
Institutional Large-Cap Accumulationn5
Energy
-1.5%1D
ID-1.5%WTD-1.5%MTD+13.8%
Neutral / Transitionn15
Utilities
-1.6%1D
ID-1.6%WTD-1.6%MTD-1.9%
Thematic Momentum Leadershipn5
Materials
-1.7%1D
ID-1.7%WTD-1.7%MTD+7.0%
Neutral / Transitionn18
Energy
-2.9%1D
ID-2.9%WTD-2.9%MTD+1.3%
Extended Momentum Riskn8
Energy
-3.5%1D
ID-3.5%WTD-3.5%MTD+15.6%
Where each factor basket is working by sector — sorted by 1-day equal-weight return, ≥3 names per cell.
Regime Assessment
14 days · 62 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+0.50
style-1.00
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 composite of 0.1325 places us in Choppy Neutral, with confidence 0.87. This state began on July 23 and at fresh age of 2 days, expected dwell is 7.7 trading days, implying exit around August 4. Breadth at 1.4 marginally offsets negative rotation (-1.1) and style (-1.0) scores. Historically, Choppy Neutral regimes precede elevated volatility and frequent drawdowns. Exit probabilities lean toward Constructive Rotation (52.5%) over Distribution Risk (28.8%). ETF tilts favor SMH (same-day bp_d +12.2, hit 54.2%; next-day +14.2, hit 55.8%) while defensives like XLV and USMV show negative expected basis points. We maintain hedged exposure.

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 · WRAP 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.