Morning · market state
Choppy Neutral
BeganThu Jul 23 · close · 16:00 ETheld 3 td
Typical dwell~7.7 tdp(stay 1d) 0.87 · fresh
Implied through~Tue Aug 4~5 td left
When it breaks, historically →→ Constructive Rotation 52%→ Distribution Risk 29%→ Risk-Off Stress 10%→ Risk-On Trend 8%
3-day tape
month →
3td in — ~5td of typical dwell leftfresh
age 3tdtypical dwell ~8td

SPY -0.36% since prior close; Extended Momentum Risk leads (+1.72%), Oversold / Mean-Reversion Watch lags (-2.13%).

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 -4.4% 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

The morning session opens with the Choppy Neutral regime intact (composite 0.205, confidence 0.87, age 3 days). Defensive rotation is pronounced: Consumer Staples leads at +2.47%, Health Care +1.25%, Real Estate +1.16%. Semiconductors tumble -3.36% and Information Technology -3.12% as risk-off bias persists. Breadth is neutral-to-negative: 625 advancers, 374 decliners, up/down volume ratio 0.76, with only 44.68% of baskets positive. Volume anomalies flag distribution in GLW (rvol 10.94, -18.0%) and AMKR (rvol 10.50, -22.75%), while IQV shows breakout volume (rvol 10.09, +14.1%).

Session Snapshot →
Factors

Within the factor production panel, Low-Vol Aligned Uptrend advances +1.18% and Extended Momentum Risk +1.72%, extending their week-to-date strength (+1.53% and +3.78% wtd). Institutional Large-Cap Accumulation adds +0.66%, while Broken Momentum/Avoid is up +0.13%. Conversely, Oversold/Mean-Reversion Watch slides -2.13%, Neutral/Transition -0.45%, Smaller-Cap High-Beta Breakout -0.50%, and Unclassified -1.17%. Breadth is mixed: 84.76% of Low-Vol Aligned Uptrend members positive with median rvol 0.65, versus only 25.0% positive for Oversold with rvol 1.02. Thematic Momentum Leadership rises +0.61% with 71.0% breadth and rvol 0.60.

Intraday Factor Moves →
Sectors

Sector rotation skews heavily defensive. Consumer Staples surges +2.47% intraday, with 89.36% of members advancing on elevated median rvol 1.03. Health Care rises +1.25% (68.5% breadth, rvol 0.89), Real Estate +1.16% (81.82%, rvol 0.65), and Communication Services +1.15% (76.74%, rvol 0.87). Consumer Discretionary gains +1.07%. In contrast, Information Technology plunges -3.12% (only 34.73% positive, rvol 1.28), driven by semiconductor weakness. Industrials slip -0.75% (48.57% breadth), while Energy is flat at -0.02%. Financials are nearly unchanged at -0.01%. The dispersion underscores a flight to staples and healthcare amid tech-led de-risking.

Sector Rotation →
Connections
  • Growth - Value w1 is stretched at -3.6σ — mean-reversion pressure. Sigma Board →
  • Momentum - LowVol w1 is stretched at -3.4σ — mean-reversion pressure. Sigma Board →
  • Sharpest cell: Institutional Large-Cap Accumulation × Health Care +3.1% (n9) vs Oversold / Mean-Reversion Watch × Information Technology -5.8% (n5) — long/short the spread, not the index. Factor × Sector →
  • Rotation spread: Consumer Staples +2.5% over Information Technology -3.1% (5.6pp). Sector Rotation →
  • Divergence: advancers lead 625/374 but down-volume dominates (u/d 0.76) — distribution under a green tape.

Session Snapshot

CAC -0.55mixed
−risk-off0+risk-on
Equitiesbroad index tape · 2/8 adv
-0.38%med
Rates & Creditduration + credit spread · 7/12 adv
+0.06%med
Commodities & FXgold · oil · the dollar · 0/5 adv
-1.45%med
Globalint'l / EM equity · 3/15 adv
-0.68%med
US Benchmarks8
RSP+0.7%rvol 2.2
DIA+0.6%rvol 5.6
IJR-0.1%rvol 0.7
SPY-0.4%rvol 1.7
VTI-0.4%rvol 1.6
MDY-0.5%rvol 0.7
IWM-0.5%rvol 1.2
QQQ-1.8%rvol 3.3
Rates & Credit12
TLT+0.2%rvol 1.1
IEF+0.1%rvol 0.5
VCIT+0.1%rvol 0.4
VCLT+0.1%rvol 0.3
LQD+0.1%rvol 0.5
FALN+0.1%rvol 0.4
SHY+0.1%rvol 0.6
ANGL+0.0%rvol 0.5
HYG-0.0%rvol 2.7
JAAA-0.0%rvol 0.9
SRLN-0.0%rvol 0.3
PFF-0.1%rvol 0.9
Commodities & FX5
UUP-0.0%rvol 1.0
USO-0.9%rvol 1.9
GLD-1.4%rvol 1.4
SLV-3.0%rvol 2.3
IBIT-3.4%rvol 3.1
Global15EWZ +0.3% · EWY -6.8%
EWZ+0.3%rvol 1.2
FXI+0.2%rvol 1.1
FLIN+0.2%rvol 0.2
KWEB-0.0%rvol 1.9
VGK-0.2%rvol 0.7
EFV-0.3%rvol 0.2
FLCH-0.5%rvol 0.6
EFA-0.7%rvol 0.8
EWO-0.9%rvol 1.6
VXUS-1.4%rvol 2.0
FLJP-2.1%rvol 0.3
EWJ-2.3%rvol 1.8
EEM-2.9%rvol 2.6
FLKR-6.6%rvol 2.0
EWY-6.8%rvol 3.1
Style & Factor11
SPLV+1.6%rvol 1.3
USMV+0.9%rvol 0.9
IWD+0.9%rvol 0.5
VTV+0.6%rvol 0.8
JEPI+0.6%rvol 1.7
QUAL+0.2%rvol 0.6
VUG-1.2%rvol 1.3
VLUE-1.6%rvol 0.2
IWF-1.8%rvol 0.4
SPHB-3.6%rvol 1.7
MTUM-4.3%rvol 1.4
Sectors11
XLP+3.3%rvol 3.8
XLV+2.7%rvol 2.4
XLB+1.8%rvol 2.2
XLC+1.2%rvol 1.1
XLRE+1.2%rvol 2.4
XLU+1.0%rvol 1.2
XLY+0.7%rvol 1.2
XLE+0.4%rvol 1.3
XLF+0.4%rvol 1.9
XLI-0.5%rvol 1.7
XLK-3.3%rvol 1.9
Industry Themes11XHB +1.2% · DRAM -10.7%
XHB+1.2%rvol 0.7
KRE+0.7%rvol 0.8
ITA+0.2%rvol 1.9
IGV-0.6%rvol 1.6
XBI-0.8%rvol 1.7
VGT-2.8%rvol 3.3
ARKK-2.9%rvol 1.4
SMH-4.8%rvol 3.2
TAN-5.2%rvol 2.1
SOXX-6.1%rvol 4.3
DRAM-10.7%rvol 3.5
Bellwether Singles22DUK +2.1% · BE -11.5%
DUK+2.1%rvol 0.7
MSFT+1.5%rvol 2.2
NEE+1.2%rvol 1.0
AAPL+0.4%rvol 2.3
BAC-0.1%rvol 1.6
META-0.1%rvol 1.0
JPM-0.2%rvol 0.9
GOOGL-0.5%rvol 1.8
AMZN-0.7%rvol 1.8
TSLA-1.6%rvol 1.7
GS-3.0%rvol 2.1
CEG-3.0%rvol 1.4
ORCL-3.8%rvol 1.2
CCJ-3.9%rvol 1.9
FSLR-4.0%rvol 0.9
SPCX-5.2%rvol 2.1
VST-6.0%rvol 2.1
ENPH-6.2%rvol 1.5
CRWV-7.4%rvol 2.7
FCEL-8.1%rvol 0.9
NBIS-10.5%rvol 2.8
BE-11.5%rvol 2.9

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

SPY-0.36%gap +0.01% · open -0.37%
Best factor+1.72%Extended Momentum Risk
Worst factor-2.13%Oversold / Mean-Reversion Watch
Breadth45%baskets +ve · A/D 625/374
Up/Down Vol0.76xvolume in advancers vs decliners

Actionable Trading Ideas

High convictionpb:gap_fade_dn1
LONGsame-day

Fade SMH's -3.1% down-gap into the close

Down-gap fade into the close
SMH gapped -3.1% at the open · 2 proxies 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: SMH, XLK
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

LeadingExtended Momentum Risk +1.7%Low-Vol Aligned Uptrend +1.2%Institutional Large-Cap Accumulation +0.7%
LaggingOversold / Mean-Reversion Watch -2.1%Smaller-Cap High-Beta Breakout -0.5%Neutral / Transition -0.5%

Top-to-bottom basket spread 3.8pp today · dispersion Sectors z60 +0.1 (typical), Styles z60 -0.8 (typical) · flow confirms 3/3 leaders.

Extended Momentum Risk19 names · 100% covz +1.2+1.72%
ID+1.7%
1D+1.7%
3D+7.7%
1W+8.9%
MTD+21.8%
1M+21.3%
3M+26.2%
YTD+24.4%
1Y+31.5%
2Y+36.5%
Low-Vol Aligned Uptrend107 names · 98% covz +1.4+1.18%
ID+1.2%
1D+1.2%
3D+2.7%
1W+2.8%
MTD+4.6%
1M+3.9%
3M+8.7%
YTD+16.4%
1Y+18.7%
2Y+28.3%
Institutional Large-Cap Accumulation37 names · 100% covz +0.4+0.66%
ID+0.7%
1D+0.7%
3D+2.2%
1W+3.5%
MTD+9.8%
1M+10.2%
3M+24.9%
YTD+29.9%
1Y+38.4%
2Y+65.5%
Thematic Momentum Leadership100 names · 100% covz +0.3+0.61%
ID+0.6%
1D+0.6%
3D+3.1%
1W+2.1%
MTD+8.1%
1M+8.9%
3M+27.5%
YTD+30.2%
1Y+38.4%
2Y+58.8%
Broken Momentum / Avoid123 names · 100% covz +0.3+0.13%
ID+0.1%
1D+0.1%
3D+2.0%
1W+0.1%
MTD-4.0%
1M-4.3%
3M-15.3%
YTD-15.4%
1Y-13.2%
2Y+28.5%
Neutral / Transition550 names · 100% covz -0.7-0.45%
ID-0.5%
1D-0.5%
3D+0.5%
1W-0.2%
MTD-1.9%
1M-1.6%
3M+5.2%
YTD+18.0%
1Y+32.6%
2Y+57.2%
Smaller-Cap High-Beta Breakout24 names · 100% covz -0.9-0.50%
ID-0.5%
1D-0.5%
3D+0.5%
1W-0.3%
MTD+7.8%
1M+11.4%
3M+51.2%
YTD+90.7%
1Y+151.8%
2Y+125.7%
Unclassified / Insufficient Data thin — n<108 names · 100% covz -0.8-1.17%
ID-1.2%
1D-1.2%
3D+1.7%
1W-1.3%
MTD-4.3%
1M-1.6%
3M+9.8%
YTD+34.5%
Oversold / Mean-Reversion Watch37 names · 97% covz -1.3-2.13%
ID-2.1%
1D-2.1%
3D-7.0%
1W-9.5%
MTD-18.2%
1M-19.1%
3M-18.6%
YTD+1.0%
1Y+27.5%
2Y+78.5%

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

Consumer Staples+2.47%
Health Care+1.25%
Real Estate+1.16%
Communication Services+1.15%
Consumer Discretionary+1.08%
Utilities+0.64%
Materials+0.56%
Financials-0.01%
Energy-0.02%
Industrials-0.75%
Information Technology-3.12%
Themes and Keyword Baskets
Consumer / Retail+0.7%1D
503 names · 72% cov
ID+1.2%WTD+2.5%MTD+2.9%YTD+9.6%
Housing / Real Estate+0.6%1D
465 names · 69% cov
ID+1.2%WTD+1.4%MTD+1.8%YTD+11.5%
Financials / Credit+0.3%1D
689 names · 61% cov
ID+0.6%WTD+1.4%MTD+2.2%YTD+11.8%
Healthcare / Biotech degraded+0.3%1D
721 names · 55% cov
ID+0.7%WTD+0.8%MTD-0.5%YTD+20.6%
Macro Rates / Inflation+0.1%1D
560 names · 75% covaggregate only
ID+0.2%WTD+1.0%MTD-0.2%YTD+17.3%
Cloud Software-0.2%1D
285 names · 77% covaggregate only
ID-0.3%WTD+2.5%MTD+1.4%YTD+9.8%
Oil & Gas-0.2%1D
295 names · 79% cov
ID-0.3%WTD-0.5%MTD-0.3%YTD+16.6%
Commodities / Materials-0.3%1D
184 names · 71% cov
ID-0.5%WTD-0.2%MTD-3.7%YTD+10.1%
Cybersecurity-0.4%1D
100 names · 68% covaggregate only
ID-0.7%WTD+1.8%MTD+0.5%YTD+16.6%
Industrial Automation-0.4%1D
540 names · 74% covaggregate only
ID-0.7%WTD+0.3%MTD-4.1%YTD+19.0%
Energy Transition-0.5%1D
286 names · 79% cov
ID-0.8%WTD-0.1%MTD-5.6%YTD+15.6%
AI Infrastructure-0.6%1D
919 names · 77% covaggregate only
ID-0.9%WTD+0.8%MTD-3.7%YTD+16.3%
Crypto / Digital Assets-0.7%1D
157 names · 68% covaggregate only
ID-1.0%WTD+0.6%MTD+1.0%YTD+13.3%
Defense / Aerospace-0.9%1D
220 names · 76% cov
ID-1.6%WTD+0.2%MTD-7.5%YTD+23.4%
Semiconductors-2.2%1D
207 names · 84% cov
ID-3.4%WTD-2.0%MTD-12.1%YTD+43.4%

Themes align with the defensive tilt. Consumer/Retail leads at +1.16% intraday (75.98% breadth, rvol 0.80), Housing/Real Estate +1.16% (75.57%, rvol 0.68), and Healthcare/Biotech +0.69% (64.56%, rvol 0.86, albeit degraded coverage). Financials/Credit adds +0.56%. Mean-reversion and macro-sensitive themes lag: Semiconductors -3.36% (33.04% breadth, rvol 1.29), Defense/Aerospace -1.59% (37.63%, rvol 0.87), Crypto/Digital Assets -1.01% (50.0%, rvol 0.77), AI Infrastructure -0.94% (54.82%, rvol 0.91), and Energy Transition -0.80%. Oil & Gas eases -0.30%. The bifurcation highlights a stark divergence between consumer staples-linked themes and growth/tech exposures.

Sigma Board
−3σ0+3σ
Growth - Value w1spread · -6.98% · 252d · n=252-3.60σ
Momentum - LowVol w1spread · -9.92% · 252d · n=252-3.44σ
Momentum - LowVol d1spread · -5.18% · 252d · n=252-3.38σ
EqualWeight - CapWeight w1spread · +3.44% · 252d · n=252+3.06σ
HighBeta - LowVol d1spread · -5.23% · 252d · n=252-2.92σ
Semis - Market w1spread · -8.97% · 252d · n=252-2.89σ
Growth - Value d1spread · -2.64% · 252d · n=252-2.86σ
HighBeta - LowVol w1spread · -9.73% · 252d · n=252-2.81σ

Factor spread board reflects aggressive defensive rotation intraday. Momentum - LowVol compresses to -5.18, HighBeta - LowVol to -5.23, as low-volatility strategies surge. Growth - Value contracts -2.64, while Small - Large is -0.17. EqualWeight - CapWeight widens to +1.08, signaling a marginal equal-weight advantage. Semis - Market continues to underperform at -4.40. Credit spreads are flat (-0.08), Duration ticks +0.16. Momentum Leadership - Broken Momentum narrows to +0.53, and Quality - Extended Risk spreads -0.54.

Factor × Sector Map
Institutional Large-Cap Accumulationn9
Health Care
+3.1%1D
ID+3.1%WTD+3.0%MTD+8.7%
Low-Vol Aligned Uptrendn6
Consumer Staples
+3.0%1D
ID+3.0%WTD+4.0%MTD+4.5%
Broken Momentum / Avoidn8
Real Estate
+2.9%1D
ID+2.9%WTD+3.5%MTD+3.4%
Broken Momentum / Avoidn7
Consumer Staples
+2.8%1D
ID+2.8%WTD+5.3%MTD+3.1%
Neutral / Transitionn25
Consumer Staples
+2.3%1D
ID+2.3%WTD+4.4%MTD+4.6%
Extended Momentum Riskn4
Information Technology
+2.0%1D
ID+2.0%WTD+3.8%MTD+23.6%
Low-Vol Aligned Uptrendn20
Utilities
+1.9%1D
ID+1.9%WTD+0.9%MTD+4.6%
Extended Momentum Riskn3
Industrials
+1.8%1D
ID+1.8%WTD+4.9%MTD+20.5%
Broken Momentum / Avoidn9
Health Care
+1.8%1D
ID+1.8%WTD+3.1%MTD-0.3%
Broken Momentum / Avoidn15
Communication Services
+1.8%1D
ID+1.8%WTD+4.6%MTD+1.0%
Extended Momentum Riskn5
Financials
+1.6%1D
ID+1.6%WTD+2.9%MTD+21.6%
Thematic Momentum Leadershipn5
Consumer Staples
+1.6%1D
ID+1.6%WTD+1.8%MTD+9.9%
Thematic Momentum Leadershipn11
Consumer Discretionary
+1.6%1D
ID+1.6%WTD+3.2%MTD+10.3%
Neutral / Transitionn22
Materials
+1.5%1D
ID+1.5%WTD+1.8%MTD+1.4%
Broken Momentum / Avoidn21
Consumer Discretionary
+1.4%1D
ID+1.4%WTD+3.3%MTD-2.6%
Neutral / Transitionn61
Health Care
+1.4%1D
ID+1.4%WTD+2.3%MTD+0.9%
Low-Vol Aligned Uptrendn7
Communication Services
+1.3%1D
ID+1.3%WTD+3.1%MTD+6.1%
Thematic Momentum Leadershipn28
Health Care
+1.1%1D
ID+1.1%WTD+1.7%MTD+6.3%
Neutral / Transitionn23
Real Estate
+1.1%1D
ID+1.1%WTD+1.1%MTD+2.2%
Smaller-Cap High-Beta Breakoutn5
Consumer Discretionary
+1.1%1D
ID+1.1%WTD+3.4%MTD+12.9%
Neutral / Transitionn18
Communication Services
+0.9%1D
ID+0.9%WTD+3.5%MTD+1.8%
Neutral / Transitionn63
Consumer Discretionary
+0.9%1D
ID+0.9%WTD+3.2%MTD+1.5%
Broken Momentum / Avoidn4
Energy
+0.8%1D
ID+0.8%WTD-1.7%MTD-0.4%
Low-Vol Aligned Uptrendn26
Financials
+0.8%1D
ID+0.8%WTD+1.3%MTD+4.8%
Institutional Large-Cap Accumulationn9
Financials
+0.8%1D
ID+0.8%WTD+2.2%MTD+10.8%
Institutional Large-Cap Accumulationn8
Industrials
+0.8%1D
ID+0.8%WTD+0.3%MTD+10.7%
Low-Vol Aligned Uptrendn20
Real Estate
+0.8%1D
ID+0.8%WTD+0.8%MTD+5.4%
Low-Vol Aligned Uptrendn20
Industrials
+0.7%1D
ID+0.7%WTD+1.6%MTD+3.4%
Neutral / Transitionn20
Utilities
+0.6%1D
ID+0.6%WTD-0.9%MTD-0.7%
Thematic Momentum Leadershipn22
Financials
+0.6%1D
ID+0.6%WTD+2.1%MTD+10.0%
Thematic Momentum Leadershipn11
Real Estate
+0.4%1D
ID+0.4%WTD+1.3%MTD+6.0%
Low-Vol Aligned Uptrendn3
Information Technology
+0.1%1D
ID+0.1%WTD+0.3%MTD+0.3%
Neutral / Transitionn24
Energy
+0.0%1D
ID+0.0%WTD-3.2%MTD+5.0%
Oversold / Mean-Reversion Watchn3
Health Care
-0.3%1D
ID-0.3%WTD-0.3%MTD-21.2%
Institutional Large-Cap Accumulationn3
Energy
-0.3%1D
ID-0.3%WTD+0.5%MTD+20.4%
Thematic Momentum Leadershipn3
Energy
-0.3%1D
ID-0.3%WTD-8.2%MTD+14.8%
Neutral / Transitionn75
Financials
-0.4%1D
ID-0.4%WTD+0.4%MTD+2.2%
Smaller-Cap High-Beta Breakoutn12
Health Care
-0.5%1D
ID-0.5%WTD-1.3%MTD+6.0%
Thematic Momentum Leadershipn17
Information Technology
-0.6%1D
ID-0.6%WTD+2.6%MTD+6.5%
Broken Momentum / Avoidn25
Industrials
-0.6%1D
ID-0.6%WTD+1.3%MTD-9.6%
Broken Momentum / Avoidn9
Materials
-0.6%1D
ID-0.6%WTD-1.0%MTD-1.5%
Oversold / Mean-Reversion Watchn3
Energy
-0.9%1D
ID-0.9%WTD-5.3%MTD-11.9%
Neutral / Transitionn110
Industrials
-0.9%1D
ID-0.9%WTD-0.8%MTD-4.9%
Oversold / Mean-Reversion Watchn3
Financials
-1.1%1D
ID-1.1%WTD-2.5%MTD-20.1%
Oversold / Mean-Reversion Watchn3
Communication Services
-1.3%1D
ID-1.3%WTD-3.1%MTD-15.2%
Oversold / Mean-Reversion Watchn4
Materials
-1.7%1D
ID-1.7%WTD-1.0%MTD-14.6%
Smaller-Cap High-Beta Breakoutn6
Information Technology
-1.8%1D
ID-1.8%WTD+0.1%MTD+2.1%
Broken Momentum / Avoidn16
Information Technology
-2.7%1D
ID-2.7%WTD+1.6%MTD-10.0%
Broken Momentum / Avoidn7
Financials
-3.3%1D
ID-3.3%WTD-0.7%MTD-6.0%
Neutral / Transitionn109
Information Technology
-3.6%1D
ID-3.6%WTD-2.7%MTD-10.6%
Oversold / Mean-Reversion Watchn9
Industrials
-4.2%1D
ID-4.2%WTD-6.0%MTD-21.0%
Unclassified / Insufficient Datan3
Information Technology
-4.2%1D
ID-4.2%WTD-1.2%MTD-7.7%
Institutional Large-Cap Accumulationn5
Information Technology
-5.2%1D
ID-5.2%WTD-4.5%MTD+1.7%
Oversold / Mean-Reversion Watchn5
Information Technology
-5.8%1D
ID-5.8%WTD-7.2%MTD-32.3%
Where each factor basket is working by sector — sorted by 1-day equal-weight return, ≥3 names per cell.
Regime Assessment
15 days · 64 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 NeutralChoppy 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-0.15
breadth+1.20
volatility+1.50
rotation+1.15
size-0.50
style-1.75
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 0.205, confidence 0.87), having started on July 23, 2026. With an expected dwell of 7.7 trading days, approximately 4.7 days remain. The volatility component is elevated (score +1.5, 20-day realized vol at the 33.5th percentile of the 2-year range, intraday range 0.487x the 20-day average), while breadth remains constructive (score +1.2). Trend signals are weak (score -0.15) and style dispersion is negative (score -1.75), reflecting sharp momentum-low vol and growth-value spread compression. Exit probabilities lean toward Constructive Rotation (52.5%) or Distribution Risk (28.8%). This regime historically precedes elevated volatility and rotation, not directional market moves.

Top Single-Stock Setups (4h–1 Week)

#1CPAYInformation Technology100
▲Momentum continuation4h–1 week
Thematic Momentum Leadership · factor score 7.8/10 (top quintile)

Leadership/uptrend with room — flow-confirmed

UptrendQ1RSI 631w +2.8%MACD+CMF+Force+
Last$379.71
RSI64
1wk+2.8%
ATR stop−4.4%
1-week return vs Thematic Momentum Leadership basket (n=100)
-14%+19%
#2BURLConsumer Discretionary100
▲Momentum continuation4h–1 week
Thematic Momentum Leadership · factor score 7.2/10 (top quintile)

Leadership/uptrend with room — flow-confirmed

UptrendQ1RSI 621w +1.7%MACD+CMF+Force+
Last$358.01
RSI63
1wk+1.7%
ATR stop−5.0%
1-week return vs Thematic Momentum Leadership basket (n=100)
-14%+19%
#3HRReal Estate99
▲Momentum continuation4h–1 week
Thematic Momentum Leadership · factor score 7.1/10 (top quintile)

Leadership/uptrend with room — flow-confirmed

UptrendQ1RSI 631w +1.3%MACD+CMF+Force+
Last$21.53
RSI64
1wk+1.3%
ATR stop−2.6%
1-week return vs Thematic Momentum Leadership basket (n=100)
-14%+19%
#4SJMConsumer Staples99
▲Momentum continuation4h–1 week
Thematic Momentum Leadership · factor score 7.7/10 (top quintile)

Leadership/uptrend with room — flow-confirmed

UptrendQ1RSI 641w +7.6%MACD+CMF+Force+
Last$121.05
RSI65
1wk+7.6%
ATR stop−4.0%
1-week return vs Thematic Momentum Leadership basket (n=100)
-14%+19%
#5DNTHHealth Care98
▲Momentum continuation4h–1 week
Smaller-Cap High-Beta Breakout · factor score 7.5/10 (top quintile)

Leadership/uptrend with room — flow-confirmed

UptrendQ1RSI 591w +3.5%MACD+CMF+Force+
Last$104.49
RSI60
1wk+3.5%
ATR stop−8.3%
1-week return vs Smaller-Cap High-Beta Breakout basket (n=24)
-7%+10%

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 · 2026-07-28 · GitHub · every number is computed deterministically from report.json before narration; ideas pair today's live trigger with a static historical prior.