Wrap · 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 +0.24% since prior close; Extended Momentum Risk leads (+2.49%), Oversold / Mean-Reversion Watch lags (-1.93%).

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 playbook2/4 tracking

biggest divergence: SMH -3.7% 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 Choppy Neutral regime maintained a composite score of 0.205 with 87% confidence, historically coinciding with elevated volatility and frequent drawdowns. The session saw 658 advancers against 339 decliners, producing an up/down volume ratio of 1.52. 68.4% of stocks held above their 50-day moving average, while 72.5% remained above the 200-day. Large-cap names added 0.5%, small caps gained 0.81%, but micro and nano caps slipped 0.28% and 2.7%, respectively. Across production factors, Extended Momentum Risk surged 2.49% intraday, while the Oversold Mean-Reversion Watch basket dropped 1.93%.

Session Snapshot →
Factors

Among production baskets, Extended Momentum Risk led with an intraday gain of 2.49%, accompanied by 89.5% advancing members and a median relative volume of 1.29. Thematic Momentum Leadership added 1.59% on 79% breadth and 1.13 rvol. Low-Vol Aligned Uptrend rose 0.98% with 80% breadth. On the downside, Oversold / Mean-Reversion Watch fell 1.93% with only 30.6% of stocks advancing and a 1.21 rvol. The Neutral/Transition group drifted 0.22% higher with modest breadth of 61.3%.

Closing Factor Performance →
Sectors

Communication Services rallied 2.3%, with 90.7% of stocks advancing, followed by Consumer Discretionary (+1.84%) and Consumer Staples (+1.83%). Health Care added 1.8% on 74.8% breadth. In contrast, Energy slumped 1.64%, with only 10.3% of members positive. Information Technology shed 1.15%, and Industrials lost 0.63%. The Week-to-date leaders included Communication Services (+4.56%) and Cloud Software (+4.04%), while Energy lagged at -4.6%. The leadership dimension reflected Extended Momentum Risk up 2.49% intraday and 4.57% week-to-date.

Sector Rotation →
Connections
  • Momentum - LowVol w1 is stretched at -3.2σ — mean-reversion pressure. Sigma Board →
  • Growth - Value w1 is stretched at -3.0σ — mean-reversion pressure. Sigma Board →
  • Sharpest cell: Broken Momentum / Avoid × Communication Services +3.6% (n15) vs Oversold / Mean-Reversion Watch × Industrials -4.5% (n9) — long/short the spread, not the index. Factor × Sector →
  • Rotation spread: Communication Services +2.3% over Energy -1.6% (3.9pp). Sector Rotation →

Session Snapshot

CAC -0.55mixed
−risk-off0+risk-on
Equitiesbroad index tape · 7/8 adv
+0.23%med
Rates & Creditduration + credit spread · 10/12 adv
+0.23%med
Commodities & FXgold · oil · the dollar · 0/5 adv
-1.71%med
Globalint'l / EM equity · 7/15 adv
-0.02%med
US Benchmarks8
RSP+1.2%rvol 1.5
DIA+1.1%rvol 1.4
IJR+0.6%rvol 0.8
SPY+0.2%rvol 1.0
VTI+0.2%rvol 0.8
IWM+0.2%rvol 1.0
MDY+0.0%rvol 0.7
QQQ-1.0%rvol 1.3
Rates & Credit12
TLT+0.6%rvol 1.2
VCLT+0.5%rvol 0.6
IEF+0.3%rvol 0.6
LQD+0.3%rvol 0.8
PFF+0.3%rvol 1.1
VCIT+0.2%rvol 0.6
FALN+0.2%rvol 0.5
HYG+0.2%rvol 1.1
ANGL+0.1%rvol 0.5
SHY+0.1%rvol 0.9
SRLN+0.0%rvol 0.4
JAAA-0.0%rvol 1.7
Commodities & FX5
UUP-0.1%rvol 0.6
GLD-1.4%rvol 0.8
IBIT-1.7%rvol 0.7
SLV-2.3%rvol 0.7
USO-3.4%rvol 1.2
Global15KWEB +1.1% · EWY -6.0%
KWEB+1.1%rvol 0.7
FXI+1.1%rvol 0.9
FLIN+1.0%rvol 0.3
EWZ+0.5%rvol 0.8
VGK+0.4%rvol 0.8
FLCH+0.2%rvol 0.6
EFV+0.2%rvol 0.9
EFA-0.0%rvol 0.9
VXUS-0.6%rvol 0.9
EWO-0.8%rvol 0.4
FLJP-1.7%rvol 0.3
EWJ-1.8%rvol 1.1
EEM-2.0%rvol 1.3
FLKR-5.6%rvol 0.9
EWY-6.0%rvol 1.3
Style & Factor11
USMV+1.0%rvol 1.1
SPLV+1.0%rvol 1.0
IWD+0.9%rvol 0.7
JEPI+0.7%rvol 1.1
VTV+0.6%rvol 1.2
QUAL+0.6%rvol 0.9
VUG-0.1%rvol 1.0
IWF-0.6%rvol 0.6
VLUE-0.9%rvol 0.3
SPHB-1.6%rvol 1.0
MTUM-3.3%rvol 1.6
Sectors11
XLV+2.4%rvol 1.3
XLP+2.0%rvol 2.1
XLC+1.9%rvol 0.8
XLB+1.9%rvol 1.1
XLY+1.5%rvol 0.7
XLF+1.3%rvol 1.0
XLRE+0.6%rvol 1.2
XLU-0.3%rvol 0.9
XLI-0.4%rvol 0.9
XLE-1.4%rvol 0.9
XLK-1.8%rvol 1.1
Industry Themes11KRE +1.7% · DRAM -8.9%
KRE+1.7%rvol 0.9
IGV+1.0%rvol 1.7
ITA+0.4%rvol 0.9
XHB+0.4%rvol 0.8
ARKK-0.1%rvol 0.9
XBI-0.5%rvol 1.0
VGT-1.4%rvol 1.1
SMH-3.5%rvol 1.4
TAN-4.8%rvol 4.6
SOXX-4.8%rvol 1.5
DRAM-8.9%rvol 1.1
Bellwether Singles22SPCX +2.6% · BE -11.3%
SPCX+2.6%rvol 1.1
GOOGL+2.2%rvol 1.0
MSFT+1.1%rvol 1.0
AAPL+0.9%rvol 1.0
BAC+0.8%rvol 0.8
NEE+0.5%rvol 1.3
DUK+0.3%rvol 1.0
JPM+0.3%rvol 0.7
ORCL+0.1%rvol 0.8
META-0.1%rvol 0.6
AMZN-0.2%rvol 1.1
TSLA-0.6%rvol 0.9
GS-1.4%rvol 1.1
FSLR-1.6%rvol 1.2
CCJ-2.7%rvol 0.9
CEG-3.8%rvol 0.9
ENPH-4.5%rvol 1.8
CRWV-4.9%rvol 1.2
VST-5.4%rvol 1.5
FCEL-8.5%rvol 0.7
NBIS-9.7%rvol 1.5
BE-11.3%rvol 2.1

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

SPY+0.24%gap +0.01% · open +0.23%
Best factor+2.49%Extended Momentum Risk
Worst factor-1.93%Oversold / Mean-Reversion Watch
Breadth66%baskets +ve · A/D 658/339
Up/Down Vol1.52xvolume 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 -5.58% (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

LeadingExtended Momentum Risk +2.5%Thematic Momentum Leadership +1.6%Low-Vol Aligned Uptrend +1.0%
LaggingOversold / Mean-Reversion Watch -1.9%Neutral / Transition +0.2%Smaller-Cap High-Beta Breakout +0.4%

Top-to-bottom basket spread 4.4pp today · dispersion Sectors z60 +0.1 (typical), Styles z60 -0.8 (typical) · flow confirms 2/3 leaders.

Extended Momentum Risk19 names · 100% covz +2.0+2.49%
ID+2.5%
1D+2.5%
3D+8.6%
1W+9.8%
MTD+22.8%
1M+22.2%
3M+27.1%
YTD+25.2%
1Y+32.3%
2Y+37.3%
Thematic Momentum Leadership100 names · 100% covz +1.5+1.59%
ID+1.6%
1D+1.6%
3D+4.1%
1W+3.1%
MTD+9.1%
1M+9.9%
3M+28.8%
YTD+31.5%
1Y+39.8%
2Y+60.3%
Low-Vol Aligned Uptrend107 names · 98% covz +1.2+0.98%
ID+1.0%
1D+1.0%
3D+2.5%
1W+2.6%
MTD+4.4%
1M+3.7%
3M+8.4%
YTD+16.1%
1Y+18.5%
2Y+28.0%
Broken Momentum / Avoid123 names · 100% covz +0.9+0.77%
ID+0.8%
1D+0.8%
3D+2.7%
1W+0.7%
MTD-3.4%
1M-3.7%
3M-14.8%
YTD-15.0%
1Y-12.7%
2Y+29.6%
Institutional Large-Cap Accumulation37 names · 100% covz +0.5+0.74%
ID+0.7%
1D+0.7%
3D+2.3%
1W+3.6%
MTD+9.9%
1M+10.3%
3M+25.2%
YTD+30.3%
1Y+38.7%
2Y+66.2%
Unclassified / Insufficient Data thin — n<108 names · 100% covz +0.3+0.70%
ID+0.7%
1D+0.7%
3D+3.6%
1W+0.5%
MTD-2.3%
1M+0.5%
3M+12.3%
YTD+36.8%
Smaller-Cap High-Beta Breakout24 names · 100% covz -0.3+0.40%
ID+0.4%
1D+0.4%
3D+1.4%
1W+0.5%
MTD+8.7%
1M+12.3%
3M+52.6%
YTD+92.5%
1Y+153.0%
2Y+127.3%
Neutral / Transition550 names · 100% covz +0.1+0.22%
ID+0.2%
1D+0.2%
3D+1.2%
1W+0.5%
MTD-1.2%
1M-0.9%
3M+6.0%
YTD+18.8%
1Y+33.6%
2Y+58.2%
Oversold / Mean-Reversion Watch37 names · 97% covz -1.2-1.93%
ID-1.9%
1D-1.9%
3D-6.8%
1W-9.3%
MTD-18.2%
1M-19.1%
3M-18.5%
YTD+1.1%
1Y+27.9%
2Y+79.1%

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+2.30%
Consumer Discretionary+1.84%
Consumer Staples+1.83%
Health Care+1.80%
Financials+1.37%
Real Estate+0.92%
Materials+0.31%
Utilities-0.49%
Industrials-0.63%
Information Technology-1.15%
Energy-1.64%
Themes and Keyword Baskets
Consumer / Retail+1.7%1D
503 names · 72% cov
ID+1.7%WTD+3.6%MTD+3.9%YTD+10.6%
Financials / Credit+1.5%1D
689 names · 61% cov
ID+1.5%WTD+2.6%MTD+3.5%YTD+13.2%
Cybersecurity+1.4%1D
100 names · 68% covaggregate only
ID+1.4%WTD+3.6%MTD+2.5%YTD+18.4%
Cloud Software+1.3%1D
285 names · 77% covaggregate only
ID+1.3%WTD+4.0%MTD+3.0%YTD+11.0%
Housing / Real Estate+1.1%1D
465 names · 69% cov
ID+1.1%WTD+1.9%MTD+2.2%YTD+11.8%
Macro Rates / Inflation+0.7%1D
560 names · 75% covaggregate only
ID+0.7%WTD+1.6%MTD+0.3%YTD+17.8%
Healthcare / Biotech degraded+0.3%1D
721 names · 55% cov
ID+0.3%WTD+0.8%MTD-0.3%YTD+20.6%
Crypto / Digital Assets+0.2%1D
157 names · 68% covaggregate only
ID+0.2%WTD+1.6%MTD+1.9%YTD+14.2%
AI Infrastructure-0.1%1D
919 names · 77% covaggregate only
ID-0.1%WTD+1.3%MTD-3.1%YTD+16.4%
Oil & Gas-0.5%1D
295 names · 79% cov
ID-0.5%WTD-0.8%MTD-0.7%YTD+15.9%
Industrial Automation-0.5%1D
540 names · 74% covaggregate only
ID-0.5%WTD+0.2%MTD-4.0%YTD+18.6%
Commodities / Materials-0.9%1D
184 names · 71% cov
ID-0.9%WTD-0.8%MTD-4.2%YTD+9.6%
Energy Transition-0.9%1D
286 names · 79% cov
ID-0.9%WTD-0.5%MTD-5.8%YTD+15.1%
Defense / Aerospace-1.4%1D
220 names · 76% cov
ID-1.4%WTD-0.3%MTD-8.0%YTD+22.2%
Semiconductors-2.5%1D
207 names · 84% cov
ID-2.5%WTD-2.3%MTD-12.2%YTD+42.3%

Thematic performance was bifurcated. Consumer / Retail led with an intraday return of 1.67% and broad participation (breadth 80.99%), while Semiconductors fell 2.55% on only 38.73% advancing breadth. Cloud Software rose 1.27%, Cybersecurity 1.36%, and Financials / Credit 1.53%. Defensive bids in Housing / Real Estate (+1.05%) contrasted with deepening weakness in Energy Transition (-0.91%) and Defense / Aerospace (-1.42%). Relative volume medians were elevated across most themes, peaking at 1.23 in Energy Transition and 1.22 in Housing / Real Estate, signaling active repositioning.

Sigma Board
−3σ0+3σ
Momentum - LowVol w1spread · -9.13% · 252d · n=252-3.18σ
Growth - Value w1spread · -5.86% · 252d · n=252-3.00σ
EqualWeight - CapWeight w1spread · +3.31% · 252d · n=252+2.94σ
Momentum - LowVol d1spread · -4.35% · 252d · n=252-2.85σ
Semis - Market w1spread · -8.34% · 252d · n=252-2.71σ
Semis - Market d1spread · -3.69% · 252d · n=252-2.16σ
% above SMA200breadth · 72.52 · 60d · n=60+2.11σ
HighBeta - LowVol w1spread · -7.08% · 252d · n=252-2.09σ
Extended Momentum Risk d1basket · +2.49% · 60d · n=39+1.99σ
EqualWeight - CapWeight d1spread · +0.93% · 252d · n=252+1.81σ
% above SMA50breadth · 68.41 · 60d · n=60+1.71σ
Growth - Value d1spread · -1.48% · 252d · n=252-1.57σ

The volatility component of the regime model registered a score of 0.5. Realized 20-day volatility sits at the 33.5th percentile of its two-year distribution. The intraday range relative to the 20-day average measured 1.021, while true range versus ATR20 came in at 0.886. These readings indicate a volatility environment characterized by modest expansion, with range slightly above average but not extreme.

Factor × Sector Map
Broken Momentum / Avoidn15
Communication Services
+3.6%1D
ID+3.6%WTD+6.5%MTD+2.7%
Extended Momentum Riskn4
Information Technology
+3.5%1D
ID+3.5%WTD+5.3%MTD+25.4%
Extended Momentum Riskn5
Financials
+3.0%1D
ID+3.0%WTD+4.3%MTD+23.2%
Thematic Momentum Leadershipn28
Health Care
+2.6%1D
ID+2.6%WTD+3.2%MTD+7.8%
Thematic Momentum Leadershipn11
Consumer Discretionary
+2.4%1D
ID+2.4%WTD+4.1%MTD+11.2%
Institutional Large-Cap Accumulationn9
Health Care
+2.4%1D
ID+2.4%WTD+2.3%MTD+7.9%
Broken Momentum / Avoidn21
Consumer Discretionary
+2.2%1D
ID+2.2%WTD+4.1%MTD-1.9%
Institutional Large-Cap Accumulationn9
Financials
+2.0%1D
ID+2.0%WTD+3.4%MTD+12.2%
Broken Momentum / Avoidn8
Real Estate
+2.0%1D
ID+2.0%WTD+2.6%MTD+2.5%
Extended Momentum Riskn3
Industrials
+2.0%1D
ID+2.0%WTD+5.1%MTD+20.7%
Neutral / Transitionn25
Consumer Staples
+2.0%1D
ID+2.0%WTD+4.1%MTD+4.3%
Low-Vol Aligned Uptrendn7
Communication Services
+1.9%1D
ID+1.9%WTD+3.7%MTD+6.8%
Broken Momentum / Avoidn7
Consumer Staples
+1.9%1D
ID+1.9%WTD+4.4%MTD+2.2%
Neutral / Transitionn18
Communication Services
+1.7%1D
ID+1.7%WTD+4.3%MTD+2.5%
Neutral / Transitionn61
Health Care
+1.7%1D
ID+1.7%WTD+2.6%MTD+1.2%
Neutral / Transitionn63
Consumer Discretionary
+1.7%1D
ID+1.7%WTD+4.0%MTD+2.3%
Smaller-Cap High-Beta Breakoutn5
Consumer Discretionary
+1.6%1D
ID+1.6%WTD+4.0%MTD+13.5%
Thematic Momentum Leadershipn22
Financials
+1.6%1D
ID+1.6%WTD+3.2%MTD+11.2%
Neutral / Transitionn22
Materials
+1.4%1D
ID+1.4%WTD+1.7%MTD+1.4%
Broken Momentum / Avoidn9
Health Care
+1.4%1D
ID+1.4%WTD+2.6%MTD-0.7%
Low-Vol Aligned Uptrendn26
Financials
+1.4%1D
ID+1.4%WTD+1.9%MTD+5.3%
Low-Vol Aligned Uptrendn6
Consumer Staples
+1.4%1D
ID+1.4%WTD+2.3%MTD+2.8%
Neutral / Transitionn23
Real Estate
+1.3%1D
ID+1.3%WTD+1.3%MTD+2.4%
Neutral / Transitionn75
Financials
+1.3%1D
ID+1.3%WTD+2.1%MTD+3.9%
Thematic Momentum Leadershipn17
Information Technology
+1.2%1D
ID+1.2%WTD+4.5%MTD+8.5%
Oversold / Mean-Reversion Watchn3
Financials
+0.8%1D
ID+0.8%WTD-0.6%MTD-18.7%
Low-Vol Aligned Uptrendn3
Information Technology
+0.8%1D
ID+0.8%WTD+1.0%MTD+0.8%
Low-Vol Aligned Uptrendn20
Utilities
+0.7%1D
ID+0.7%WTD-0.2%MTD+3.4%
Thematic Momentum Leadershipn5
Consumer Staples
+0.7%1D
ID+0.7%WTD+0.8%MTD+8.8%
Low-Vol Aligned Uptrendn20
Industrials
+0.6%1D
ID+0.6%WTD+1.5%MTD+3.3%
Thematic Momentum Leadershipn11
Real Estate
+0.5%1D
ID+0.5%WTD+1.5%MTD+6.2%
Smaller-Cap High-Beta Breakoutn6
Information Technology
+0.5%1D
ID+0.5%WTD+2.4%MTD+4.4%
Low-Vol Aligned Uptrendn20
Real Estate
+0.3%1D
ID+0.3%WTD+0.3%MTD+5.0%
Oversold / Mean-Reversion Watchn3
Communication Services
+0.2%1D
ID+0.2%WTD-1.6%MTD-13.8%
Broken Momentum / Avoidn25
Industrials
+0.2%1D
ID+0.2%WTD+2.1%MTD-8.8%
Smaller-Cap High-Beta Breakoutn12
Health Care
+0.1%1D
ID+0.1%WTD-0.7%MTD+6.7%
Oversold / Mean-Reversion Watchn3
Health Care
-0.1%1D
ID-0.1%WTD-0.1%MTD-21.2%
Institutional Large-Cap Accumulationn8
Industrials
-0.2%1D
ID-0.2%WTD-0.6%MTD+9.7%
Broken Momentum / Avoidn4
Energy
-0.4%1D
ID-0.4%WTD-2.9%MTD-1.6%
Neutral / Transitionn110
Industrials
-0.9%1D
ID-0.9%WTD-0.7%MTD-4.8%
Neutral / Transitionn20
Utilities
-0.9%1D
ID-0.9%WTD-2.4%MTD-2.2%
Broken Momentum / Avoidn9
Materials
-1.0%1D
ID-1.0%WTD-1.3%MTD-1.9%
Unclassified / Insufficient Datan3
Information Technology
-1.1%1D
ID-1.1%WTD+2.0%MTD-4.6%
Broken Momentum / Avoidn7
Financials
-1.2%1D
ID-1.2%WTD+1.6%MTD-4.0%
Broken Momentum / Avoidn16
Information Technology
-1.3%1D
ID-1.3%WTD+3.1%MTD-8.8%
Neutral / Transitionn24
Energy
-1.5%1D
ID-1.5%WTD-4.7%MTD+3.3%
Neutral / Transitionn109
Information Technology
-1.6%1D
ID-1.6%WTD-0.7%MTD-8.7%
Oversold / Mean-Reversion Watchn4
Materials
-1.6%1D
ID-1.6%WTD-0.9%MTD-14.6%
Institutional Large-Cap Accumulationn3
Energy
-1.6%1D
ID-1.6%WTD-0.9%MTD+18.7%
Institutional Large-Cap Accumulationn5
Information Technology
-2.3%1D
ID-2.3%WTD-1.5%MTD+4.8%
Oversold / Mean-Reversion Watchn3
Energy
-2.4%1D
ID-2.4%WTD-6.7%MTD-13.4%
Thematic Momentum Leadershipn3
Energy
-2.9%1D
ID-2.9%WTD-10.6%MTD+11.8%
Oversold / Mean-Reversion Watchn5
Information Technology
-4.3%1D
ID-4.3%WTD-5.6%MTD-31.1%
Oversold / Mean-Reversion Watchn9
Industrials
-4.5%1D
ID-4.5%WTD-6.3%MTD-21.4%
Where each factor basket is working by sector — sorted by 1-day equal-weight return, ≥3 names per cell.
Regime Assessment
15 days · 67 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+0.25
breadth+1.20
volatility+0.50
rotation+1.65
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 regime is Choppy Neutral with confidence 0.87 and a composite of 0.205, having started on July 23. The expected dwell is 7.7 trading days, with 4.7 days remaining, implying an end around August 4. Transition probabilities favor a move to Constructive Rotation at 52.5%, while Distribution Risk is 28.8%. Realized volatility sits at the 33.5th percentile of its 2-year range, and the true range relative to the 20-day ATR is 0.886. Same-day ETF tilts show SMH (+12.2 bp) and QQQ (+3.2 bp) outperforming, while defensive sectors lag.

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 · WRAP 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.