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

SPY -0.18% since prior close; Extended Momentum Risk leads (+0.53%), Broken Momentum / Avoid lags (-0.88%).

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 playbook0/4 tracking

biggest divergence: SMH -0.4% 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

Choppy Neutral regime persists with composite 0.4775 and 0.87 confidence. Broad tape leans defensive: 453 advancers to 543 decliners, up/down volume ratio 0.72, and large caps slip 0.17% intraday while small caps edge 0.27% higher. 67.5% of stocks hold above their 50-day moving average, yet intraday range is modest at 0.256 of the 20-day average. No clear directional signal emerges, consistent with a regime that historically precedes elevated volatility.

Session Snapshot →
Factors

Factor momentum continues to bifurcate. Extended Momentum Risk surges 7.85% week-to-date, driving its month-to-date return to 22.06%. In contrast, Oversold / Mean-Reversion Watch plunges 8.03% wtd and 27.28% mtd. The Quality—Extended Risk spread compresses 6.49% wtd as Low-Vol Aligned Uptrend trails significantly. Smaller-Cap High-Beta Breakout adds 3.19% wtd, while Institutional Large-Cap Accumulation posts 2.5% wtd. The Momentum—LowVol spread collapses 6.72% wtd, underscoring the risk-on tilt within this choppy backdrop.

Intraday Factor Moves →
Sectors

Energy leads sector rotation with a 2.64% intraday pop, yet remains down 2.1% week-to-date, suggesting a sharp technical bounce. Consumer Staples follow at +0.69% intraday, extending its week-to-date gain to 4.51%. Industrials lag, sliding 1.46% intraday and 1.62% wtd, while Information Technology is flat intraday but -5.45% mtd. Defense/Aerospace theme drops 1.49% intraday. Breadth within Financials is poor: only 25% of members advance. Leadership flips weekly, consistent with the Choppy Neutral regime’s 0.9048 Spearman correlation between one-day and one-week sector ranks.

Sector Rotation →
Connections
  • Momentum - LowVol w1 is stretched at -3.3σ — mean-reversion pressure. Sigma Board →
  • EqualWeight - CapWeight w1 is stretched at +2.9σ — mean-reversion pressure. Sigma Board →
  • Sharpest cell: Extended Momentum Risk × Health Care +3.6% (n5) vs Broken Momentum / Avoid × Financials -3.7% (n5) — long/short the spread, not the index. Factor × Sector →
  • Rotation spread: Energy +2.6% over Industrials -1.5% (4.1pp). Sector Rotation →

Session Snapshot

CAC -0.45mixed
−risk-off0+risk-on
Equitiesbroad index tape · 0/8 adv
-0.15%med
Rates & Creditduration + credit spread · 3/12 adv
-0.12%med
Commodities & FXgold · oil · the dollar · 2/5 adv
-0.10%med
Globalint'l / EM equity · 4/14 adv
-0.20%med
US Benchmarks8
IJR-0.0%rvol 1.3
RSP-0.1%rvol 2.3
IWM-0.1%rvol 1.2
QQQ-0.1%rvol 1.8
VTI-0.2%rvol 1.3
SPY-0.2%rvol 1.1
MDY-0.3%rvol 1.0
DIA-0.9%rvol 5.1
Rates & Credit12
ANGL+0.0%rvol 0.3
JAAA+0.0%rvol 0.8
SRLN+0.0%rvol 0.3
SHY-0.0%rvol 0.7
FALN-0.1%rvol 0.2
HYG-0.1%rvol 0.8
VCIT-0.1%rvol 1.1
TLT-0.1%rvol 0.9
LQD-0.1%rvol 0.8
VCLT-0.2%rvol 0.2
IEF-0.2%rvol 0.6
PFF-0.2%rvol 0.7
Commodities & FX5
USO+7.0%rvol 5.2
IBIT+1.0%rvol 2.8
UUP-0.1%rvol 0.2
SLV-0.2%rvol 1.7
GLD-0.3%rvol 1.3
Global15KWEB +1.6% · EWO +0.0%
KWEB+1.6%rvol 1.6
FXI+1.0%rvol 1.1
FLCH+0.9%rvol 0.6
EWJ+0.1%rvol 0.9
FLJP+0.0%rvol 0.1
EFV-0.1%rvol 0.3
EFA-0.2%rvol 0.8
FLIN-0.2%rvol 0.8
VGK-0.3%rvol 1.1
VXUS-0.5%rvol 1.9
EWZ-0.6%rvol 0.5
EEM-0.9%rvol 1.7
EWY-1.4%rvol 3.0
FLKR-1.8%rvol 1.6
EWO+0.0%prev 1D
Style & Factor11
USMV+0.3%rvol 2.3
SPLV+0.1%rvol 1.6
QUAL+0.0%rvol 1.3
VLUE+0.0%rvol 0.5
JEPI-0.0%rvol 1.5
IWD-0.0%rvol 0.7
VTV-0.0%rvol 0.7
MTUM-0.2%rvol 0.8
VUG-0.2%rvol 0.9
IWF-0.3%rvol 0.4
SPHB-0.5%rvol 1.2
Sectors11
XLE+2.5%rvol 3.5
XLP+0.4%rvol 1.6
XLV+0.2%rvol 2.1
XLU+0.2%rvol 1.6
XLRE+0.2%rvol 1.6
XLY-0.0%rvol 1.3
XLK-0.1%rvol 1.5
XLC-0.4%rvol 1.4
XLF-0.6%rvol 1.5
XLB-0.8%rvol 1.6
XLI-1.2%rvol 1.0
Industry Themes11IGV +0.3% · XHB -2.2%
IGV+0.3%rvol 1.0
VGT-0.0%rvol 0.9
XBI-0.0%rvol 1.1
KRE-0.3%rvol 1.1
ARKK-0.4%rvol 1.1
SOXX-0.4%rvol 2.9
SMH-0.6%rvol 1.4
DRAM-0.7%rvol 4.7
TAN-1.0%rvol 0.8
ITA-1.3%rvol 1.8
XHB-2.2%rvol 1.8
Bellwether Singles22BE +4.3% · NBIS -6.5%
BE+4.3%rvol 8.2
FCEL+1.5%rvol 2.0
NEE+1.0%rvol 0.9
AAPL+0.8%rvol 1.5
ENPH+0.6%rvol 4.5
CEG+0.6%rvol 0.6
DUK+0.3%rvol 0.6
GOOGL+0.1%rvol 1.2
META-0.4%rvol 0.9
FSLR-0.5%rvol 0.6
VST-0.6%rvol 0.7
TSLA-0.7%rvol 1.2
BAC-0.8%rvol 0.7
AMZN-0.8%rvol 0.9
MSFT-1.0%rvol 1.4
JPM-1.1%rvol 0.7
ORCL-1.2%rvol 1.0
CCJ-1.4%rvol 0.7
SPCX-2.3%rvol 1.0
GS-2.4%rvol 1.3
CRWV-3.9%rvol 1.6
NBIS-6.5%rvol 2.8

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

SPY-0.18%gap -0.12% · open -0.06%
Best factor+0.53%Extended Momentum Risk
Worst factor-0.88%Broken Momentum / Avoid
Breadth38%baskets +ve · A/D 453/543
Up/Down Vol0.72xvolume in advancers vs decliners

Actionable Trading Ideas

High convictionpb:gap_fade_dn1
LONGsame-day

Fade XHB's -1.9% down-gap into the close

Down-gap fade into the close
XHB gapped -1.9% 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: XHB
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 +0.5%Thematic Momentum Leadership +0.5%Smaller-Cap High-Beta Breakout +0.3%
LaggingBroken Momentum / Avoid -0.9%Oversold / Mean-Reversion Watch -0.7%Neutral / Transition -0.3%

Top-to-bottom basket spread 1.4pp today · dispersion Styles z60 +0.9 (typical), Sectors z60 +0.8 (typical) · flow confirms 1/3 leaders.

Extended Momentum Risk62 names · 100% covz +0.1+0.53%
ID+0.5%
1D+0.5%
3D+7.8%
1W+12.0%
MTD+22.1%
1M+22.3%
3M+20.4%
YTD+5.2%
1Y-0.5%
2Y+15.3%
Thematic Momentum Leadership85 names · 100% covz +0.1+0.47%
ID+0.5%
1D+0.5%
3D+3.3%
1W+4.5%
MTD+8.9%
1M+8.4%
3M+29.9%
YTD+37.5%
1Y+57.4%
2Y+73.0%
Smaller-Cap High-Beta Breakout21 names · 100% covz -0.3+0.33%
ID+0.3%
1D+0.3%
3D+3.2%
1W+3.2%
MTD+11.3%
1M+12.8%
3M+58.2%
YTD+83.2%
1Y+113.9%
2Y+102.6%
Unclassified / Insufficient Data thin — n<107 names · 100% covz +0.0+0.30%
ID+0.3%
1D+0.3%
3D+2.9%
1W+2.9%
MTD-2.4%
1M-0.9%
3M+15.8%
YTD+38.6%
Institutional Large-Cap Accumulation36 names · 100% covz -0.1+0.25%
ID+0.2%
1D+0.2%
3D+2.5%
1W+4.6%
MTD+10.2%
1M+9.6%
3M+21.0%
YTD+23.6%
1Y+32.4%
2Y+54.9%
Low-Vol Aligned Uptrend134 names · 99% covz -0.2+0.01%
ID+0.0%
1D+0.0%
3D+1.4%
1W+2.2%
MTD+3.7%
1M+3.1%
3M+8.2%
YTD+15.9%
1Y+19.2%
2Y+27.0%
Neutral / Transition496 names · 100% covz -0.5-0.26%
ID-0.3%
1D-0.3%
3D+1.2%
1W+1.1%
MTD-0.2%
1M-0.2%
3M+6.8%
YTD+16.1%
1Y+28.1%
2Y+48.2%
Oversold / Mean-Reversion Watch74 names · 99% covz -0.2-0.69%
ID-0.7%
1D-0.7%
3D-8.0%
1W-13.8%
MTD-27.3%
1M-26.1%
3M-14.7%
YTD+27.6%
1Y+73.9%
2Y+140.0%
Broken Momentum / Avoid90 names · 100% covz -0.6-0.88%
ID-0.9%
1D-0.9%
3D+0.4%
1W-1.6%
MTD-6.3%
1M-6.3%
3M-15.3%
YTD-13.1%
1Y-5.7%
2Y+44.3%

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

Energy+2.64%
Consumer Staples+0.69%
Health Care+0.47%
Real Estate+0.32%
Information Technology+0.09%
Utilities+0.06%
Consumer Discretionary-0.12%
Communication Services-0.15%
Financials-0.66%
Materials-0.78%
Industrials-1.46%
Themes and Keyword Baskets
Oil & Gas+0.3%1D
295 names · 79% cov
ID+0.4%WTD-0.5%MTD-0.3%YTD+16.3%
Cloud Software+0.2%1D
285 names · 77% covaggregate only
ID+0.3%WTD+4.2%MTD+3.3%YTD+11.1%
Healthcare / Biotech degraded+0.1%1D
721 names · 55% cov
ID+0.2%WTD+0.9%MTD-0.2%YTD+20.7%
Consumer / Retail+0.0%1D
503 names · 72% cov
ID+0.1%WTD+3.6%MTD+4.0%YTD+10.7%
Energy Transition-0.1%1D
286 names · 79% cov
ID-0.1%WTD-0.5%MTD-5.8%YTD+15.0%
Financials / Credit-0.1%1D
689 names · 61% cov
ID-0.2%WTD+2.5%MTD+3.4%YTD+13.1%
Macro Rates / Inflation-0.1%1D
560 names · 75% covaggregate only
ID-0.3%WTD+1.4%MTD+0.3%YTD+17.6%
Commodities / Materials-0.2%1D
184 names · 71% cov
ID-0.4%WTD-0.9%MTD-4.3%YTD+9.4%
Cybersecurity-0.2%1D
100 names · 68% covaggregate only
ID-0.3%WTD+3.5%MTD+2.2%YTD+18.1%
AI Infrastructure-0.2%1D
919 names · 77% covaggregate only
ID-0.3%WTD+1.1%MTD-3.2%YTD+16.2%
Housing / Real Estate-0.2%1D
465 names · 69% cov
ID-0.4%WTD+1.6%MTD+2.0%YTD+11.6%
Industrial Automation-0.3%1D
540 names · 74% covaggregate only
ID-0.5%WTD-0.1%MTD-4.2%YTD+18.3%
Semiconductors-0.3%1D
207 names · 84% cov
ID-0.5%WTD-2.6%MTD-12.4%YTD+41.8%
Crypto / Digital Assets-0.6%1D
157 names · 68% covaggregate only
ID-0.8%WTD+1.0%MTD+1.4%YTD+13.6%
Defense / Aerospace-0.8%1D
220 names · 76% cov
ID-1.5%WTD-1.2%MTD-8.7%YTD+21.4%

Defense/Aerospace is the weakest theme, tumbling 1.49% intraday and 1.19% wtd, as profit-taking extends. Semiconductors lose 0.48% intraday and 2.59% wtd, with the Semis—Market spread widening 6.23% wtd. Crypto/Digital Assets fall 0.82% intraday. On the upside, Oil & Gas gains 0.44% intraday, while Cloud Software adds 0.28%. Healthcare/Biotech is flat at 0.17% intraday, though coverage is degraded. The theme board reflects a rotation toward energy and away from growth-sensitive industrials and semiconductors.

Sigma Board
−3σ0+3σ
Momentum - LowVol w1spread · -9.84% · 252d · n=252-3.34σ
EqualWeight - CapWeight w1spread · +3.35% · 252d · n=252+2.92σ
Semis - Market w1spread · -9.21% · 252d · n=252-2.91σ
Growth - Value w1spread · -5.71% · 252d · n=252-2.86σ
HighBeta - LowVol w1spread · -6.79% · 252d · n=252-1.99σ
% above SMA200breadth · 71.54 · 60d · n=60+1.79σ
% above SMA50breadth · 67.54 · 60d · n=60+1.46σ
Broken Momentum / Avoid d1basket · -0.88% · 60d · n=40-1.15σ

Factor dispersion tightens intraday but extremes remain. Extended Momentum Risk leads with +0.53%, while Broken Momentum / Avoid drops 0.88%. The Momentum Leadership—Broken Momentum spread widens 1.13% intraday. Oversold / Mean-Reversion Watch gives back 0.69%, continuing its 8.03% week-to-date skid. Low-Vol Aligned Uptrend is flat at +0.01%, and Neutral / Transition sheds 0.26%. Volume anomalies show 27.4% of Oversold names trade above 1.5x median RVOL, indicating forced selling.

Factor × Sector Map
Extended Momentum Riskn5
Health Care
+3.6%1D
ID+3.6%WTD+13.9%MTD+28.8%
Thematic Momentum Leadershipn11
Information Technology
+2.7%1D
ID+2.7%WTD+7.1%MTD+8.3%
Broken Momentum / Avoidn5
Energy
+2.7%1D
ID+2.7%WTD-1.1%MTD+1.2%
Extended Momentum Riskn6
Consumer Discretionary
+2.7%1D
ID+2.7%WTD+8.1%MTD+22.8%
Institutional Large-Cap Accumulationn3
Energy
+2.7%1D
ID+2.7%WTD+1.8%MTD+21.9%
Neutral / Transitionn25
Energy
+2.6%1D
ID+2.6%WTD-2.8%MTD+7.0%
Oversold / Mean-Reversion Watchn3
Energy
+2.2%1D
ID+2.2%WTD-4.6%MTD-11.5%
Smaller-Cap High-Beta Breakoutn5
Consumer Discretionary
+1.7%1D
ID+1.7%WTD+5.8%MTD+15.5%
Neutral / Transitionn26
Consumer Staples
+0.9%1D
ID+0.9%WTD+4.8%MTD+5.9%
Thematic Momentum Leadershipn4
Consumer Staples
+0.7%1D
ID+0.7%WTD+3.5%MTD+10.1%
Thematic Momentum Leadershipn11
Real Estate
+0.6%1D
ID+0.6%WTD+2.2%MTD+7.8%
Neutral / Transitionn67
Health Care
+0.6%1D
ID+0.6%WTD+2.8%MTD+1.0%
Neutral / Transitionn21
Real Estate
+0.5%1D
ID+0.5%WTD+1.9%MTD+3.0%
Low-Vol Aligned Uptrendn21
Utilities
+0.4%1D
ID+0.4%WTD+0.1%MTD+3.7%
Extended Momentum Riskn5
Industrials
+0.4%1D
ID+0.4%WTD+5.0%MTD+19.6%
Low-Vol Aligned Uptrendn27
Real Estate
+0.3%1D
ID+0.3%WTD+0.8%MTD+4.5%
Institutional Large-Cap Accumulationn8
Health Care
+0.3%1D
ID+0.3%WTD+2.2%MTD+7.1%
Thematic Momentum Leadershipn25
Health Care
+0.3%1D
ID+0.3%WTD+2.8%MTD+7.8%
Broken Momentum / Avoidn13
Consumer Discretionary
+0.3%1D
ID+0.3%WTD+4.1%MTD-2.0%
Low-Vol Aligned Uptrendn6
Communication Services
+0.2%1D
ID+0.2%WTD+3.7%MTD+6.0%
Low-Vol Aligned Uptrendn21
Industrials
+0.2%1D
ID+0.2%WTD+1.6%MTD+3.4%
Neutral / Transitionn79
Information Technology
+0.2%1D
ID+0.2%WTD+0.6%MTD-5.1%
Broken Momentum / Avoidn4
Consumer Staples
+0.2%1D
ID+0.2%WTD+4.5%MTD+0.7%
Extended Momentum Riskn24
Information Technology
+0.1%1D
ID+0.1%WTD+9.3%MTD+22.5%
Smaller-Cap High-Beta Breakoutn8
Health Care
+0.1%1D
ID+0.1%WTD+1.7%MTD+11.7%
Neutral / Transitionn15
Utilities
-0.0%1D
ID-0.0%WTD-1.3%MTD-1.9%
Thematic Momentum Leadershipn4
Materials
-0.0%1D
ID-0.0%WTD+3.4%MTD+12.1%
Extended Momentum Riskn19
Financials
-0.0%1D
ID-0.0%WTD+5.7%MTD+20.2%
Unclassified / Insufficient Datan3
Information Technology
-0.1%1D
ID-0.1%WTD+2.1%MTD-4.5%
Broken Momentum / Avoidn4
Utilities
-0.1%1D
ID-0.1%WTD-6.7%MTD-4.2%
Neutral / Transitionn25
Communication Services
-0.1%1D
ID-0.1%WTD+5.1%MTD+2.2%
Low-Vol Aligned Uptrendn36
Financials
-0.1%1D
ID-0.1%WTD+1.5%MTD+4.0%
Broken Momentum / Avoidn9
Communication Services
-0.1%1D
ID-0.1%WTD+4.4%MTD+2.1%
Oversold / Mean-Reversion Watchn5
Materials
-0.2%1D
ID-0.2%WTD-3.5%MTD-17.7%
Thematic Momentum Leadershipn9
Consumer Discretionary
-0.3%1D
ID-0.3%WTD+4.6%MTD+10.4%
Low-Vol Aligned Uptrendn6
Health Care
-0.3%1D
ID-0.3%WTD+2.4%MTD+4.5%
Low-Vol Aligned Uptrendn9
Consumer Staples
-0.3%1D
ID-0.3%WTD+2.2%MTD+1.3%
Thematic Momentum Leadershipn17
Financials
-0.3%1D
ID-0.3%WTD+2.3%MTD+8.6%
Institutional Large-Cap Accumulationn9
Financials
-0.4%1D
ID-0.4%WTD+2.3%MTD+10.6%
Neutral / Transitionn66
Consumer Discretionary
-0.5%1D
ID-0.5%WTD+3.4%MTD+0.9%
Oversold / Mean-Reversion Watchn3
Health Care
-0.5%1D
ID-0.5%WTD-3.7%MTD-23.7%
Broken Momentum / Avoidn6
Real Estate
-0.5%1D
ID-0.5%WTD+2.2%MTD+1.9%
Broken Momentum / Avoidn13
Information Technology
-0.5%1D
ID-0.5%WTD+0.7%MTD-14.2%
Institutional Large-Cap Accumulationn10
Industrials
-0.6%1D
ID-0.6%WTD+0.3%MTD+8.8%
Broken Momentum / Avoidn7
Materials
-0.6%1D
ID-0.6%WTD-3.4%MTD-2.9%
Oversold / Mean-Reversion Watchn27
Information Technology
-0.7%1D
ID-0.7%WTD-10.9%MTD-36.2%
Neutral / Transitionn58
Financials
-1.0%1D
ID-1.0%WTD+0.8%MTD+1.8%
Smaller-Cap High-Beta Breakoutn7
Information Technology
-1.0%1D
ID-1.0%WTD+2.9%MTD+3.7%
Neutral / Transitionn18
Materials
-1.1%1D
ID-1.1%WTD+1.0%MTD-1.8%
Oversold / Mean-Reversion Watchn23
Industrials
-1.2%1D
ID-1.2%WTD-9.2%MTD-25.9%
Oversold / Mean-Reversion Watchn4
Utilities
-1.2%1D
ID-1.2%WTD-4.7%MTD-15.3%
Oversold / Mean-Reversion Watchn3
Financials
-1.4%1D
ID-1.4%WTD-4.7%MTD-27.7%
Low-Vol Aligned Uptrendn3
Consumer Discretionary
-1.7%1D
ID-1.7%WTD+3.1%MTD+2.2%
Broken Momentum / Avoidn4
Health Care
-1.7%1D
ID-1.7%WTD+1.9%MTD-3.7%
Oversold / Mean-Reversion Watchn3
Consumer Discretionary
-1.7%1D
ID-1.7%WTD-6.3%MTD-19.8%
Neutral / Transitionn96
Industrials
-1.8%1D
ID-1.8%WTD-1.1%MTD-3.6%
Broken Momentum / Avoidn20
Industrials
-2.8%1D
ID-2.8%WTD-1.9%MTD-13.9%
Low-Vol Aligned Uptrendn3
Information Technology
-3.3%1D
ID-3.3%WTD-2.4%MTD-1.5%
Broken Momentum / Avoidn5
Financials
-3.7%1D
ID-3.7%WTD-2.9%MTD-13.1%
Where each factor basket is working by sector — sorted by 1-day equal-weight return, ≥3 names per cell.
Regime Assessment
16 days · 69 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 24Jul 29
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+1.00
volatility+2.00
rotation+1.40
size+0.25
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 composite regime score stands at 0.4775, anchoring a Choppy Neutral label with 0.87 confidence. This state entered on July 23 and has persisted for four sessions, with an expected remaining dwell of 3.7 days. Historically, such regimes precede elevated volatility—current vol component reads 2.0—while style factor divergence (style score -1.75) and rotational flip (1.4) amplify choppiness. Exit probabilities favor a transition to Constructive Rotation (52.5%) over Distribution Risk (28.8%). Same-day tilts reflect a risk-on tilt within the chop: QQQ +3.2bp, SMH +12.2bp, GLD +16.8bp, while low-vol and defensive sectors like XLV and XLP show negative tilts.

Top Single-Stock Setups (4h–1 Week)

#1HEIIndustrials99
▲Momentum continuation4h–1 week
Thematic Momentum Leadership · factor score 7.3/10 (top quintile)

Leadership/uptrend with room — flow-confirmed

UptrendQ1RSI 641w +6.8%MACD+CMF+Force+
Last$363.44
RSI65
1wk+6.8%
ATR stop−4.2%
1-week return vs Thematic Momentum Leadership basket (n=85)
-7%+21%
#2CTVAMaterials99
▲Momentum continuation4h–1 week
Thematic Momentum Leadership · factor score 7.7/10 (top quintile)

Leadership/uptrend with room — flow-confirmed

UptrendQ1RSI 641w +2.3%MACD+CMF+Force+
Last$88.95
RSI65
1wk+2.3%
ATR stop−3.3%
1-week return vs Thematic Momentum Leadership basket (n=85)
-7%+21%
#3VTRSHealth Care98
▲Momentum continuation4h–1 week
Thematic Momentum Leadership · factor score 7.8/10 (top quintile)

Leadership/uptrend with room — flow-confirmed

UptrendQ1RSI 641w +1.5%MACD+CMF+Force+
Last$17.86
RSI65
1wk+1.5%
ATR stop−4.2%
1-week return vs Thematic Momentum Leadership basket (n=85)
-7%+21%
#4NTAPInformation Technology98
▲Momentum continuation4h–1 week
Smaller-Cap High-Beta Breakout · factor score 8.4/10 (top quintile)

Leadership/uptrend with room — flow-confirmed

UptrendQ1RSI 611w +5.3%MACD+CMF+Force+
Last$174.53
RSI62
1wk+5.3%
ATR stop−6.4%
1-week return vs Smaller-Cap High-Beta Breakout basket (n=21)
-8%+8%
#5LQDAHealth Care98
▲Momentum continuation4h–1 week
Smaller-Cap High-Beta Breakout · factor score 7.7/10 (top quintile)

Leadership/uptrend with room — flow-confirmed

UptrendQ1RSI 611w +7.3%MACD+CMF+Force+
Last$86.82
RSI62
1wk+7.3%
ATR stop−9.0%
1-week return vs Smaller-Cap High-Beta Breakout basket (n=21)
-8%+8%

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 · 2026-07-29 · GitHub · every number is computed deterministically from report.json before narration; ideas pair today's live trigger with a static historical prior.