Pattern Lab · Methodology + live classification
Regime Signature.
Each instrument's behavioural texture sits in one of four quadrants — Grind-Up, Volatile-Up, Drift-Down, Volatile-Down — defined by two features computed over a rolling 63-day window: log-slope on close (positive → up, negative → down), and annualised realised volatility relative to the cross-sectional median. Continuation patterns (breakouts, momentum follow-through) work best in Grind-Up; mean- reversion plays work best in Drift-Down; both volatile quadrants punish naive participation.
The rule
For every instrument, compute over the trailing 63 trading days:
- slope — per-bar slope of
log(close)from a linear regression, annualised by ×252. The sign tells you trend direction. - realised volatility — standard deviation of daily log returns × √252.
- up-day fraction — count of
close_t > close_{t-1}divided by non-zero-return days.
Classification uses the slope sign and the vol vs. the cross-sectional median (so the quadrant is relative to the cohort, not absolute). Median across this universe today: 18.1%.
Live classification · sorted by slope
| Ticker | Name | Slope (ann.) | Vol (ann.) | Up-day % | |Δ| avg | Regime | Chart |
|---|---|---|---|---|---|---|---|
| XLV | Health Care | +59.9% | 18.1% | 52% | 0.93% | Volatile-Up | chart → |
| XLF | Financials | +51.2% | 13.5% | 56% | 0.68% | Grind-Up | chart → |
| XLI | Industrials | +26.7% | 19.3% | 53% | 0.94% | Volatile-Up | chart → |
| XLRE | Real Estate | +15.9% | 15.8% | 52% | 0.76% | Grind-Up | chart → |
| XLK | Technology | +12.7% | 34.9% | 52% | 1.81% | Volatile-Up | chart → |
| XLP | Consumer Staples | +7.6% | 17.1% | 49% | 0.87% | Grind-Up | chart → |
| SPY | S&P 500 ETF · Benchmark | +7.0% | 13.5% | 56% | 0.66% | Grind-Up | chart → |
| XLU | Utilities | +7.0% | 16.4% | 50% | 0.84% | Grind-Up | chart → |
| XLB | Materials | +0.2% | 20.4% | 51% | 1.02% | Volatile-Up | chart → |
| XLE | Energy | -7.8% | 24.1% | 57% | 1.25% | Volatile-Down | chart → |
| XLY | Consumer Discretionary | -19.6% | 21.7% | 56% | 1.05% | Volatile-Down | chart → |
| XLC | Communication Services | -33.7% | 18.0% | 50% | 0.87% | Drift-Down | chart → |
By quadrant
Positive trend, below-median realised vol. Continuation patterns work best here.
- XLF Financials +51.2%
- XLRE Real Estate +15.9%
- XLP Consumer Staples +7.6%
- SPY S&P 500 ETF · Benchmark +7.0%
- XLU Utilities +7.0%
Positive trend but above-median vol. Continuation can work but stops get hit; size down or use wider stops.
- XLV Health Care +59.9%
- XLI Industrials +26.7%
- XLK Technology +12.7%
- XLB Materials +0.2%
Negative trend, below-median vol. Bounces tend to fade; mean-reversion shorts work better than trend-followers.
- XLC Communication Services -33.7%
Negative trend with above-median vol. Punishes both naive continuation and naive reversion; reduce activity.
- XLE Energy -7.8%
- XLY Consumer Discretionary -19.6%
Cross-read: stack Regime Signature against Sector RS (rankings) and Support Confluence (where the next support sits). A Volatile-Up name with no nearby support cluster is the riskiest combination; a Grind-Up name with a tight 3-horizon confluence below is the cleanest setup the framework currently produces.