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: 16.2%.
Live classification · sorted by slope
| Ticker | Name | Slope (ann.) | Vol (ann.) | Up-day % | |Δ| avg | Regime | Chart |
|---|---|---|---|---|---|---|---|
| XLK | Technology | +162.8% | 32.1% | 68% | 1.66% | Volatile-Up | chart → |
| SPY | S&P 500 ETF · Benchmark | +62.4% | 15.3% | 60% | 0.74% | Grind-Up | chart → |
| XLRE | Real Estate | +35.1% | 15.5% | 60% | 0.77% | Grind-Up | chart → |
| XLI | Industrials | +31.7% | 21.6% | 48% | 1.06% | Volatile-Up | chart → |
| XLF | Financials | +26.6% | 14.4% | 60% | 0.69% | Grind-Up | chart → |
| XLY | Consumer Discretionary | +26.4% | 21.2% | 51% | 1.06% | Volatile-Up | chart → |
| XLV | Health Care | +17.8% | 16.0% | 49% | 0.82% | Grind-Up | chart → |
| XLP | Consumer Staples | +15.1% | 14.9% | 49% | 0.75% | Grind-Up | chart → |
| XLB | Materials | +10.3% | 19.4% | 51% | 0.93% | Volatile-Up | chart → |
| XLC | Communication Services | -3.8% | 15.9% | 56% | 0.76% | Drift-Down | chart → |
| XLU | Utilities | -18.9% | 16.4% | 60% | 0.79% | Volatile-Down | chart → |
| XLE | Energy | -20.9% | 26.0% | 54% | 1.35% | Volatile-Down | chart → |
By quadrant
Positive trend, below-median realised vol. Continuation patterns work best here.
- SPY S&P 500 ETF · Benchmark +62.4%
- XLRE Real Estate +35.1%
- XLF Financials +26.6%
- XLV Health Care +17.8%
- XLP Consumer Staples +15.1%
Positive trend but above-median vol. Continuation can work but stops get hit; size down or use wider stops.
- XLK Technology +162.8%
- XLI Industrials +31.7%
- XLY Consumer Discretionary +26.4%
- XLB Materials +10.3%
Negative trend, below-median vol. Bounces tend to fade; mean-reversion shorts work better than trend-followers.
- XLC Communication Services -3.8%
Negative trend with above-median vol. Punishes both naive continuation and naive reversion; reduce activity.
- XLU Utilities -18.9%
- XLE Energy -20.9%
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.