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: 17.1%.
Live classification · sorted by slope
| Ticker | Name | Slope (ann.) | Vol (ann.) | Up-day % | |Δ| avg | Regime | Chart |
|---|---|---|---|---|---|---|---|
| XLK | Technology | +165.0% | 29.6% | 70% | 1.54% | Volatile-Up | chart → |
| SPY | S&P 500 ETF · Benchmark | +67.8% | 15.0% | 62% | 0.73% | Grind-Up | chart → |
| XLRE | Real Estate | +37.6% | 16.0% | 60% | 0.78% | Grind-Up | chart → |
| XLY | Consumer Discretionary | +34.8% | 21.4% | 52% | 1.07% | Volatile-Up | chart → |
| XLI | Industrials | +29.1% | 21.4% | 47% | 1.05% | Volatile-Up | chart → |
| XLF | Financials | +26.0% | 14.3% | 61% | 0.68% | Grind-Up | chart → |
| XLB | Materials | +16.7% | 20.2% | 51% | 0.99% | Volatile-Up | chart → |
| XLP | Consumer Staples | +13.2% | 14.7% | 49% | 0.74% | Grind-Up | chart → |
| XLV | Health Care | +11.4% | 15.9% | 48% | 0.81% | Grind-Up | chart → |
| XLC | Communication Services | +6.7% | 14.9% | 55% | 0.73% | Grind-Up | chart → |
| XLE | Energy | -8.4% | 25.0% | 57% | 1.28% | Volatile-Down | chart → |
| XLU | Utilities | -21.3% | 18.2% | 55% | 0.84% | Volatile-Down | chart → |
By quadrant
Positive trend, below-median realised vol. Continuation patterns work best here.
- SPY S&P 500 ETF · Benchmark +67.8%
- XLRE Real Estate +37.6%
- XLF Financials +26.0%
- XLP Consumer Staples +13.2%
- XLV Health Care +11.4%
- XLC Communication Services +6.7%
Positive trend but above-median vol. Continuation can work but stops get hit; size down or use wider stops.
- XLK Technology +165.0%
- XLY Consumer Discretionary +34.8%
- XLI Industrials +29.1%
- XLB Materials +16.7%
Negative trend, below-median vol. Bounces tend to fade; mean-reversion shorts work better than trend-followers.
- — none
Negative trend with above-median vol. Punishes both naive continuation and naive reversion; reduce activity.
- XLE Energy -8.4%
- XLU Utilities -21.3%
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.