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: 16.9%.
Live classification · sorted by slope
| Ticker | Name | Slope (ann.) | Vol (ann.) | Up-day % | |Δ| avg | Regime | Chart |
|---|---|---|---|---|---|---|---|
| XLK | Technology | +80.5% | 24.6% | 68% | 1.28% | Volatile-Up | chart → |
| SPY | S&P 500 ETF · Benchmark | +28.4% | 14.5% | 54% | 0.71% | Grind-Up | chart → |
| XLE | Energy | +23.3% | 23.6% | 57% | 1.16% | Volatile-Up | chart → |
| XLRE | Real Estate | +13.8% | 14.5% | 59% | 0.70% | Grind-Up | chart → |
| XLY | Consumer Discretionary | +11.2% | 20.4% | 46% | 1.01% | Volatile-Up | chart → |
| XLF | Financials | +5.3% | 16.6% | 55% | 0.78% | Grind-Up | chart → |
| XLC | Communication Services | +2.4% | 14.9% | 54% | 0.71% | Grind-Up | chart → |
| XLU | Utilities | -1.6% | 17.2% | 55% | 0.81% | Volatile-Down | chart → |
| XLI | Industrials | -2.1% | 20.5% | 49% | 1.03% | Volatile-Down | chart → |
| XLB | Materials | -2.7% | 17.8% | 45% | 0.86% | Volatile-Down | chart → |
| XLP | Consumer Staples | -26.7% | 14.8% | 48% | 0.75% | Drift-Down | chart → |
| XLV | Health Care | -37.8% | 15.1% | 40% | 0.75% | Drift-Down | chart → |
By quadrant
Positive trend, below-median realised vol. Continuation patterns work best here.
- SPY S&P 500 ETF · Benchmark +28.4%
- XLRE Real Estate +13.8%
- XLF Financials +5.3%
- XLC Communication Services +2.4%
Positive trend but above-median vol. Continuation can work but stops get hit; size down or use wider stops.
- XLK Technology +80.5%
- XLE Energy +23.3%
- XLY Consumer Discretionary +11.2%
Negative trend, below-median vol. Bounces tend to fade; mean-reversion shorts work better than trend-followers.
- XLP Consumer Staples -26.7%
- XLV Health Care -37.8%
Negative trend with above-median vol. Punishes both naive continuation and naive reversion; reduce activity.
- XLU Utilities -1.6%
- XLI Industrials -2.1%
- XLB Materials -2.7%
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.