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: 15.9%.
Live classification · sorted by slope
| Ticker | Name | Slope (ann.) | Vol (ann.) | Up-day % | |Δ| avg | Regime | Chart |
|---|---|---|---|---|---|---|---|
| XLK | Technology | +141.2% | 24.4% | 71% | 1.33% | Volatile-Up | chart → |
| SPY | S&P 500 ETF · Benchmark | +58.8% | 14.2% | 57% | 0.70% | Grind-Up | chart → |
| XLY | Consumer Discretionary | +33.0% | 20.8% | 49% | 1.03% | Volatile-Up | chart → |
| XLRE | Real Estate | +28.4% | 14.7% | 56% | 0.71% | Grind-Up | chart → |
| XLF | Financials | +20.6% | 13.7% | 55% | 0.65% | Grind-Up | chart → |
| XLI | Industrials | +15.4% | 20.6% | 44% | 1.03% | Volatile-Up | chart → |
| XLB | Materials | +12.4% | 18.9% | 44% | 0.90% | Volatile-Up | chart → |
| XLC | Communication Services | +7.3% | 14.2% | 55% | 0.68% | Grind-Up | chart → |
| XLE | Energy | +5.2% | 24.5% | 56% | 1.22% | Volatile-Up | chart → |
| XLP | Consumer Staples | -0.6% | 14.7% | 46% | 0.75% | Drift-Down | chart → |
| XLU | Utilities | -15.8% | 16.4% | 50% | 0.77% | Volatile-Down | chart → |
| XLV | Health Care | -16.2% | 15.4% | 43% | 0.79% | Drift-Down | chart → |
By quadrant
Positive trend, below-median realised vol. Continuation patterns work best here.
- SPY S&P 500 ETF · Benchmark +58.8%
- XLRE Real Estate +28.4%
- XLF Financials +20.6%
- XLC Communication Services +7.3%
Positive trend but above-median vol. Continuation can work but stops get hit; size down or use wider stops.
- XLK Technology +141.2%
- XLY Consumer Discretionary +33.0%
- XLI Industrials +15.4%
- XLB Materials +12.4%
- XLE Energy +5.2%
Negative trend, below-median vol. Bounces tend to fade; mean-reversion shorts work better than trend-followers.
- XLP Consumer Staples -0.6%
- XLV Health Care -16.2%
Negative trend with above-median vol. Punishes both naive continuation and naive reversion; reduce activity.
- XLU Utilities -15.8%
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.