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: 17.3%.
Live classification · sorted by slope
| Ticker | Name | Slope (ann.) | Vol (ann.) | Up-day % | |Δ| avg | Regime | Chart |
|---|---|---|---|---|---|---|---|
| XLK | Technology | +164.1% | 29.3% | 67% | 1.51% | Volatile-Up | chart → |
| SPY | S&P 500 ETF · Benchmark | +68.2% | 15.1% | 59% | 0.72% | Grind-Up | chart → |
| XLRE | Real Estate | +36.4% | 16.0% | 60% | 0.78% | Grind-Up | chart → |
| XLY | Consumer Discretionary | +35.7% | 21.4% | 49% | 1.07% | Volatile-Up | chart → |
| XLI | Industrials | +28.1% | 21.1% | 44% | 1.04% | Volatile-Up | chart → |
| XLF | Financials | +26.0% | 14.5% | 60% | 0.68% | Grind-Up | chart → |
| XLB | Materials | +16.8% | 19.0% | 48% | 0.93% | Volatile-Up | chart → |
| XLP | Consumer Staples | +10.3% | 14.7% | 49% | 0.74% | Grind-Up | chart → |
| XLC | Communication Services | +7.6% | 15.0% | 53% | 0.74% | Grind-Up | chart → |
| XLV | Health Care | +6.3% | 16.3% | 46% | 0.82% | Grind-Up | chart → |
| XLE | Energy | -5.6% | 24.7% | 59% | 1.25% | Volatile-Down | chart → |
| XLU | Utilities | -20.4% | 18.2% | 55% | 0.85% | Volatile-Down | chart → |
By quadrant
Positive trend, below-median realised vol. Continuation patterns work best here.
- SPY S&P 500 ETF · Benchmark +68.2%
- XLRE Real Estate +36.4%
- XLF Financials +26.0%
- XLP Consumer Staples +10.3%
- XLC Communication Services +7.6%
- XLV Health Care +6.3%
Positive trend but above-median vol. Continuation can work but stops get hit; size down or use wider stops.
- XLK Technology +164.1%
- XLY Consumer Discretionary +35.7%
- XLI Industrials +28.1%
- XLB Materials +16.8%
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 -5.6%
- XLU Utilities -20.4%
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.