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: 17.6%.
Live classification · sorted by slope
| Ticker | Name | Slope (ann.) | Vol (ann.) | Up-day % | |Δ| avg | Regime | Chart |
|---|---|---|---|---|---|---|---|
| XLV | Health Care | +59.7% | 18.1% | 55% | 0.93% | Volatile-Up | chart → |
| XLF | Financials | +47.6% | 13.0% | 59% | 0.66% | Grind-Up | chart → |
| XLK | Technology | +30.8% | 33.0% | 54% | 1.73% | Volatile-Up | chart → |
| XLI | Industrials | +29.6% | 18.8% | 52% | 0.93% | Volatile-Up | chart → |
| XLRE | Real Estate | +15.7% | 16.0% | 56% | 0.78% | Grind-Up | chart → |
| SPY | S&P 500 ETF · Benchmark | +11.7% | 12.9% | 54% | 0.62% | Grind-Up | chart → |
| XLP | Consumer Staples | +7.2% | 16.8% | 51% | 0.87% | Grind-Up | chart → |
| XLU | Utilities | +5.7% | 17.0% | 53% | 0.86% | Grind-Up | chart → |
| XLB | Materials | -0.8% | 19.9% | 52% | 1.00% | Volatile-Down | chart → |
| XLE | Energy | -13.5% | 24.4% | 57% | 1.28% | Volatile-Down | chart → |
| XLY | Consumer Discretionary | -17.1% | 20.8% | 54% | 1.01% | Volatile-Down | chart → |
| XLC | Communication Services | -33.0% | 17.1% | 50% | 0.82% | Drift-Down | chart → |
By quadrant
Positive trend, below-median realised vol. Continuation patterns work best here.
- XLF Financials +47.6%
- XLRE Real Estate +15.7%
- SPY S&P 500 ETF · Benchmark +11.7%
- XLP Consumer Staples +7.2%
- XLU Utilities +5.7%
Positive trend but above-median vol. Continuation can work but stops get hit; size down or use wider stops.
- XLV Health Care +59.7%
- XLK Technology +30.8%
- XLI Industrials +29.6%
Negative trend, below-median vol. Bounces tend to fade; mean-reversion shorts work better than trend-followers.
- XLC Communication Services -33.0%
Negative trend with above-median vol. Punishes both naive continuation and naive reversion; reduce activity.
- XLB Materials -0.8%
- XLE Energy -13.5%
- XLY Consumer Discretionary -17.1%
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.