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: 18.4%.
Live classification · sorted by slope
| Ticker | Name | Slope (ann.) | Vol (ann.) | Up-day % | |Δ| avg | Regime | Chart |
|---|---|---|---|---|---|---|---|
| XLV | Health Care | +59.4% | 18.2% | 53% | 0.94% | Grind-Up | chart → |
| XLF | Financials | +57.4% | 13.5% | 57% | 0.69% | Grind-Up | chart → |
| XLI | Industrials | +29.9% | 18.7% | 55% | 0.90% | Volatile-Up | chart → |
| XLRE | Real Estate | +16.7% | 15.6% | 54% | 0.74% | Grind-Up | chart → |
| XLP | Consumer Staples | +8.9% | 17.0% | 49% | 0.86% | Grind-Up | chart → |
| XLU | Utilities | +8.2% | 16.1% | 52% | 0.82% | Grind-Up | chart → |
| SPY | S&P 500 ETF · Benchmark | +7.6% | 13.9% | 56% | 0.68% | Grind-Up | chart → |
| XLB | Materials | +5.0% | 20.2% | 54% | 1.01% | Volatile-Up | chart → |
| XLE | Energy | +1.6% | 22.9% | 56% | 1.22% | Volatile-Up | chart → |
| XLK | Technology | -2.2% | 35.7% | 51% | 1.85% | Volatile-Down | chart → |
| XLY | Consumer Discretionary | -13.2% | 21.9% | 56% | 1.07% | Volatile-Down | chart → |
| XLC | Communication Services | -27.0% | 18.8% | 52% | 0.90% | Volatile-Down | chart → |
By quadrant
Positive trend, below-median realised vol. Continuation patterns work best here.
- XLV Health Care +59.4%
- XLF Financials +57.4%
- XLRE Real Estate +16.7%
- XLP Consumer Staples +8.9%
- XLU Utilities +8.2%
- SPY S&P 500 ETF · Benchmark +7.6%
Positive trend but above-median vol. Continuation can work but stops get hit; size down or use wider stops.
- XLI Industrials +29.9%
- XLB Materials +5.0%
- XLE Energy +1.6%
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.
- XLK Technology -2.2%
- XLY Consumer Discretionary -13.2%
- XLC Communication Services -27.0%
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.
FAQ · from the current data · as of 2026-08-07
Quick answers
What regime is SPY in right now?
As of 2026-08-07, SPY sits in the Grind-Up quadrant: slope +7.6% (annualised) and realised volatility 13.9% over the trailing 63-day window.
How many of the 11 SPDR sectors are in each regime quadrant?
As of 2026-08-07: 6 Grind-Up, 3 Volatile-Up, 0 Drift-Down, 3 Volatile-Down, out of 12 instruments tracked (SPY + 11 SPDR sectors).
How is the Regime Signature quadrant computed?
Over a rolling 63-trading-day window, each instrument gets a log-price slope (annualised, sign gives trend direction) and a realised volatility figure (annualised standard deviation of daily log returns). The quadrant is the slope sign crossed with volatility relative to the cross-sectional median, so classification is relative to the current cohort, not an absolute threshold.
How often does Regime Signature update?
Prices are refreshed daily and the quadrant classification is recomputed at each site build; the reading above is as of 2026-08-07.