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Universe U(t)
Liquid U.S.-listed stocks and ADRs that meet daily price and liquidity filters.
~3,000-4,000 names
About / Field Manual
Regime Detection
How we translate screener breadth into a market-state signal.
Regime field manual
Market Regime Landscape
Risk-On
Strong risk appetite
Trend
Sustained directional
Chop
Mixed / range-bound
Risk-Off
Defensive & cautious
0
25
50
75
100
Composite Regime Score (0 = Risk-Off, 100 = Risk-On)
What we measure
Regime is a backdrop indicator. It rises when risk-on styles like Momentum, Pullback, and Quality Growth are broadly active, and falls when risk-off styles like Short, Mean Reversion, and Defensive setups dominate. It describes market participation, not prices on its own.
Drives Regime Up
Momentum
Pullback
Quality Growth
Value/GARP
Drives Regime Down
Short
Mean Reversion
Defensive
Earnings Pre
Daily inputs
We convert screener breadth into a normalized regime signal using a consistent process.
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Style hits
Screeners map into style families so similar screens do not overcount the same idea.
Per style, per tier
3
Tier weights
Quality tiers are weighted to reflect reliability and signal strength.
Weights: 1.2, 1.0, 0.8
Style hits (breadth)
Intensity (normalized)
63
0100
Smoothing (robust)
Regime label (discrete)
Trend
Score: 63 / 100
From raw breadth to a stable, interpretable market-state signal.
Rank Regime: Momentum <-> Value
Rank Regime tracks how often names move between the top Momentum bucket and the top Value bucket. It helps identify whether Momentum or Value leadership is in control.
Momentum
LeadershipValue
LeadershipGrowth StylesValue Styles
LeadershipValue
LeadershipGrowth StylesValue Styles
Momentum -100Momentum Advantage+38Value +100
Explore deeper
Use these links to see the regime in action.