Factor Discovery Console
FactorForge converts daily into interpretable momentum, volatility, trend, and liquidity evidence. Fallback symbols remain visible and explicitly labeled.
Methodology / Assumptions
- Momentum uses 20-day and 60-day close-to-close returns.
- Volatility is annualized realized volatility from recent daily returns.
- Trend uses SMA200 status as a long-horizon regime filter.
- Liquidity/participation uses volume surge versus a 20-day baseline.
- RSI14 is a bounded momentum/mean-reversion diagnostic, not a standalone trading instruction.
- Fallback/demo symbols remain labeled so factor values are not mistaken for live validation.
Momentum Factors
20d and 60d close-to-close momentum identify persistent relative strength.
Volatility Factors
Annualized realized volatility helps separate expansion regimes from defensive setups.
Liquidity / Volume Factors
Volume surge compares current participation against the 20-day baseline.
Trend Factors
SMA200 status provides a long-horizon regime and risk filter.
Quality / Proxy Factors
Quality is represented by stable trend, controlled volatility, and participation health.
Factor Breakdown Under Stress
Per-group condition, direction, stress impact, and an AI-style read under the current risk-on regime (stress score 3/100). Research only.
Momentum
Momentum is holding, but confirm leadership with breadth before trusting trailing-return rank.
Trend
Trend breadth is reasonably intact and remains a useful long-horizon regime filter.
Volatility
Volatility is contained enough for continuation research, but keep stop assumptions explicit.
Liquidity / Volume
Participation looks orderly; watch for volume spikes into weakness as an early distribution tell.
Defensive / Low Volatility
Defensive leadership is not pronounced in the current tape; treat it as a hedge hypothesis to monitor.
Quality Proxy
Quality is proxied by stable trend, controlled volatility, and healthy participation. In stress regimes it favors names that hold trend with smaller drawdowns rather than the highest trailing returns.
Momentum leadership is concentrated in liquid mega-cap technology and should be tested against breadth deterioration.
Volatility remains controlled enough for continuation rules, but crowding risk rises when volume confirmation weakens.
Trend factors are best used as admission gates before ranking strategy candidates by drawdown and Sharpe.
Pearson correlation of daily factor-return series (692 obs).
| Symbol | Mom 20d | Mom 60d | Vol 20d | Volume surge | RSI | Trend | Basis |
|---|---|---|---|---|---|---|---|
| AAPL | +2.2% | +6.9% | 15.8% | 1.62x | 56.4 | above SMA200 | adjusted |
| MSFT | +7.1% | +38.9% | 21.8% | 1.11x | 63.2 | above SMA200 | adjusted |
| NVDA | -3.7% | +2.7% | 24.1% | 1.15x | 32.9 | above SMA200 | adjusted |
| GOOGL | -2.6% | +7.3% | 22.1% | 1.14x | 47.7 | above SMA200 | adjusted |
| META | +6.6% | +17.1% | 56.1% | 0.95x | 48.2 | above SMA200 | adjusted |
| AMZN | -1.5% | +7.0% | 23.8% | 1.13x | 54.4 | above SMA200 | raw/demo |
| TSLA | -2.6% | +11.0% | 30.8% | 1.79x | 48.2 | below SMA200 | raw/demo |
| HD | +3.2% | -3.9% | 27.7% | 1.23x | 69.9 | below SMA200 | adjusted |
| MCD | -2.1% | -6.9% | 22.4% | 1.10x | 70.3 | below SMA200 | adjusted |
| PG | +8.9% | +9.2% | 18.1% | 1.59x | 73.5 | above SMA200 | adjusted |
| KO | +6.4% | +16.4% | 17.1% | 1.44x | 80.0 | above SMA200 | adjusted |
| WMT | +11.3% | +9.9% | 24.5% | 0.95x | 73.7 | above SMA200 | adjusted |
| JPM | -2.4% | -2.4% | 17.7% | 1.03x | 58.9 | above SMA200 | adjusted |
| BAC | -11.3% | -16.0% | 22.7% | 1.51x | 22.5 | below SMA200 | adjusted |
| V | +9.3% | +14.7% | 20.3% | 1.14x | 78.6 | above SMA200 | adjusted |
| JNJ | -5.3% | -0.9% | 26.7% | 0.89x | 35.6 | above SMA200 | adjusted |
| UNH | +6.5% | -4.6% | 25.5% | 1.37x | 65.2 | above SMA200 | adjusted |
| PFE | +6.9% | +20.3% | 16.9% | 0.94x | 61.0 | above SMA200 | adjusted |
| XOM | +9.4% | +14.8% | 21.3% | 1.12x | 83.8 | above SMA200 | adjusted |
| CVX | +7.4% | +16.7% | 22.2% | 1.16x | 77.0 | above SMA200 | adjusted |
| CAT | -9.7% | -18.3% | 32.0% | 1.14x | 29.4 | below SMA200 | adjusted |
| HON | +2.4% | -13.9% | 15.8% | 1.24x | 49.8 | below SMA200 | adjusted |
| NEE | -0.8% | -10.5% | 17.8% | 1.02x | 77.2 | below SMA200 | adjusted |
| DUK | +3.4% | -5.2% | 14.4% | 0.93x | 84.2 | below SMA200 | adjusted |
| AMT | +7.6% | +13.7% | 37.6% | 0.75x | 76.7 | above SMA200 | adjusted |
| O | -0.5% | -12.2% | 14.4% | 0.74x | 57.6 | below SMA200 | adjusted |
| SPY | +0.2% | +3.7% | 10.2% | 1.53x | 47.6 | above SMA200 | adjusted |
| QQQ | -1.5% | +2.7% | 18.1% | 1.85x | 33.4 | above SMA200 | adjusted |