Volatility Breakout • Signals & Reports Guide
Comprehensive Guide to Daily Signal Reports (daily_signal_report.html), Scenario Drilldowns (result.html), and the 35 Parametric Scenarios Matrix (\(A_1 \dots G_5\)).
Daily Signal Report (daily_signal_report.html)
The Daily Signal Report is the master aggregate dashboard generated at the end of each trading day for the selected strategy. It synthesizes findings across all 35 parametric scenarios (\(A_1\) through \(G_5\)), providing an institutional-grade overview of cross-sectional equity momentum and statistical edge.
Aggregates symbol frequencies across all 35 scenarios. Equities that trigger buy/sell signals across multiple independent liquidity tiers and lookback windows receive the highest consensus scores.
Categorizes active signals across GICS sectors (e.g. Technology, Healthcare, Energy) to reveal macro rotation trends and capital concentration across the broader market.
Provides direct navigation cards to drill down into any of the 35 individual scenario reports (\(A_1 \dots G_5\)), displaying exact candidate counts and top rankers per tier.
Scenario Drilldown Report (result.html)
Clicking on any specific scenario from the Daily Signal Report opens its corresponding Scenario Drilldown (scenario_{SCENARIO_NAME}/results.html or result.html). This page delivers micro-level execution details for that precise parameter configuration.
Ranked Candidate Table
Lists all qualifying symbols ranked strictly by their strategy score. Key fields displayed include:
- • Symbol & Company Name: Equity identifier and company profile.
- • Strategy Score: Mathematical score calculated for that specific horizon.
- • Traded Volume & Market Cap: Average liquidity metrics.
- • Industry / Sector: Sub-industry classification.
15-Minute EMA Multi-Timeframe Confirmation
Each candidate is evaluated against intraday 15-minute Exponential Moving Averages (\(\text{EMA}_{50}\), \(\text{EMA}_{200}\), \(\text{EMA}_{800}\)):
- • Bullish Alignment: \(\text{Price} > \text{EMA}_{50} > \text{EMA}_{200} > \text{EMA}_{800}\) confirms strong intraday trend momentum.
- • Bearish Alignment: \(\text{Price} < \text{EMA}_{50} < \text{EMA}_{200} < \text{EMA}_{800}\) flags downward pressure.
- • Mixed / Transition: Identifies potential consolidation or exhaustion.
The 35 Parametric Scenarios Matrix (\(A_1 \dots G_5\))
The quantitative engine executes across a two-dimensional grid of 7 Liquidity / Traded Dollar Volume Tiers (Groups A–G) crossed with 5 Parameter / Horizon Variations (Indices 1–5), generating exactly \(7 \times 5 = 35\) independent scenarios:
Dimension 1: Liquidity & Traded Volume Tiers (Groups A through G)
$10M – $500M
Liquid Small & Mid Cap equities.
$500M – $1.0B
Mid to Upper-Mid Cap tier.
$1.0B – $1.5B
Large Cap institutional baseline.
$1.5B – $2.0B
High-volume Large Cap universe.
$2.0B – $2.5B
Premier High-liquidity universe.
> $2.5B
Mega-Cap & ultra-liquid institutional leaders.
> $10M (Unbounded Upper Limit)
Comprehensive cross-market universe capturing all liquid equities without upper market-cap caps.
Dimension 2: Lookback Horizon & Parameter Variations (Indices 1 through 5)
Standard baseline lookback (252d long, 21d short, 126d vol).
Intermediate 3-quarter cycle (189d long, 21d short, 126d vol).
Medium-term semi-annual cycle (126d long, 21d short, 63d vol).
Quarterly tactical lookback (63d long, 10d short, 42d vol).
Fast momentum swing horizon (42d long, 5-10d short, 21d vol).
Complete 35 Parametric Scenarios Matrix Reference
| Tier / Group | Daily Traded Dollar Volume | Index 1 (12M) | Index 2 (9M) | Index 3 (6M) | Index 4 (3M) | Index 5 (Tactical) |
|---|---|---|---|---|---|---|
| Group A | $10M – $500M | A1 | A2 | A3 | A4 | A5 |
| Group B | $500M – $1.0B | B1 | B2 | B3 | B4 | B5 |
| Group C | $1.0B – $1.5B | C1 | C2 | C3 | C4 | C5 |
| Group D | $1.5B – $2.0B | D1 | D2 | D3 | D4 | D5 |
| Group E | $2.0B – $2.5B | E1 | E2 | E3 | E4 | E5 |
| Group F | > $2.5B | F1 | F2 | F3 | F4 | F5 |
| Group G | > $10M (Unbounded) | G1 | G2 | G3 | G4 | G5 |