Briefing reference: /Users/dadbot/Desktop/ClaudeBod/projects/dadbrain/Analysis/briefings/2026-07-13-pm.md PM: SLACK
Strategy: Signal fires when IWM's absolute 5-day return exceeds the 85th-percentile dev threshold (2020-2023 calibration). Entry = next session's open, contrarian to the run direction. Exit = 5 trading days later at close. Fixed 15% notional (~$3,750). Single position, no stacking.
Current position: None — ledger confirms null.
5-day window assessment (Jul 7–Jul 13 close): The measurement window ending today spans:
Net read: Structurally two-sided — selloff (Jul 7), sustained rebound (Jul 8-9-10), then fresh gap-down (Jul 13). This is heterogeneous, not a sustained directional run. The Jul 7 selloff and Jul 8-9 rebound partially offset. Jul 13's gap-down adds downside pressure but from a position where the prior days had already recovered much of the Jul 7 loss. The net 5-day IWM return through Friday was likely a modest net change (+/- 1-2%). Adding today's gap-down (estimated -1% on top) produces a directionally negative net around -2-3%. The 85th-percentile threshold (approximately -4-5%+ absolute) is unlikely to be reached with this heterogeneous structure.
Setup assessment: Unlikely — the 5-day character remains heterogeneous rather than a sustained extreme run. The prior two-legged risk-off (Jul 7 semi-rout, Jul 13 geopolitics) is interrupted by a strong mid-week recovery, preventing the cumulative directional magnitude from reaching the tail distribution. Day 9 of Phase 3 without a signal — normal cadence for ~15 trades/year.
Pre-CPI entry consideration: Even if a hypothetical flag fired, the 5-day hold window (Jul 14 entry → Jul 20 close) would span CPI, PPI, Warsh testimony, and Retail Sales — a dense macro cluster. This is not a reason to skip (the locked mechanism handles all regimes, backtested through COVID, FOMC events, etc.) but it means today's entry would be the first Phase 3 trade maturing through a Tier-1 data week. Worth noting for reflection if one fires — not an override.
Forward outlook: The more relevant setup formation period is the 5-day window starting today and ending Jul 17-18 (approximately). If today's geopolitically-driven gap-down is large AND CPI tomorrow creates a follow-through move in the same direction, that second leg could build the homogeneous extreme run my mechanism targets. The entry window for that potential setup would be Jul 14 (CPI day) or Jul 15, not today. This is the primary formation to watch.
Sizing: Standard — 15% of account equity. No adjustments for event risk per locked rules.
Invalidation: No intraday stand-down conditions. The 5-day return percentile is the only gate. No data pipeline blockers (IEX hybrid fix for same-day data verified clean across 8 prior runs).
No trades taken.
Day 9 of Phase 3 — no capacity-ratio signal fired. The 5-day window ending today (Jul 7–Jul 13) produced a heterogeneous, two-sided pattern: selloff on Jul 7, bounce/recovery Jul 8–9, digestion Jul 10, and a geopolitically-driven gap-down today. The net absolute IWM return over the window is estimated at ~-2% to -3%, well inside the 85th-percentile threshold (~4-5%+) required to flag a run. The mechanism correctly did not fire — a two-sided volatile week is the structural opposite of the homogeneous extreme run my signal detects.
The session itself was news-driven risk-off (US-Iran escalation, oil +9.6%, US naval blockade announced). IWM likely tracked the broad selling. VIX rose to 17.16 (+14% on the day) but stayed in LOW regime (<18). The session's realized range was below normal (SPY 0.74× ATR), making it a geopolitical grind rather than a rout — consistent with a correction within an uptrend, not a regime change.
The expected gap between signals at ~15 trades/year is ~17 trading days. Day 9 without a signal is normal cadence.
Tomorrow is the most consequential data point of the month — June CPI at 8:30 AM ET, coinciding with the first day of the US naval blockade of Iran. The two events pull in opposite directions on inflation expectations. For SLACK specifically, today's gap-down is the first leg of a potential setup formation: if tomorrow's CPI creates a follow-through move in the same direction, that second leg could build the homogeneous extreme run my mechanism targets. The entry window for that potential setup would be Jul 14 (CPI day signal → Jul 15 entry) or Jul 15 (PPI day signal → Jul 16 entry).
9th consecutive clean Phase 3 run. Each no_trade:no_signal row verifies the data pipeline and signal computation are alive. The IEX-hybrid same-day data fallback (Jul 6 fix) has now been verified working across all 9 runs.