{
 "report_id": "2026-07-28_value_momentum",
 "report_date": "2026-07-28",
 "report_timestamp": "2026-07-28T22:13:49+00:00",
 "report_type": "hybrid",
 "generator": "mechanical screener v1 (FMP + EODHD), no LLM in the data path",
 "universe": {
  "country_listing": "US",
  "security_types": [
   "common_stock"
  ],
  "exclude": [
   "etf",
   "cef",
   "fund"
  ],
  "min_price": 5.0,
  "min_market_cap": 10000000000,
  "min_avg_daily_volume": 500000,
  "size": 851
 },
 "market_context": {
  "spy_close": 740.86,
  "spy_above_21d_ema": false,
  "note": "regime shown for reference; backtest found it non-predictive"
 },
 "picks": [
  {
   "pick_rank": 1,
   "screen_type": "value",
   "ticker": "KEP",
   "company_name": "Korea Electric Power Corporation",
   "sector": "Utilities",
   "universe": "US large-cap common stocks",
   "price": 11.64,
   "market_cap": 14944921920,
   "fifty_two_week_low": 11.32,
   "pct_above_52_week_low": 2.83,
   "trailing_pe": 2.48,
   "five_day_return_pct": -0.77,
   "roc_14d_pct": -5.06,
   "roc_21d_pct": -2.92,
   "rsi_14d": 43.03,
   "sma_20d": 11.94,
   "sma_50d": 12.44,
   "sma_200d": 15.86,
   "pct_vs_sma_20d": -2.55,
   "pct_vs_sma_50d": -6.43,
   "pct_vs_sma_200d": -26.61,
   "pct_off_52_week_high": -49.96,
   "avg_daily_volume_3m": 1128536,
   "risk_level": "medium",
   "above_200d_sma": false,
   "strategy_action": "long-watch \u2014 3y: 57% win, +1.7% avg per 21 sessions; weakest in 2025-26 tape",
   "outlook": "Deep value near lows; bounced more often than not over three years. The 2025-26 short-the-knife pattern did not hold over the full sample.",
   "screen_reason": [
    "Within 10% of 52-week low",
    "Trailing P/E <= 10",
    "Universe & liquidity filters passed"
   ],
   "overlap_with_other_screen": false
  },
  {
   "pick_rank": 2,
   "screen_type": "value",
   "ticker": "BCE",
   "company_name": "BCE Inc.",
   "sector": "Communication Services",
   "universe": "US large-cap common stocks",
   "price": 21.81,
   "market_cap": 20338388069,
   "fifty_two_week_low": 20.87,
   "pct_above_52_week_low": 4.5,
   "trailing_pe": 4.55,
   "five_day_return_pct": 0.74,
   "roc_14d_pct": 1.68,
   "roc_21d_pct": -4.84,
   "rsi_14d": 47.79,
   "sma_20d": 21.45,
   "sma_50d": 22.89,
   "sma_200d": 23.46,
   "pct_vs_sma_20d": 1.68,
   "pct_vs_sma_50d": -4.7,
   "pct_vs_sma_200d": -7.04,
   "pct_off_52_week_high": -17.54,
   "avg_daily_volume_3m": 3756070,
   "risk_level": "medium",
   "above_200d_sma": false,
   "strategy_action": "long-watch \u2014 3y: 57% win, +1.7% avg per 21 sessions; weakest in 2025-26 tape",
   "outlook": "Deep value near lows; bounced more often than not over three years. The 2025-26 short-the-knife pattern did not hold over the full sample.",
   "screen_reason": [
    "Within 10% of 52-week low",
    "Trailing P/E <= 10",
    "Universe & liquidity filters passed"
   ],
   "overlap_with_other_screen": false
  },
  {
   "pick_rank": 3,
   "screen_type": "value",
   "ticker": "EXE",
   "company_name": "Expand Energy Corporation",
   "sector": "Energy",
   "universe": "US large-cap common stocks",
   "price": 88.52,
   "market_cap": 21176551080,
   "fifty_two_week_low": 86.95,
   "pct_above_52_week_low": 1.81,
   "trailing_pe": 7.58,
   "five_day_return_pct": -0.07,
   "roc_14d_pct": -1.75,
   "roc_21d_pct": 0.06,
   "rsi_14d": 46.26,
   "sma_20d": 89.3,
   "sma_50d": 90.7,
   "sma_200d": 101.88,
   "pct_vs_sma_20d": -0.88,
   "pct_vs_sma_50d": -2.4,
   "pct_vs_sma_200d": -13.11,
   "pct_off_52_week_high": -27.97,
   "avg_daily_volume_3m": 3613187,
   "risk_level": "high",
   "above_200d_sma": false,
   "strategy_action": "long-watch \u2014 3y: 57% win, +1.7% avg per 21 sessions; weakest in 2025-26 tape",
   "outlook": "Deep value near lows; bounced more often than not over three years. The 2025-26 short-the-knife pattern did not hold over the full sample.",
   "screen_reason": [
    "Within 10% of 52-week low",
    "Trailing P/E <= 10",
    "Universe & liquidity filters passed"
   ],
   "overlap_with_other_screen": false
  },
  {
   "pick_rank": 4,
   "screen_type": "value",
   "ticker": "VICI",
   "company_name": "VICI Properties Inc.",
   "sector": "Real Estate",
   "universe": "US large-cap common stocks",
   "price": 27.1,
   "market_cap": 28970713000,
   "fifty_two_week_low": 25.93,
   "pct_above_52_week_low": 4.51,
   "trailing_pe": 9.28,
   "five_day_return_pct": 1.96,
   "roc_14d_pct": 3.87,
   "roc_21d_pct": -0.4,
   "rsi_14d": 54.58,
   "sma_20d": 26.57,
   "sma_50d": 27.05,
   "sma_200d": 27.7,
   "pct_vs_sma_20d": 1.99,
   "pct_vs_sma_50d": 0.17,
   "pct_vs_sma_200d": -2.18,
   "pct_off_52_week_high": -20.13,
   "avg_daily_volume_3m": 9223336,
   "risk_level": "medium",
   "above_200d_sma": false,
   "strategy_action": "long-watch \u2014 3y: 57% win, +1.7% avg per 21 sessions; weakest in 2025-26 tape",
   "outlook": "Deep value near lows; bounced more often than not over three years. The 2025-26 short-the-knife pattern did not hold over the full sample.",
   "screen_reason": [
    "Within 10% of 52-week low",
    "Trailing P/E <= 10",
    "Universe & liquidity filters passed"
   ],
   "overlap_with_other_screen": false
  },
  {
   "pick_rank": 1,
   "screen_type": "momentum",
   "ticker": "THC",
   "company_name": "Tenet Healthcare Corporation",
   "sector": "Healthcare",
   "universe": "US large-cap common stocks",
   "price": 262.63,
   "market_cap": 22622160310,
   "fifty_two_week_low": 156.06,
   "pct_above_52_week_low": 68.29,
   "trailing_pe": null,
   "five_day_return_pct": 33.66,
   "roc_14d_pct": 27.33,
   "roc_21d_pct": 38.96,
   "rsi_14d": 80.8,
   "sma_20d": 205.18,
   "sma_50d": 188.19,
   "sma_200d": 199.44,
   "pct_vs_sma_20d": 28.0,
   "pct_vs_sma_50d": 39.55,
   "pct_vs_sma_200d": 31.68,
   "pct_off_52_week_high": 0.0,
   "avg_daily_volume_3m": 1518637,
   "risk_level": "high",
   "above_200d_sma": true,
   "strategy_action": "long, 21-day hold",
   "outlook": "Trend continuation setup. At 52-week high after a >20% five-day spike (no historical edge either way).",
   "screen_reason": [
    "Top 5-day performer",
    "Universe & liquidity filters passed"
   ],
   "overlap_with_other_screen": false
  },
  {
   "pick_rank": 2,
   "screen_type": "momentum",
   "ticker": "IP",
   "company_name": "International Paper Company",
   "sector": "Basic Materials",
   "universe": "US large-cap common stocks",
   "price": 44.09,
   "market_cap": 23346404530,
   "fifty_two_week_low": 29.38,
   "pct_above_52_week_low": 50.07,
   "trailing_pe": null,
   "five_day_return_pct": 21.29,
   "roc_14d_pct": 20.23,
   "roc_21d_pct": 13.75,
   "rsi_14d": 74.48,
   "sma_20d": 38.32,
   "sma_50d": 35.81,
   "sma_200d": 38.0,
   "pct_vs_sma_20d": 15.05,
   "pct_vs_sma_50d": 23.11,
   "pct_vs_sma_200d": 16.03,
   "pct_off_52_week_high": -20.56,
   "avg_daily_volume_3m": 6419900,
   "risk_level": "high",
   "above_200d_sma": true,
   "strategy_action": "long, 21-day hold",
   "outlook": "Trend continuation setup.",
   "screen_reason": [
    "Top 5-day performer",
    "Universe & liquidity filters passed"
   ],
   "overlap_with_other_screen": false
  },
  {
   "pick_rank": 3,
   "screen_type": "momentum",
   "ticker": "IQV",
   "company_name": "IQVIA Holdings Inc.",
   "sector": "Healthcare",
   "universe": "US large-cap common stocks",
   "price": 242.94,
   "market_cap": 40608439000,
   "fifty_two_week_low": 156.66,
   "pct_above_52_week_low": 55.07,
   "trailing_pe": null,
   "five_day_return_pct": 20.49,
   "roc_14d_pct": 19.21,
   "roc_21d_pct": 27.1,
   "rsi_14d": 79.55,
   "sma_20d": 207.64,
   "sma_50d": 189.85,
   "sma_200d": 196.88,
   "pct_vs_sma_20d": 17.0,
   "pct_vs_sma_50d": 27.97,
   "pct_vs_sma_200d": 23.4,
   "pct_off_52_week_high": -0.55,
   "avg_daily_volume_3m": 1667090,
   "risk_level": "high",
   "above_200d_sma": true,
   "strategy_action": "long, 21-day hold",
   "outlook": "Trend continuation setup. At 52-week high after a >20% five-day spike (no historical edge either way).",
   "screen_reason": [
    "Top 5-day performer",
    "Universe & liquidity filters passed"
   ],
   "overlap_with_other_screen": false
  },
  {
   "pick_rank": 4,
   "screen_type": "momentum",
   "ticker": "SW",
   "company_name": "Smurfit Westrock plc",
   "sector": "Consumer Cyclical",
   "universe": "US large-cap common stocks",
   "price": 50.8,
   "market_cap": 26642773740,
   "fifty_two_week_low": 32.79,
   "pct_above_52_week_low": 54.93,
   "trailing_pe": null,
   "five_day_return_pct": 17.97,
   "roc_14d_pct": 20.72,
   "roc_21d_pct": 8.13,
   "rsi_14d": 69.62,
   "sma_20d": 45.04,
   "sma_50d": 43.08,
   "sma_200d": 40.62,
   "pct_vs_sma_20d": 12.79,
   "pct_vs_sma_50d": 17.93,
   "pct_vs_sma_200d": 25.07,
   "pct_off_52_week_high": -2.01,
   "avg_daily_volume_3m": 5695714,
   "risk_level": "high",
   "above_200d_sma": true,
   "strategy_action": "long, 21-day hold",
   "outlook": "Trend continuation setup.",
   "screen_reason": [
    "Top 5-day performer",
    "Universe & liquidity filters passed"
   ],
   "overlap_with_other_screen": false
  },
  {
   "pick_rank": 5,
   "screen_type": "momentum",
   "ticker": "ALLE",
   "company_name": "Allegion plc",
   "sector": "Industrials",
   "universe": "US large-cap common stocks",
   "price": 161.23,
   "market_cap": 13710483264,
   "fifty_two_week_low": 125.65,
   "pct_above_52_week_low": 28.32,
   "trailing_pe": null,
   "five_day_return_pct": 17.43,
   "roc_14d_pct": 19.44,
   "roc_21d_pct": 15.4,
   "rsi_14d": 78.28,
   "sma_20d": 141.76,
   "sma_50d": 135.36,
   "sma_200d": 151.27,
   "pct_vs_sma_20d": 13.73,
   "pct_vs_sma_50d": 19.11,
   "pct_vs_sma_200d": 6.58,
   "pct_off_52_week_high": -10.31,
   "avg_daily_volume_3m": 1242625,
   "risk_level": "high",
   "above_200d_sma": true,
   "strategy_action": "long, 21-day hold",
   "outlook": "Trend continuation setup.",
   "screen_reason": [
    "Top 5-day performer",
    "Universe & liquidity filters passed"
   ],
   "overlap_with_other_screen": false
  },
  {
   "pick_rank": 6,
   "screen_type": "momentum",
   "ticker": "ACN",
   "company_name": "Accenture plc",
   "sector": "Technology",
   "universe": "US large-cap common stocks",
   "price": 164.66,
   "market_cap": 100762387668,
   "fifty_two_week_low": 124.44,
   "pct_above_52_week_low": 32.32,
   "trailing_pe": null,
   "five_day_return_pct": 16.9,
   "roc_14d_pct": 21.47,
   "roc_21d_pct": 29.2,
   "rsi_14d": 66.26,
   "sma_20d": 140.11,
   "sma_50d": 153.42,
   "sma_200d": 208.06,
   "pct_vs_sma_20d": 17.52,
   "pct_vs_sma_50d": 7.33,
   "pct_vs_sma_200d": -20.86,
   "pct_off_52_week_high": -42.93,
   "avg_daily_volume_3m": 8418188,
   "risk_level": "high",
   "above_200d_sma": false,
   "strategy_action": "skip \u2014 below 200-day SMA (3y: +0.5% vs +1.8% per 21 sessions)",
   "outlook": "Momentum without trend support.",
   "screen_reason": [
    "Top 5-day performer",
    "Universe & liquidity filters passed"
   ],
   "overlap_with_other_screen": false
  },
  {
   "pick_rank": 7,
   "screen_type": "momentum",
   "ticker": "JBS",
   "company_name": "Jbs N.V.",
   "sector": "Consumer Defensive",
   "universe": "US large-cap common stocks",
   "price": 13.93,
   "market_cap": 30898223406,
   "fifty_two_week_low": 11.62,
   "pct_above_52_week_low": 19.88,
   "trailing_pe": null,
   "five_day_return_pct": 16.57,
   "roc_14d_pct": 17.85,
   "roc_21d_pct": 13.99,
   "rsi_14d": 72.86,
   "sma_20d": 12.19,
   "sma_50d": 12.3,
   "sma_200d": 13.57,
   "pct_vs_sma_20d": 14.3,
   "pct_vs_sma_50d": 13.27,
   "pct_vs_sma_200d": 2.62,
   "pct_off_52_week_high": -24.38,
   "avg_daily_volume_3m": 7123365,
   "risk_level": "high",
   "above_200d_sma": true,
   "strategy_action": "long, 21-day hold",
   "outlook": "Trend continuation setup.",
   "screen_reason": [
    "Top 5-day performer",
    "Universe & liquidity filters passed"
   ],
   "overlap_with_other_screen": false
  },
  {
   "pick_rank": 8,
   "screen_type": "momentum",
   "ticker": "SAP",
   "company_name": "SAP SE",
   "sector": "Technology",
   "universe": "US large-cap common stocks",
   "price": 179.17,
   "market_cap": 208775184334,
   "fifty_two_week_low": 146.38,
   "pct_above_52_week_low": 22.4,
   "trailing_pe": null,
   "five_day_return_pct": 16.09,
   "roc_14d_pct": 13.82,
   "roc_21d_pct": 15.53,
   "rsi_14d": 64.66,
   "sma_20d": 159.11,
   "sma_50d": 165.99,
   "sma_200d": 201.64,
   "pct_vs_sma_20d": 12.61,
   "pct_vs_sma_50d": 7.94,
   "pct_vs_sma_200d": -11.14,
   "pct_off_52_week_high": -39.36,
   "avg_daily_volume_3m": 3193314,
   "risk_level": "high",
   "above_200d_sma": false,
   "strategy_action": "skip \u2014 below 200-day SMA (3y: +0.5% vs +1.8% per 21 sessions)",
   "outlook": "Momentum without trend support.",
   "screen_reason": [
    "Top 5-day performer",
    "Universe & liquidity filters passed"
   ],
   "overlap_with_other_screen": false
  },
  {
   "pick_rank": 9,
   "screen_type": "momentum",
   "ticker": "WAB",
   "company_name": "Westinghouse Air Brake Technologies Corporation",
   "sector": "Industrials",
   "universe": "US large-cap common stocks",
   "price": 305.79,
   "market_cap": 51651294690,
   "fifty_two_week_low": 185.65,
   "pct_above_52_week_low": 64.71,
   "trailing_pe": null,
   "five_day_return_pct": 16.04,
   "roc_14d_pct": 18.07,
   "roc_21d_pct": 13.45,
   "rsi_14d": 75.24,
   "sma_20d": 271.17,
   "sma_50d": 267.17,
   "sma_200d": 240.88,
   "pct_vs_sma_20d": 12.77,
   "pct_vs_sma_50d": 14.46,
   "pct_vs_sma_200d": 26.95,
   "pct_off_52_week_high": 0.0,
   "avg_daily_volume_3m": 942898,
   "risk_level": "high",
   "above_200d_sma": true,
   "strategy_action": "long, 21-day hold",
   "outlook": "Trend continuation setup.",
   "screen_reason": [
    "Top 5-day performer",
    "Universe & liquidity filters passed"
   ],
   "overlap_with_other_screen": false
  },
  {
   "pick_rank": 10,
   "screen_type": "momentum",
   "ticker": "IT",
   "company_name": "Gartner, Inc.",
   "sector": "Industrials",
   "universe": "US large-cap common stocks",
   "price": 155.84,
   "market_cap": 10433783940,
   "fifty_two_week_low": 125.73,
   "pct_above_52_week_low": 23.95,
   "trailing_pe": null,
   "five_day_return_pct": 15.63,
   "roc_14d_pct": 15.71,
   "roc_21d_pct": 15.47,
   "rsi_14d": 63.09,
   "sma_20d": 137.64,
   "sma_50d": 145.3,
   "sma_200d": 185.39,
   "pct_vs_sma_20d": 13.22,
   "pct_vs_sma_50d": 7.26,
   "pct_vs_sma_200d": -15.94,
   "pct_off_52_week_high": -55.79,
   "avg_daily_volume_3m": 1589576,
   "risk_level": "high",
   "above_200d_sma": false,
   "strategy_action": "skip \u2014 below 200-day SMA (3y: +0.5% vs +1.8% per 21 sessions)",
   "outlook": "Momentum without trend support.",
   "screen_reason": [
    "Top 5-day performer",
    "Universe & liquidity filters passed"
   ],
   "overlap_with_other_screen": false
  }
 ],
 "factor_sleeves": {
  "month": "2026-07",
  "formed_on": "2026-07-28",
  "rebalance": "monthly (first run of each calendar month)",
  "mom121_top25": [
   "SNDK",
   "BE",
   "WDC",
   "MU",
   "LITE",
   "HUT",
   "STX",
   "CIEN",
   "TSEM",
   "INTC",
   "ARWR",
   "DOCN",
   "NBIS",
   "TTMI",
   "TER",
   "RVMD",
   "COHR",
   "ALAB",
   "GLW",
   "VSAT",
   "IREN",
   "LRCX",
   "MKSI",
   "ECHO",
   "ASX"
  ],
  "mom121_values": {
   "SNDK": 43.2478,
   "BE": 10.6676,
   "WDC": 8.4011,
   "MU": 7.9198,
   "LITE": 7.9025,
   "HUT": 6.0499,
   "STX": 5.5492,
   "CIEN": 5.0368,
   "TSEM": 4.8336,
   "INTC": 4.7802,
   "ARWR": 4.0377,
   "DOCN": 4.0047,
   "NBIS": 3.9526,
   "TTMI": 3.8849,
   "TER": 3.8556,
   "RVMD": 3.7404,
   "COHR": 3.4442,
   "ALAB": 3.3706,
   "GLW": 3.3484,
   "VSAT": 3.3021,
   "IREN": 2.9773,
   "LRCX": 2.9699,
   "MKSI": 2.96,
   "ECHO": 2.9505,
   "ASX": 2.926
  },
  "lowvol_quintile": [
   "EA",
   "BRK-B",
   "FTS",
   "WBD",
   "MPLX",
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   "RY",
   "DUK",
   "ET",
   "WEC",
   "AFL",
   "EVRG",
   "FE",
   "PNW",
   "ED",
   "O",
   "CNP",
   "L",
   "OGE",
   "LNT",
   "ELS",
   "GLPI",
   "NI",
   "WPC",
   "CMS",
   "TD",
   "EGP",
   "PPL",
   "KIM",
   "CFR",
   "DTE",
   "SRE",
   "ENB",
   "BNS",
   "SO",
   "TRP",
   "AEE",
   "SUI",
   "PBA",
   "LIN",
   "PEG",
   "WBS",
   "MCD",
   "AEP",
   "KMI",
   "MAA",
   "CPT",
   "VICI",
   "EQR",
   "ARCC",
   "JNJ",
   "BCE",
   "AMH",
   "HIG",
   "TU",
   "EPD",
   "PAA",
   "XEL",
   "COST",
   "AM",
   "KO",
   "INVH",
   "NLY",
   "CB",
   "RSG",
   "UNM",
   "GL",
   "KVUE",
   "UDR",
   "PFE",
   "SPG",
   "YUM",
   "EXC",
   "WM",
   "AVB",
   "CTVA",
   "PG",
   "RPRX",
   "LAMR",
   "GGG",
   "BIP",
   "MFC",
   "ETR",
   "OHI",
   "TAK",
   "ES",
   "WRB",
   "ORI",
   "TJX",
   "D",
   "WES",
   "TRV",
   "BAC",
   "MTB",
   "DTM",
   "VTR",
   "ACGL",
   "JPM",
   "WTRG",
   "PNC",
   "NVS",
   "CM",
   "PFG",
   "CINF",
   "PLD",
   "FHN",
   "ITW",
   "CHD",
   "AIG",
   "NEE",
   "PEP",
   "IEX",
   "ZTO",
   "EWBC",
   "EIX",
   "AGNC",
   "BNY",
   "LH",
   "CNI",
   "NSC",
   "KEY",
   "CP",
   "HST",
   "AWK",
   "EXR",
   "AEG",
   "IBN",
   "USB",
   "ECL",
   "HLT",
   "AME",
   "CSX",
   "SNY",
   "ONB",
   "V",
   "WMB",
   "SSB",
   "PRU",
   "WTFC",
   "HLN",
   "PSA",
   "TROW",
   "RF",
   "OTIS",
   "CL",
   "FMX",
   "MET",
   "CCEP",
   "MDLZ",
   "GD",
   "CVX",
   "UMBF",
   "MA",
   "STT",
   "WY",
   "NGG",
   "WELL",
   "UNP",
   "AVY",
   "SHEL",
   "PSO",
   "CLH",
   "ALL",
   "MO",
   "APD",
   "KMB",
   "SFD"
  ],
  "lowvol_n": 168,
  "universe_n": 842,
  "backtest_note": "3y PIT: mom121 Sharpe 1.16 / lowvol 1.10 / 40-60 barbell 1.40 vs SPY 1.21 | 15y PIT: mom121 0.76, lowvol 0.90, barbell 0.93 vs SPY 0.87"
 },
 "factor_sleeves_refreshed_this_run": true,
 "dropped_on_avg_volume": []
}