{
 "report_id": "2026-07-29_value_momentum",
 "report_date": "2026-07-29",
 "report_timestamp": "2026-07-29T22:10:45+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": 849
 },
 "market_context": {
  "spy_close": 729.46,
  "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": 11.38,
   "market_cap": 14611100640,
   "fifty_two_week_low": 11.32,
   "pct_above_52_week_low": 0.53,
   "trailing_pe": 2.44,
   "five_day_return_pct": -4.13,
   "roc_14d_pct": -4.77,
   "roc_21d_pct": -8.08,
   "rsi_14d": 39.95,
   "sma_20d": 11.91,
   "sma_50d": 12.41,
   "sma_200d": 15.85,
   "pct_vs_sma_20d": -4.44,
   "pct_vs_sma_50d": -8.28,
   "pct_vs_sma_200d": -28.22,
   "pct_off_52_week_high": -51.07,
   "avg_daily_volume_3m": 1140051,
   "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": "SUZ",
   "company_name": "Suzano S.A.",
   "sector": "Basic Materials",
   "universe": "US large-cap common stocks",
   "price": 8.3,
   "market_cap": 10246240299,
   "fifty_two_week_low": 7.67,
   "pct_above_52_week_low": 8.21,
   "trailing_pe": 4.59,
   "five_day_return_pct": -1.78,
   "roc_14d_pct": 3.88,
   "roc_21d_pct": 8.21,
   "rsi_14d": 54.08,
   "sma_20d": 8.15,
   "sma_50d": 8.16,
   "sma_200d": 9.12,
   "pct_vs_sma_20d": 1.83,
   "pct_vs_sma_50d": 1.69,
   "pct_vs_sma_200d": -9.0,
   "pct_off_52_week_high": -27.57,
   "avg_daily_volume_3m": 3072701,
   "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": 3,
   "screen_type": "value",
   "ticker": "BCE",
   "company_name": "BCE Inc.",
   "sector": "Communication Services",
   "universe": "US large-cap common stocks",
   "price": 22.33,
   "market_cap": 20823301494,
   "fifty_two_week_low": 20.87,
   "pct_above_52_week_low": 7.0,
   "trailing_pe": 4.64,
   "five_day_return_pct": 3.96,
   "roc_14d_pct": 4.74,
   "roc_21d_pct": 0.31,
   "rsi_14d": 54.63,
   "sma_20d": 21.49,
   "sma_50d": 22.86,
   "sma_200d": 23.46,
   "pct_vs_sma_20d": 3.91,
   "pct_vs_sma_50d": -2.33,
   "pct_vs_sma_200d": -4.82,
   "pct_off_52_week_high": -15.58,
   "avg_daily_volume_3m": 3787712,
   "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": 4,
   "screen_type": "value",
   "ticker": "EXE",
   "company_name": "Expand Energy Corporation",
   "sector": "Energy",
   "universe": "US large-cap common stocks",
   "price": 92.46,
   "market_cap": 22119098361,
   "fifty_two_week_low": 86.95,
   "pct_above_52_week_low": 6.34,
   "trailing_pe": 7.92,
   "five_day_return_pct": -0.76,
   "roc_14d_pct": 3.92,
   "roc_21d_pct": 5.62,
   "rsi_14d": 56.98,
   "sma_20d": 89.37,
   "sma_50d": 90.61,
   "sma_200d": 101.82,
   "pct_vs_sma_20d": 3.46,
   "pct_vs_sma_50d": 2.04,
   "pct_vs_sma_200d": -9.2,
   "pct_off_52_week_high": -24.76,
   "avg_daily_volume_3m": 3671204,
   "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": 1,
   "screen_type": "momentum",
   "ticker": "MANH",
   "company_name": "Manhattan Associates, Inc.",
   "sector": "Technology",
   "universe": "US large-cap common stocks",
   "price": 204.02,
   "market_cap": 12070762100,
   "fifty_two_week_low": 120.88,
   "pct_above_52_week_low": 68.78,
   "trailing_pe": null,
   "five_day_return_pct": 36.83,
   "roc_14d_pct": 30.26,
   "roc_21d_pct": 47.73,
   "rsi_14d": 78.23,
   "sma_20d": 158.99,
   "sma_50d": 148.03,
   "sma_200d": 155.71,
   "pct_vs_sma_20d": 28.32,
   "pct_vs_sma_50d": 37.82,
   "pct_vs_sma_200d": 31.02,
   "pct_off_52_week_high": -10.49,
   "avg_daily_volume_3m": 688261,
   "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": 2,
   "screen_type": "momentum",
   "ticker": "THC",
   "company_name": "Tenet Healthcare Corporation",
   "sector": "Healthcare",
   "universe": "US large-cap common stocks",
   "price": 257.62,
   "market_cap": 22190613940,
   "fifty_two_week_low": 156.06,
   "pct_above_52_week_low": 65.08,
   "trailing_pe": null,
   "five_day_return_pct": 31.88,
   "roc_14d_pct": 24.59,
   "roc_21d_pct": 37.64,
   "rsi_14d": 76.81,
   "sma_20d": 208.71,
   "sma_50d": 189.41,
   "sma_200d": 199.75,
   "pct_vs_sma_20d": 23.43,
   "pct_vs_sma_50d": 36.01,
   "pct_vs_sma_200d": 28.97,
   "pct_off_52_week_high": -1.91,
   "avg_daily_volume_3m": 1525552,
   "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": "CTSH",
   "company_name": "Cognizant Technology Solutions Corporation",
   "sector": "Technology",
   "universe": "US large-cap common stocks",
   "price": 55.97,
   "market_cap": 26473810000,
   "fifty_two_week_low": 38.73,
   "pct_above_52_week_low": 44.51,
   "trailing_pe": null,
   "five_day_return_pct": 29.62,
   "roc_14d_pct": 28.96,
   "roc_21d_pct": 44.48,
   "rsi_14d": 74.64,
   "sma_20d": 44.49,
   "sma_50d": 47.43,
   "sma_200d": 63.59,
   "pct_vs_sma_20d": 25.82,
   "pct_vs_sma_50d": 18.0,
   "pct_vs_sma_200d": -11.98,
   "pct_off_52_week_high": -35.44,
   "avg_daily_volume_3m": 10728759,
   "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": 4,
   "screen_type": "momentum",
   "ticker": "WDAY",
   "company_name": "Workday, Inc.",
   "sector": "Technology",
   "universe": "US large-cap common stocks",
   "price": 168.01,
   "market_cap": 44008893397,
   "fifty_two_week_low": 112.5,
   "pct_above_52_week_low": 49.34,
   "trailing_pe": null,
   "five_day_return_pct": 26.88,
   "roc_14d_pct": 21.45,
   "roc_21d_pct": 35.95,
   "rsi_14d": 69.1,
   "sma_20d": 141.92,
   "sma_50d": 135.03,
   "sma_200d": 166.34,
   "pct_vs_sma_20d": 18.38,
   "pct_vs_sma_50d": 24.43,
   "pct_vs_sma_200d": 1.0,
   "pct_off_52_week_high": -32.17,
   "avg_daily_volume_3m": 5122843,
   "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": "IT",
   "company_name": "Gartner, Inc.",
   "sector": "Industrials",
   "universe": "US large-cap common stocks",
   "price": 165.65,
   "market_cap": 11090582069,
   "fifty_two_week_low": 125.73,
   "pct_above_52_week_low": 31.75,
   "trailing_pe": null,
   "five_day_return_pct": 25.4,
   "roc_14d_pct": 24.84,
   "roc_21d_pct": 24.75,
   "rsi_14d": 68.33,
   "sma_20d": 139.44,
   "sma_50d": 145.68,
   "sma_200d": 184.99,
   "pct_vs_sma_20d": 18.8,
   "pct_vs_sma_50d": 13.7,
   "pct_vs_sma_200d": -10.46,
   "pct_off_52_week_high": -52.73,
   "avg_daily_volume_3m": 1590831,
   "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": 6,
   "screen_type": "momentum",
   "ticker": "SAP",
   "company_name": "SAP SE",
   "sector": "Technology",
   "universe": "US large-cap common stocks",
   "price": 185.99,
   "market_cap": 216722088152,
   "fifty_two_week_low": 146.38,
   "pct_above_52_week_low": 27.06,
   "trailing_pe": null,
   "five_day_return_pct": 25.04,
   "roc_14d_pct": 17.37,
   "roc_21d_pct": 20.07,
   "rsi_14d": 68.16,
   "sma_20d": 160.7,
   "sma_50d": 166.32,
   "sma_200d": 201.22,
   "pct_vs_sma_20d": 15.73,
   "pct_vs_sma_50d": 11.82,
   "pct_vs_sma_200d": -7.57,
   "pct_off_52_week_high": -37.05,
   "avg_daily_volume_3m": 3241495,
   "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": "GWRE",
   "company_name": "Guidewire Software, Inc.",
   "sector": "Technology",
   "universe": "US large-cap common stocks",
   "price": 167.26,
   "market_cap": 13925465464,
   "fifty_two_week_low": 102.69,
   "pct_above_52_week_low": 62.88,
   "trailing_pe": null,
   "five_day_return_pct": 24.85,
   "roc_14d_pct": 23.85,
   "roc_21d_pct": 38.38,
   "rsi_14d": 70.45,
   "sma_20d": 141.77,
   "sma_50d": 134.68,
   "sma_200d": 164.61,
   "pct_vs_sma_20d": 17.98,
   "pct_vs_sma_50d": 24.19,
   "pct_vs_sma_200d": 1.61,
   "pct_off_52_week_high": -36.13,
   "avg_daily_volume_3m": 1648346,
   "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": "IQV",
   "company_name": "IQVIA Holdings Inc.",
   "sector": "Healthcare",
   "universe": "US large-cap common stocks",
   "price": 247.56,
   "market_cap": 41354482000,
   "fifty_two_week_low": 156.66,
   "pct_above_52_week_low": 58.02,
   "trailing_pe": null,
   "five_day_return_pct": 24.7,
   "roc_14d_pct": 18.47,
   "roc_21d_pct": 28.08,
   "rsi_14d": 80.85,
   "sma_20d": 210.36,
   "sma_50d": 191.41,
   "sma_200d": 197.1,
   "pct_vs_sma_20d": 17.69,
   "pct_vs_sma_50d": 29.33,
   "pct_vs_sma_200d": 25.6,
   "pct_off_52_week_high": 0.0,
   "avg_daily_volume_3m": 1686009,
   "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": 9,
   "screen_type": "momentum",
   "ticker": "BSY",
   "company_name": "Bentley Systems, Incorporated",
   "sector": "Technology",
   "universe": "US large-cap common stocks",
   "price": 36.96,
   "market_cap": 10802725977,
   "fifty_two_week_low": 28.42,
   "pct_above_52_week_low": 30.05,
   "trailing_pe": null,
   "five_day_return_pct": 24.28,
   "roc_14d_pct": 16.93,
   "roc_21d_pct": 24.36,
   "rsi_14d": 70.46,
   "sma_20d": 32.24,
   "sma_50d": 31.83,
   "sma_200d": 37.11,
   "pct_vs_sma_20d": 14.64,
   "pct_vs_sma_50d": 16.13,
   "pct_vs_sma_200d": -0.41,
   "pct_off_52_week_high": -37.05,
   "avg_daily_volume_3m": 3051753,
   "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": 10,
   "screen_type": "momentum",
   "ticker": "ACN",
   "company_name": "Accenture plc",
   "sector": "Technology",
   "universe": "US large-cap common stocks",
   "price": 173.17,
   "market_cap": 105970015016,
   "fifty_two_week_low": 124.44,
   "pct_above_52_week_low": 39.16,
   "trailing_pe": null,
   "five_day_return_pct": 23.61,
   "roc_14d_pct": 24.53,
   "roc_21d_pct": 40.49,
   "rsi_14d": 70.5,
   "sma_20d": 142.63,
   "sma_50d": 153.55,
   "sma_200d": 207.71,
   "pct_vs_sma_20d": 21.42,
   "pct_vs_sma_50d": 12.78,
   "pct_vs_sma_200d": -16.63,
   "pct_off_52_week_high": -39.98,
   "avg_daily_volume_3m": 8505652,
   "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": [
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  "mom121_values": {
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   "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
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  "lowvol_quintile": [
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   "PNW",
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   "CNP",
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   "OGE",
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   "CPT",
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   "ARCC",
   "JNJ",
   "BCE",
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   "HIG",
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   "EPD",
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   "XEL",
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   "KO",
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   "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": false,
 "dropped_on_avg_volume": []
}