Overview
Thai equity quant pipeline — regime, books, and live journal at a glance.
Neutral (-1.4%) vs a RISING 100d average — no stretch signal either way; the trend direction carries the information.
Indices
close, returns, trend position
| Index | Close | 1d | 1w | 1m | 3m | vs MA20 | vs MA100 | 52w |
|---|---|---|---|---|---|---|---|---|
| SET | 1571.74 | -0.4% | -0.3% | -2.0% | -3.1% | -0.8% | -1.4% | |
| SET50 | 1046.61 | -0.1% | -0.3% | -2.6% | -1.7% | -1.4% | -0.8% | |
| SET100 | 119.08 | -0.4% | -0.2% | -1.9% | -2.6% | -0.6% | -1.1% |
Breadth
participation across universes
| Universe | n | >MA20 | >MA100 | 5d Δ |
|---|---|---|---|---|
| SET | 751 | 30% | 46% | ↑ +2% |
| SET100 | 98 | 35% | 53% | ↑ +11% |
| SET50 | 50 | 36% | 68% | ↑ +12% |
Trade quality
turnover concentration and 52w extremes, today
| Symbol | Value (MTHB) | % market | 1d | Sector |
|---|---|---|---|---|
| SCC50 | 3,893 | 7.4% | +1.9% | Industrials |
| DELTA50 | 3,832 | 7.3% | -2.2% | Industrials |
| KBANK50 | 3,652 | 6.9% | +1.3% | Financial Services |
| KTB50 | 2,541 | 4.8% | -0.6% | Financial Services |
| PTTEP50 | 2,329 | 4.4% | +2.0% | Energy |
| TOP50 | 2,210 | 4.2% | -5.7% | Energy |
| PTT50 | 1,967 | 3.7% | +0.6% | Energy |
| TRUE50 | 1,691 | 3.2% | -0.8% | Communication Services |
| GULF50 | 1,605 | 3.0% | +0.4% | Utilities |
| AOT50 | 1,579 | 3.0% | -0.4% | Industrials |
Highs watch
liquid names within 1% of at least their 3-month high today
Turnover
last 120 sessions, billions THB
Index curve
equal-weight cumulative index, last 250 sessions
Breadth trend
% of names above MA20, last 120 sessions
New highs / lows (52w)
daily counts across the common-stock universe, last 250 sessions
Foreign flow
net foreign stock buying, MTHB, last 120 sessions
Sectors now
strongest overweights and weakest underweights — informational only
Rotation watch
biggest 20D IC shifts since the 2026-03-01 turn — informational, weights adjust on their own
| Factor | Theme | IC (OOS) | IC (since turn) | Shift | |
|---|---|---|---|---|---|
| sector_momentum_20d | SectorRotation | 0.008 | 0.100 | +0.092 | |
| accumulation | Volume | -0.035 | 0.022 | +0.057 | SIGN FLIP |
| quality_low_leverage | Quality | -0.057 | 0.000 | +0.057 | |
| low_beta | Low-Risk | 0.057 | -0.055 | -0.112 | SIGN FLIP |
| low_volatility | Low-Risk | 0.096 | -0.005 | -0.101 | |
| value_earnings_yield | Value | 0.069 | -0.030 | -0.099 | SIGN FLIP |
4 jobs need attention
stale pipeline jobs that missed a due slot — waiting jobs are normal and not shown
Books
the actual portfolios — paper mode, no live orders
US market — collecting
S&P 500 + Nasdaq 100 + DJIA · 517 names — provisional models visible
US factors and books are present as provisional paper-mode research; they are not approved for live sizing until the forward ledger accrues.
collector runs daily (cron 07:00 Tue-Sat). First zoo run + first weekly books done 2026-07-05 — PROVISIONAL: universe is today's membership backfilled (survivorship bias), so backtests are optimistic. The forward-only paper ledger (started 2026-07-05) is the honest record; no real sizing until it accrues (~Q4 2026).
Return windows by perioduniverse vs. size splits
| Window | Universe | Small half | Big half |
|---|---|---|---|
| 2024 | -11.8% | -21.3% | -1.8% |
| 2025 | -18.9% | -27.4% | -9.7% |
| 2026 Jan-Feb | +17.7% | +17.3% | +18.0% |
| since 2026-03-01 | +13.7% | +9.6% | +17.8% |
| last 60 sessions | +2.8% | -1.3% | +7.1% |