Quantitative Methodology: The Market Flow Matrix

The Convexity Desk Quant Engine does not rely on subjective chart reading or human intuition. Our entire universe of assets is governed by a strict, systematic ruleset designed to detect institutional footprints before they become obvious to retail traders.

Here is exactly how the Market Flow Matrix calculates its rankings and generates our daily discoveries.

Core Metrics

1. Relative Strength (RS)

We do not look at absolute price. We evaluate every asset based on its relative outperformance against a benchmark (typically the S&P 500). If an asset is hitting 52-week highs while the broader market is collapsing, it demonstrates massive institutional accumulation. We score RS on a 1 to 99 percentile ranking.

2. Relative Volume (RVOL)

Price movement without volume is noise. We divide the current daily volume by the asset's 20-day moving average volume to calculate RVOL. An RVOL of > 1.5x indicates that institutions and algorithms are aggressively participating in the move.

3. Velocity (Momentum Acceleration)

We measure the rate of change of the Relative Strength over a 5-day and 1-month period. A high absolute RS score is good, but a rapidly accelerating RS score (high velocity) is the ultimate leading indicator of a fresh breakout.

The Four Discovery Modules

Using the metrics above, our engine categorizes assets into four distinct "Discoveries" every morning at 7:00 AM ET:

🔥 Momentum Breakout

These are assets experiencing sudden, violent accumulation. Mathematical Criteria:

  • RS Rank > 80
  • RVOL > 1.2x
  • 1-Month RS Velocity is positive and accelerating.

🩸 Institutional Distribution

These are assets that institutions are quietly dumping. They may look okay on a daily chart, but under the hood, big money is exiting. Mathematical Criteria:

  • RS Rank < 30
  • RVOL > 1.5x
  • 1-Month RS Velocity is negative and accelerating downward.

👑 The Supreme Leader

This is the single strongest asset in our entire database over a medium-term horizon. It acts as the "North Star" for the portfolio. Mathematical Criteria:

  • Holds a dominant RS Rank (> 95) over a 3-month period.

⚠️ Divergence Warning

This detects a "stealth top." The asset might still have a high relative strength score historically, but its underlying momentum is rapidly decelerating on heavy volume. It is a mathematical signal to tighten stop losses.

The Air-Gapped Advantage

All data compiled by the Convexity Desk Quant Engine is processed on secure, air-gapped infrastructure. We provide the institutional math; you maintain total custody of your execution and privacy.