Methodology
A multi-layer, point-in-time framework for 3–10 trading-day research.
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How MarketLayers Works
MarketLayers studies the U.S. equity market through a multi-layer, data-first research framework.
The objective is not to compress the market into a single bullish or bearish score. Markets operate through several mechanisms at once: price, participation, liquidity, order-book behavior, cross-asset pressure, sector leadership, company fundamentals, and slower institutional positioning.
These layers also move at different speeds.
A market may show strong prices but weakening participation. Order-book demand may remain firm while prices fail to respond. Financial conditions may improve before the stock reflects them, or a strong stock may move well ahead of slower fundamental evidence.
MarketLayers treats these disagreements as information rather than noise.
The primary research horizon is 3–10 trading days.
Three principles guide the process:
Evidence hierarchy. Faster and more directly observable market signals are evaluated before slower contextual information.
Point-in-time discipline. Information is interpreted according to when it was actually available, not with hindsight.
Confirmation and falsification. A thesis should explain not only why an observation may matter, but also what evidence would confirm it and what would cause the interpretation to fail.
1. Price
Price is the starting point, not the conclusion.
We examine where the market stands relative to recent and longer-term trends, whether price is extending, recovering, consolidating, or breaking down, and whether behavior across the broader stock universe confirms what major indexes appear to show.
Price is also used as a confirmation layer for other signals.
A strong index alone does not necessarily imply a healthy market, just as one weak session does not establish a bearish regime.
The relevant question is often not simply whether price rose or fell, but whether price behaved as other market evidence suggested it should.
2. Market Breadth
Breadth measures how broadly a market move is being shared across individual stocks.
MarketLayers separates three related but different questions:
Level: Is participation currently broad or narrow?
Direction: Is participation improving or deteriorating?
Speed: How quickly is that change occurring?
This distinction matters because a market can still have participation near a balanced level while deteriorating rapidly underneath the surface. Conversely, breadth can remain weak while its direction and rate of change begin to improve.
We therefore avoid interpreting breadth from one reading alone.
The combination of level, direction, and velocity is more informative than any one component in isolation.
3. Downside Damage
Weakening breadth is not the same as broad market damage.
MarketLayers separately monitors evidence such as expanding new lows, unusually large clusters of declining stocks, and changes in cross-sectional volatility or dispersion.
These measures help distinguish:
normal rotation,
temporary consolidation,
narrowing leadership,
developing stress,
and broader liquidation.
A deterioration in participation is therefore not automatically treated as a market breakdown.
For a bearish interpretation to become stronger, deterioration should increasingly appear across multiple forms of actual market damage.
4. Market-Wide Order-Flow and Depth State
MarketLayers uses a proprietary market-wide microstructure framework to evaluate short-horizon trading conditions across a broad liquid-stock universe.
Rather than reducing order-book behavior to one public score, the framework separates three reader-facing state measures:
Aggressor Flow describes whether execution pressure is tilted more toward aggressive buying or aggressive selling.
Depth Pressure describes the state of displayed order-book depth across the market.
Flow/Depth Alignment describes whether execution and displayed depth are broadly confirming the same directional state.
Each measure is shown on a 0–100 scale centered at 50.
Above 50 indicates the positive side of the relevant state.
Around 50 indicates broadly neutral conditions.
Below 50 indicates the negative side of the relevant state.
These measures are not probabilities and should not be interpreted in isolation.
For example, strong Aggressor Flow with weak Depth Pressure or weak Flow/Depth Alignment means that aggressive execution is not receiving equally strong confirmation from the broader order-book structure.
MarketLayers therefore focuses on confirmation and divergence across the three measures, and then compares those observations with price, market breadth, downside damage, and sector behavior.
The underlying feature transformations, sign conventions, internal thresholds, weights, and implementation rules remain proprietary.
5. Cross-Asset Context
Equities do not trade in isolation.
MarketLayers compares equity price behavior with major asset groups including government bonds, credit, precious metals, industrial metals, energy, and other macro-sensitive markets.
The purpose is to understand how relative market pressure is changing across assets.
These measures represent relative price behavior, not observed transfers of money.
For example, an improvement in bonds relative to equities does not by itself prove that investors literally moved a specific amount of capital from stocks into bonds.
We also study whether major asset groups are increasingly moving together or becoming more independent.
Rising common movement can indicate that a dominant macro force is affecting multiple markets simultaneously.
Falling coupling can reflect rotation, normalization, dispersion, or a more fragmented regime.
Coupling itself is therefore not inherently bullish or bearish. Its interpretation depends on the surrounding market structure.
6. Positioning and Delayed Macro Data
Some important market information is inherently delayed.
Futures positioning data, for example, is typically reported on a weekly schedule and may describe conditions several trading days before the article date.
MarketLayers explicitly records this timing difference.
A positioning measure that disagrees with current price behavior is therefore treated as lagged confirmation or non-confirmation, not automatically as evidence that the current market signal is wrong.
This distinction is especially important when fast-moving daily markets are compared with weekly regulatory data.
7. Sector Leadership
Sector analysis addresses two separate questions:
Where is quantitative leadership appearing?
and
Is that leadership being confirmed by actual stock prices?
MarketLayers preserves the sector ordering produced by the underlying quantitative research process.
Sectors are not rearranged afterward to fit recent headlines, strong price moves, or a more convenient narrative.
Once leadership is identified, we examine:
the depth of participation within the sector,
the persistence of the underlying signal,
representative stocks,
actual business exposure,
and the degree of price confirmation.
This makes it possible to distinguish a sector with broad underlying demand from one in which most of the opportunity may already have been reflected in price.
It also helps identify situations where conventional sector classifications obscure a more relevant economic theme, such as shared exposure to computing infrastructure, connectivity, power, or data-center investment.
Such thematic links are treated as an interpretation of the evidence, not as a replacement for the quantitative sector ranking.
8. Stock-Level Research
Individual stocks are evaluated through a hierarchy of evidence.
The primary layer is the proprietary short-horizon order-book demand signal.
We then examine:
whether the signal persists,
whether price confirms it,
how the stock has behaved relative to prior signal periods,
the magnitude of the expected near-term trading range,
and whether slower company or institutional information supports or challenges the setup.
A favorable secondary variable does not rescue a weak primary signal.
Strong news, attractive fundamentals, or supportive institutional data are therefore not sufficient on their own to promote a stock into the primary research set.
Likewise, persistent demand without corresponding price appreciation is not automatically labeled accumulation.
Repeated demand can coexist with persistent supply.
Until price or other evidence resolves that tension, latent demand and supply absorption remain competing explanations.
9. Price Confirmation and Signal Reference
When evaluating stock-level signals, MarketLayers distinguishes between the level at which a signal previously appeared and the stock's subsequent price path.
An average price around prior signal sessions may be used as a comparison reference.
It is not interpreted as the acquisition cost of institutional investors or any other market participant.
The distance between current price and that reference helps evaluate whether a signal has already been reflected in price, remains largely unpriced, or has failed to produce the expected transmission.
This is a confirmation framework, not a claim about investor cost basis.
10. Expected Trading Range
Some models estimate the likely magnitude of the next trading session's high-to-low range.
This estimate describes potential movement magnitude, not direction.
An expected range of 8%, for example, does not imply an expected gain of 8%.
Range estimates are also interpreted relative to the current stock universe rather than through a permanently fixed threshold.
A range that is unusually large on one market date may be ordinary on another.
Where useful, MarketLayers provides reader-facing reference ranges to make these outputs easier to interpret.
These reference ranges are descriptive and should not be confused with proprietary trading thresholds.
11. Financial Trajectory
Company fundamentals are used as a secondary confirmation and quality layer.
They do not replace the primary market signal.
Public stock analysis deliberately focuses on a relatively narrow group of financial variables:
revenue-growth trajectory,
operating cash-flow margin level and trend,
free-cash-flow margin level and trend,
and Financial flow_score_rank and financial-price divergence.
The emphasis is on trajectory rather than a single accounting snapshot.
For example, a company may have a weak current cash-flow margin but a rapidly improving trend. Another company may report a strong margin while its multi-period trajectory deteriorates.
These are different situations.
Financial information is evaluated according to when it became publicly available. Historical information is not retroactively assigned to dates when investors could not yet have known it.
For companies with incomplete historical coverage — including some newly listed, reorganized, or separated businesses — official SEC filing and XBRL data may be used to reconstruct relevant revenue and cash-flow history.
Such fallback data is used only to fill the required financial context. It does not retroactively alter historical quantitative rankings or recreate proprietary cross-sectional signals from a single company in isolation.
Missing financial information is not treated as negative evidence.
12. Financial Relative Context
MarketLayers also uses selected cross-sectional financial measures.
A Financial Flow Score Rank describes where a company's financial context stands relative to the current comparison universe.
It is a relative rank, not a probability.
A financial-price divergence measure asks whether slower financial context and current price behavior appear relatively aligned or misaligned.
A positive divergence can indicate that financial context is stronger than the degree currently reflected in price.
A negative divergence can indicate that price has moved ahead of the slower financial context.
Neither condition is automatically bullish or bearish.
A divergence identifies a relationship that requires further confirmation.
13. Institutional Holdings
Institutional ownership information such as 13F filings is inherently delayed.
MarketLayers uses this data only as a slower contextual layer.
Selected measures describe the relative strength of delayed institutional-holdings evidence and the degree to which that evidence agrees or disagrees with current price behavior.
They are never interpreted as proof that institutions are buying or selling a stock today.
The actual availability date of the underlying filing is important.
For this reason, a strong institutional-holdings reading can support a broader thesis while still being several weeks or months older than current market signals.
Delayed data is useful, but only when its delay is made explicit.
14. Divergence and Confirmation
Some of the most informative situations occur when different layers disagree.
Examples include:
strong underlying demand with weak price transmission,
breadth near balance but deteriorating rapidly,
improving participation while headline indexes remain damaged,
strong price performance with weak slower financial context,
improving fundamentals that have not yet appeared in price,
or delayed institutional evidence that does not confirm the current move.
MarketLayers does not automatically convert these divergences into buy or sell signals.
Instead, each divergence becomes a research question.
The analytical sequence is:
Observation → mechanism → counterevidence → confirmation → invalidation → next test
The objective is not only to explain what has happened.
A useful thesis should also specify what future observation would strengthen the interpretation and what observation would cause it to fail.
15. Public Information and News
Public information is examined after the quantitative evidence.
Company filings, investor-relations releases, government data, regulatory publications, and high-quality reporting may be used to investigate:
catalysts,
business exposure,
timing,
economic mechanisms,
and counterevidence.
News does not determine quantitative rankings.
The preferred sequence is:
Quantitative observation → targeted external research → economic interpretation → counterevidence → next test
This order is deliberate.
It reduces the risk of beginning with an attractive narrative and then selectively searching for data that supports it.
16. Point-in-Time Discipline
MarketLayers follows an as-of-date research discipline.
An article written for a particular market date should rely on information that was reasonably available by that date.
This applies to:
company filings,
financial statements,
institutional holdings,
regulatory positioning,
company announcements,
and other delayed datasets.
The reporting period of a financial statement is not necessarily the date when the information became investable knowledge.
Likewise, the latest available institutional or futures-positioning dataset may still describe conditions several trading days or weeks earlier.
These timing differences are preserved rather than hidden.
This is particularly important when combining fast market data with slower company or institutional information.
17. Interpreting Quantitative Outputs
Quantitative indicators are not probabilities unless explicitly stated as probabilities.
Different outputs have different meanings.
Percentile ranks describe relative position within a historical or cross-sectional distribution.
Standardized indicators describe distance from a reference distribution.
Divergence measures describe relative disagreement between two types of evidence.
Expected trading ranges describe potential high-to-low magnitude rather than directional targets.
Order-book balance references help readers distinguish absolute demand conditions from intraday deterioration or improvement.
Reader-facing ranges may be provided to make unfamiliar indicators easier to understand.
These ranges are explanatory references, not disclosures of proprietary model thresholds, weights, or decision rules.
18. Evidence Hierarchy
Not all evidence is given equal weight.
The general hierarchy is:
Market structure and primary quantitative signals
→ price confirmation
→ cross-market and sector context
→ financial trajectory
→ delayed institutional context
→ public narrative
The exact interpretation depends on the question being studied, but slower information is not allowed to override a clearly weak primary market signal merely because it creates a more attractive story.
This hierarchy is one of the main safeguards against narrative-driven analysis.
19. Research Production
MarketLayers combines quantitative software with AI-assisted research tools.
Software is used to collect, transform, validate, rank, and visualize structured market data.
AI-assisted tools are used to help organize evidence, investigate public information, compare competing explanations, and prepare research drafts.
The analytical framework, evidence hierarchy, point-in-time rules, variable definitions, and publication requirements are defined in advance.
Automation therefore supports the research process rather than deciding what the evidence should mean.
Daily research is built from current quantitative data, checked against point-in-time information, and organized around:
supporting evidence, counterevidence, uncertainty, and explicit invalidation conditions.
20. Structural Support and Resistance Map
MarketLayers uses a causal, multi-timeframe support/resistance map for selected stocks. In this context, causal means that each historical date is evaluated using only the market information that would have been available at that date; it does not mean causal inference in the econometric sense.
The current production baseline uses static Fibonacci structure across daily and weekly timeframes, historical reaction evidence, formation-volume-profile evidence as a secondary layer, and current Volume Profile context.
Experimental shifted or dynamic AVWAP-based variants have been researched, but they are not the current production baseline.
The map groups nearby qualified levels into zones rather than pretending that support or resistance is one perfectly precise price.
S1 is the nearest qualified support zone below current price.
R1 is the nearest qualified resistance zone above current price.
Additional S2/S3 and R2/R3 levels provide deeper support and higher resistance context when available.
Reader-facing tables may show:
zone price,
percent distance,
ATR-normalized distance,
daily/weekly source,
Fibonacci ratio context,
relative zone quality,
formation Volume Profile memory,
and current POC/HVN/LVN context.
The exact internal zone-scoring formula, weighting, and proprietary qualification rules are not published.
21. Strict Recent Support Confirmation
A stock does not enter the support-based public research set merely because a support line exists.
MarketLayers requires a recent causal interaction with S1 and a confirmed defense of that support while current price still remains near the live S1 structure.
The current publication workflow evaluates a recent five-session confirmation window.
A bullish support interaction may confirm on the same session when price meaningfully reclaims the defended support area.
A bearish or doji support interaction is treated more cautiously. It must show a meaningful lower-wick defense and requires confirmation from the next completed session rather than receiving same-day confirmation.
A later candle trading inside an already-defended support zone does not automatically erase an earlier valid confirmation. A genuine breakdown of the defended structure invalidates the setup.
22. Historical Confirmed Support vs. Current Live S1
The support level that was defended on the confirmation date and today's live S1 are related but not identical concepts.
Market structure evolves.
For that reason, MarketLayers records the historical confirmed-support episode while separately measuring today's distance from the current causal S1 zone.
This prevents a stock from being described as “near support” merely because it bounced from a much lower level several sessions ago.
The current live-S1 distance is therefore central to determining whether the setup is still close to actionable structure or has already become extended.
23. Support Proximity, Extension, and Publication Priority
Support proximity can be expressed in both percentage terms and ATR-normalized terms.
Percentage distance is intuitive, while ATR distance adjusts for the stock's current volatility.
A stock may have a valid historical support confirmation yet be excluded from the primary public set if current price has moved too far from today's live S1.
Among stocks that pass the support confirmation process, proximity to current support and confirmation freshness are important ordering considerations, while the upstream quantitative stock ranking remains the primary model context.
These measures describe research structure. They are not mechanical trade instructions.
24. Step14 Chart Context
Representative stock charts show the same support/resistance map used by the production framework.
The weekly panel includes weekly candles, a 5-week moving average, 20-week Bollinger Bands, the exact daily 200-day moving average sampled on weekly dates, selected support/resistance zones, and representative weekly Fibonacci lines.
The daily panel includes daily candles, a 5-day moving average, 20-day Bollinger Bands, the 200-day moving average, the same support/resistance zones, representative daily/weekly Fibonacci lines, and current price.
The charts intentionally do not display every active structural line. Representative lines are used to preserve readability while the underlying zone remains the analytical object.
Limitations
No quantitative framework can fully represent the market.
Order-book conditions can change quickly.
Financial information is periodic.
Institutional holdings and regulatory positioning data are delayed.
Historical relationships may weaken or fail.
Market prices may also respond to unexpected liquidity events, corporate announcements, policy decisions, geopolitical developments, positioning shocks, or other forces that are not captured by the available data.
For these reasons, MarketLayers does not treat any individual indicator, model output, or analytical interpretation as certain.
This research is designed for 3–10 trading-day swing setups. The signals and conclusions may not transfer to intraday trading or longer-horizon investing.
MarketLayers is provided for informational and research purposes only. Nothing published on this site constitutes investment advice, a recommendation to buy or sell any security, or a guarantee of future results.
Price is only one layer.