No. 10 · Monday 2 Mar 2026 · NSE, data through close
Redesign v5 · One-thesis + Market Health · Real data
Market Health enters Bear Market as StratLab Breadth Index falls to 24.7
Nifty dropped 1.24% to 24,865.7, triggering a phase shift from Weak Downtrend, with the breadth index sliding to 24.7—a 4.8 percentile reading.
What happenedNifty fell 1.24% to 24,865.7; the StratLab Breadth Index plunged to 24.7, moving Market Health from Weak Downtrend to Bear Market.
The tensionDespite the sell-off, 100 similar historical conditions showed an average 5-day forward return of 0.5%, though the worst-case was a 4.86% drop.
Net readConditions like today historically favored a 0.5% average bounce, but the Bear Market phase and 4.8 percentile breadth index signal asymmetric downside risk.
Nifty Close
24,865.70
−1.24%
Market Phase
🔴 Bear Market
session 1 · ↓ weakening
MHI
24.69
5th %ile
Risk
Very High
confidence 10
FII Idx Fut
−144.5K
46.2th %ile
Walls
24.8–24.9K
PE base · CE wall
01 The crowd
01 the crowd
Positioning over the last 20 sessions
FII net index futures · 20 sessions · '000 contracts · endpoint = 2 Mar · source: StratLab participant OI
What this means: Nifty fell 1.24% to 24,865.7 as sellers dominated, with market breadth collapsing to 24.7.
02 The turn
02 the turn
What this means: The StratLab Breadth Index’s drop from 47.1 to 24.7 flipped Market Health from Weak Downtrend to Bear Market.
03 The catch
03 the catch (Market Health)
Market health over the last 20 sessions
Market Health Index · 20 sessions · 0–100 · endpoint = 2 Mar · percentiles vs 1,153 sessions
What this means: Market Health now stands at Bear Market, with breadth index at 24.7—a 4.8 percentile reading in Very High risk territory.
Phase
🔴 Bear Market
risk Very High
Participation
45.1807
delivery breadth
StratLab Breadth Index
27.4
13th %ile, trailing year
04 Days like today
04 days like today
In 100 matching historical instances, the forward 5-day average return was 0.5%, with a worst-case drop of 4.86%.
Conditions analog · Phase + Trend + Risk match
n = 100 · tier: exact
Horizon
Avg
Median
Win rate
Worst
Next session
+0.12%
+0.09%
52%
−3.24%
Next 5 sessions
+0.50%
+0.34%
57%
−4.86%
Next 10 sessions
+0.64%
+0.41%
54%
−7.37%
Next 20 sessions
+1.22%
+0.69%
62%
−6.97%
Analog based on 100 matches with 10.0 confidence.
Cautious; mean-reversion potential but elevated tail risk.
05 Tomorrow's tripwires
Three checks that settle the argument
Bounce Confirmation
A Nifty rally exceeding the 0.5% average 5-day forward return would confirm the mean-reversion scenario.
Continuation Watch
If Nifty holds between the current close and a 4.86% drop, the Bear Market phase persists with breadth at 24.7.
Breakdown Alert
A decline of 4.86% or more from 24,865.7 would exceed the worst-case analog, signaling an extreme tail event.
The ledger
Where that leaves us
Lines up bullish
Historical analog shows 0.5% average 5-day return.
Breadth index at 4.8 percentile can attract dip buyers.
Phase run length of just 1 day suggests the decline may be overextended.
Lines up bearish
Worst-case 5-day forward return is -4.86%.
Market Health phase is Bear Market with breadth at 24.7—a very low percentile.
Net read: Bearish with potential for 0.5% mean reversion; however, Bear Market phase and 24.7 breadth index keep risks skewed to the downside.
Market Health’s move to Bear Market with StratLab Breadth Index at 24.7 signals a negative regime shift. Despite the historical 0.5% average 5-day bounce, the 4.8 percentile reading and -4.86% worst-case drop warrant a defensive posture.