The StratLab Daily
No. 66 · Wednesday 27 May 2026 · NSE, data through close
Redesign v5 · One-thesis + Market Health · Real data
Risk Retreats to Elevated but Analog History Warns of -0.82% 5-Day Average
Market Health Index at 50.3 (27th percentile) meets 16 analog matches with a -0.82% average forward return.
What happenedRisk dropped one tier from High to Elevated — a rare single-session leap on the risk scale.
The tensionThe risk easing contrasts with a low 27th percentile MHI and a -0.82% historical analog average.
Net readPosture tilts cautious; we respect the -0.82% forward average and the low 27th percentile breadth.
Nifty Close
23,907.15
−0.03%
Market Phase
⚪ Transition
session 2 · → stable
Risk
Elevated
confidence 35
FII Idx Fut
−163.0K
49.2th %ile
Walls
23.9–24.0K
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 = 27 May · source: StratLab participant OI
What this means: The Nifty edged -0.03% lower to 23907 in a flat session that belied internal shifts.
02 The turn
02 The Turn
What this means: Risk eased from High to Elevated, an uncommon one-tier drop across the risk scale.
03 The catch
03 The Catch
Market health over the last 20 sessions
Market Health Index · 20 sessions · 0–100 · endpoint = 27 May · percentiles vs 1,207 sessions
What this means: Market Health in Transition with MHI at 50.3 — just the 27th percentile — and Elevated risk.
Phase
⚪ Transition
risk Elevated
Participation
54.509
delivery breadth
StratLab Breadth Index
55.5
61th %ile, trailing year
04 Days like today
04 Days Like Today
In 16 similar analog sessions, the 5-day forward return averaged -0.82%, and the worst was -5.61%.
Conditions analog · Phase + Trend + Risk match
n = 16 · tier: exact
| Horizon | Avg | Median | Win rate | Worst |
|---|
| Next session | +0.06% | +0.22% | 50% | −2.64% |
| Next 5 sessions | −0.82% | −0.46% | 50% | −5.61% |
| Next 10 sessions | −1.74% | −1.92% | 19% | −7.78% |
| Next 20 sessions | −1.27% | −2.28% | 44% | −9.19% |
Market Health confidence is only 35, so the analog signal carries low conviction.
Cautious
05 Tomorrow's tripwires
Three checks that settle the argument
Confirm
A 5-day return of -0.82% or worse confirms the analog's bearish historical path.
Watch
MHI at 50.3 is the pivot; a break below 50 signals intensifying internal damage.
Break
A rally above the 23907 close challenges the -0.82% average analog scenario.
The ledger
Where that leaves us
Lines up bullish
- Risk tier stepped down to Elevated
- MHI at 50.3 holds the midline
- Phase Transition run only 2 sessions
Lines up bearish
- Analog 5-day average -0.82%
- Worst analog case -5.61%
- MHI sits in 27th percentile
Net read: Cautious with a bearish lean; the -0.82% average forward return and 27th percentile MHI argue for defense.
Risk easing is welcome, but the -0.82% analog average and soft breadth keep the edge with sellers.
Regime
BULL