Core terms
Market regime
A period with measurably different trading conditions (for small caps: gapper counts, volume, the share of gappers holding gains), labelled with a rule known before each session.
Traders talk about "hot" and "cold" small-cap markets. A usable regime measure is defined in advance, available before the open and counted the same way every day: the five-session average of stocks meeting a fixed gap definition, small-cap dollar volume, yesterday's share of gappers closing at or above their open, or recent halt counts. "This was a hot week", decided on Friday, describes the week rather than a condition known on Monday.
Measured quantities do shift. In the FennEdge Gapper HOD study, the share of gappers of 20% or more whose high of day printed in premarket was 54.6% in July (n = 196), 56.3% in August (n = 270) and 47.9% in September (n = 192) (2026-07-01 to 2026-09-30; FennEdge archive; as of 2026-10-02). Three months are three data points, not a trend. Econometric regime-switching models (Hamilton, 1989) formalise the idea; trader regime labels are simpler, rule-based tags.
What traders should verify
Fix the label rule in the plan (for example "hot" if the five-session gapper average is 12 or more; *Illustrative*), label every session before trading, including days not traded, and compute expectancy per regime with trade counts.
Do not conflate
Trader usage; there is no official definition. Labels chosen after seeing the session or one's own P&L are hindsight, and splitting a log by regime leaves smaller samples with wider intervals.
Primary source
Trader usage: there is no official definition, and platforms and tools may calculate it differently.