Factor study

Find repeatable boom factors while data accumulates.

Track score, momentum, volume, risk, and sector buckets against future runup labels over rolling archived snapshots.

Snapshot filters

Results are observational. Use lift and sample count together, not boom rate alone.

End date

Range Forward horizon Boom runup threshold Minimum sample Minimum score Sector Risk level

Factor study

2026-06-23 · 60D window · 10D outcome

twelvedata 16064 checked / 20591 total Boom = max runup ≥ +10% Validation: last 20D

Baseline boom rate 17.1%

Boom count 2739

Avg max runup +6.41%

Avg drawdown -4.97%

boom_5d

5D max runup >= +8%

boom_10d

10D max runup >= +10%

boom_20d

20D max runup >= +15%

Bucket	Total	Checked / Pending	Boom	Boom rate	Lift	Avg runup	Avg drawdown
Grade A	299	261 / 38	98	37.5%	2.19x	+11.57%	-8.88%
Grade B	295	247 / 48	55	22.3%	1.3x	+7.14%	-5.48%
Grade D	5715	4201 / 1514	570	13.6%	0.8x	+5.78%	-5.16%
Grade F	14273	11348 / 2925	2013	17.7%	1.04x	+6.50%	-4.79%

Auto-searches 1–3 factor AND rules from bucket cut-points. Ranked by validation lift, then train lift, then sample size.

Searched 0 Kept 0

Combination	Total	Checked / Pending	Boom rate	Lift	Train lift	Validation	Avg runup	Avg drawdown
No combination cleared min sample and validation filters yet.

Sorted by lift vs universe baseline. Validation columns show the same rule over the most recent study window slice.

Rule	Total	Checked / Pending	Boom	Boom rate	Lift	Validation	Avg runup	Avg drawdown
Momentum v2 >= 30 + dollar volume >= $1B	319	272 / 47	104	38.2%	2.23x	20% · 15 checked	+11.59%	-9.11%
Money flow >= 14 + momentum v2 >= 30	415	371 / 44	124	33.4%	1.95x	8.8% · 34 checked	+10.27%	-7.33%
5D momentum v2 >= 30	603	515 / 88	156	30.3%	1.77x	8.3% · 48 checked	+9.45%	-7.29%
Technical >= 20 + money flow >= 12	4738	3569 / 1169	702	19.7%	1.15x	12% · 551 checked	+7.16%	-5.52%

Stocks from the latest selected snapshot that match high-lift rules in the current study window.

Symbol	Setup grade	Score	Evidence	Matched rules
US.TRV Travelers Companies (The)	A 82	92.5 62.5/110 · 30/50	Medium Money flow A · lift 2.23x n=272 · validation OK	5D momentum v2 >= 30 · Momentum v2 >= 30 + dollar volume >= $1B · Money flow >= 14 + momentum v2 >= 30
US.AEP American Electric Power	A 83.5	98.2 63.2/110 · 35/50	Low lift 2.23x n=272 · validation OK	5D momentum v2 >= 30 · Momentum v2 >= 30 + dollar volume >= $1B

Bucket	Total	Checked / Pending	Boom	Boom rate	Lift	Avg runup	Avg drawdown
Score 90-109	700	597 / 103	163	27.3%	1.6x	+8.70%	-6.74%
Score < 90	19873	15450 / 4423	2570	16.6%	0.97x	+6.31%	-4.90%

Bucket	Total	Checked / Pending	Boom	Boom rate	Lift	Avg runup	Avg drawdown
5D momentum v2 >= 40	156	146 / 10	52	35.6%	2.08x	+10.65%	-8.54%
5D momentum v2 30-39	447	369 / 78	104	28.2%	1.65x	+8.98%	-6.80%
5D momentum v2 20-29	1105	846 / 259	195	23%	1.35x	+7.84%	-6.39%
5D momentum v2 < 20	18883	14703 / 4180	2388	16.2%	0.95x	+6.22%	-4.80%

Bucket	Total	Checked / Pending	Boom	Boom rate	Lift	Avg runup	Avg drawdown
Dollar volume >= $5B	734	551 / 183	212	38.5%	2.25x	+12.10%	-7.20%
Dollar volume $1B-$5B	3277	2484 / 793	708	28.5%	1.67x	+8.62%	-5.87%
Dollar volume $250M-$1B	10234	7973 / 2261	1152	14.4%	0.84x	+5.78%	-4.92%
Dollar volume < $250M	6346	5056 / 1290	667	13.2%	0.77x	+5.70%	-4.36%

Bucket	Total	Checked / Pending	Boom	Boom rate	Lift	Avg runup	Avg drawdown
High	799	530 / 269	240	45.3%	2.65x	+11.66%	-7.64%
Elevated	6705	5251 / 1454	1657	31.6%	1.85x	+9.41%	-6.43%
Medium	12602	9911 / 2691	830	8.4%	0.49x	+4.65%	-4.10%
Low	485	372 / 113	12	3.2%	0.19x	+3.46%	-3.63%

Bucket	Total	Checked / Pending	Boom	Boom rate	Lift	Avg runup	Avg drawdown
Information Technology	3034	2368 / 666	1125	47.5%	2.78x	+13.38%	-7.25%
Materials	1065	832 / 233	157	18.9%	1.11x	+7.24%	-5.65%
Health Care	2419	1888 / 531	336	17.8%	1.04x	+6.22%	-4.56%
Consumer Discretionary	1927	1504 / 423	268	17.8%	1.04x	+6.24%	-5.47%
Industrials	3249	2529 / 720	325	12.9%	0.75x	+5.31%	-4.69%
Consumer Staples	1435	1120 / 315	131	11.7%	0.68x	+5.22%	-4.09%
Financials	3116	2432 / 684	208	8.6%	0.5x	+4.73%	-4.03%
Communication Services	943	735 / 208	59	8%	0.47x	+4.27%	-5.44%
Energy	861	672 / 189	48	7.1%	0.42x	+4.47%	-5.80%
Real Estate	1271	992 / 279	49	4.9%	0.29x	+4.18%	-3.20%
Utilities	1271	992 / 279	33	3.3%	0.19x	+3.08%	-3.82%

Factor study is observational and uses archived market data only. It helps evaluate model quality, not predict or recommend trades.