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

2026-07-13 · 60D window · 10D outcome

twelvedata 15067 checked / 20084 total Boom = max runup ≥ +10% Validation: last 20D

Baseline boom rate 19.8%

Boom count 2990

Avg max runup +6.98%

Avg drawdown -4.85%

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 B	487	407 / 80	112	27.5%	1.39x	+8.37%	-8.08%
Grade C	22	15 / 7	7	46.7%	2.36x	+10.38%	-8.94%
Grade D	5750	4136 / 1614	581	14%	0.71x	+6.00%	-5.04%
Grade F	13825	10509 / 3316	2290	21.8%	1.1x	+7.30%	-4.65%

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	244	215 / 29	75	34.9%	1.76x	9.1% · 33 checked	+10.04%	-10.67%
Money flow >= 14 + momentum v2 >= 30	329	277 / 52	81	29.2%	1.47x	16.7% · 42 checked	+9.25%	-8.41%
5D momentum v2 >= 30	509	422 / 87	119	28.2%	1.42x	12.3% · 81 checked	+8.45%	-8.11%
Technical >= 20 + money flow >= 12	4993	3524 / 1469	618	17.5%	0.88x	14.5% · 518 checked	+6.70%	-5.58%

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

Symbol	Setup grade	Score	Evidence	Matched rules
US.PSX Phillips 66	B 69.5	91.6 59.6/110 · 32/50	Medium Money flow S · lift 1.47x · Validation not confirmed n=277 · validation watch	5D momentum v2 >= 30 · Money flow >= 14 + momentum v2 >= 30

Bucket	Total	Checked / Pending	Boom	Boom rate	Lift	Avg runup	Avg drawdown
Score 90-109	598	473 / 125	119	25.2%	1.27x	+7.67%	-7.76%
Score < 90	19476	14584 / 4892	2867	19.7%	0.99x	+6.95%	-4.75%

Bucket	Total	Checked / Pending	Boom	Boom rate	Lift	Avg runup	Avg drawdown
5D momentum v2 >= 40	85	82 / 3	31	37.8%	1.91x	+11.08%	-11.33%
5D momentum v2 30-39	424	340 / 84	88	25.9%	1.31x	+7.81%	-7.34%
5D momentum v2 < 20	18298	13730 / 4568	2692	19.6%	0.99x	+6.95%	-4.66%
5D momentum v2 20-29	1277	915 / 362	179	19.6%	0.99x	+6.75%	-6.21%

Bucket	Total	Checked / Pending	Boom	Boom rate	Lift	Avg runup	Avg drawdown
Dollar volume >= $5B	754	580 / 174	211	36.4%	1.84x	+10.16%	-9.36%
Dollar volume $1B-$5B	3281	2569 / 712	768	29.9%	1.51x	+8.83%	-6.32%
Dollar volume $250M-$1B	9942	7483 / 2459	1266	16.9%	0.85x	+6.26%	-4.68%
Dollar volume < $250M	6107	4435 / 1672	745	16.8%	0.85x	+6.70%	-3.69%

Bucket	Total	Checked / Pending	Boom	Boom rate	Lift	Avg runup	Avg drawdown
High	934	665 / 269	289	43.5%	2.2x	+11.04%	-7.68%
Elevated	6740	4960 / 1780	1720	34.7%	1.75x	+9.70%	-6.82%
Medium	11967	9068 / 2899	963	10.6%	0.54x	+5.32%	-3.63%
Low	443	374 / 69	18	4.8%	0.24x	+3.97%	-3.35%

Bucket	Total	Checked / Pending	Boom	Boom rate	Lift	Avg runup	Avg drawdown
Information Technology	2953	2220 / 733	982	44.2%	2.23x	+11.71%	-8.90%
Health Care	2359	1770 / 589	411	23.2%	1.17x	+7.30%	-3.43%
Materials	1039	779 / 260	177	22.7%	1.15x	+8.90%	-5.12%
Consumer Discretionary	1880	1410 / 470	300	21.3%	1.08x	+7.02%	-4.58%
Industrials	3181	2383 / 798	404	17%	0.86x	+6.75%	-4.02%
Financials	3038	2280 / 758	361	15.8%	0.8x	+6.10%	-3.83%
Communication Services	915	685 / 230	100	14.6%	0.74x	+5.04%	-6.30%
Consumer Staples	1399	1050 / 349	123	11.7%	0.59x	+5.33%	-4.30%
Energy	840	630 / 210	43	6.8%	0.34x	+3.83%	-6.18%
Real Estate	1240	930 / 310	50	5.4%	0.27x	+4.54%	-3.63%
Utilities	1240	930 / 310	39	4.2%	0.21x	+4.00%	-2.61%

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