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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.

Factor study

2026-07-15 · 60D window · 10D outcome

twelvedata 15067 checked / 19582 total Boom = max runup ≥ +10% Validation: last 20D

Baseline boom rate 19.7%
Boom count 2964
Avg max runup +6.87%
Avg drawdown -4.86%

Boom labels

boom_5d
5D max runup >= +8%
boom_10d
10D max runup >= +10%
boom_20d
20D max runup >= +15%

Setup grade

Bucket Total Checked / Pending Boom Boom rate Lift Avg runup Avg drawdown
Grade B 455 396 / 59 96 24.2% 1.23x +7.87% -8.35%
Grade C 51 39 / 12 19 48.7% 2.47x +9.80% -8.83%
Grade D 5608 4262 / 1346 586 13.7% 0.7x +5.89% -4.93%
Grade F 13468 10370 / 3098 2263 21.8% 1.11x +7.22% -4.68%

Best combinations

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.

Rule candidates

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 241 215 / 26 69 32.1% 1.63x 7.1% · 42 checked +9.28% -11.27%
Money flow >= 14 + momentum v2 >= 30 325 283 / 42 76 26.9% 1.37x 14.5% · 55 checked +8.66% -8.81%
5D momentum v2 >= 30 506 435 / 71 115 26.4% 1.34x 11.3% · 97 checked +8.04% -8.39%
Technical >= 20 + money flow >= 12 4909 3615 / 1294 605 16.7% 0.85x 9.6% · 581 checked +6.50% -5.52%

Latest snapshot candidates

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

Symbol Setup grade Score Evidence Matched rules
US.BNY BNY Mellon B 72.4 115.2 74.2/110 · 41/50 Medium
Total A · Momentum A · lift 1.63x n=215 · validation watch
5D momentum v2 >= 30 · Momentum v2 >= 30 + dollar volume >= $1B · Money flow >= 14 + momentum v2 >= 30
US.PYPL PayPal B 73.5 111.6 64.6/110 · 47/50 Medium
Momentum S · Technical S · lift 1.63x n=215 · validation watch
5D momentum v2 >= 30 · Momentum v2 >= 30 + dollar volume >= $1B · Money flow >= 14 + momentum v2 >= 30
US.XYZ Block, Inc. B 72.9 104.4 64.4/110 · 40/50 Medium
Momentum A · Money flow A · lift 1.63x n=215 · validation watch
5D momentum v2 >= 30 · Momentum v2 >= 30 + dollar volume >= $1B · Money flow >= 14 + momentum v2 >= 30
US.BAC Bank of America B 70.7 103.3 73.3/110 · 30/50 Low
Money flow A · Technical A · lift 1.63x n=215 · validation watch
5D momentum v2 >= 30 · Momentum v2 >= 30 + dollar volume >= $1B · Money flow >= 14 + momentum v2 >= 30
US.STT State Street Corporation B 70.3 96.5 65.5/110 · 31/50 Medium
Money flow A · Technical A · lift 1.63x n=215 · validation watch
5D momentum v2 >= 30 · Momentum v2 >= 30 + dollar volume >= $1B · Money flow >= 14 + momentum v2 >= 30
US.EA Electronic Arts B 71.3 96.4 63.4/110 · 33/50 Medium
Money flow A · Technical A · lift 1.63x n=215 · validation watch
5D momentum v2 >= 30 · Momentum v2 >= 30 + dollar volume >= $1B · Money flow >= 14 + momentum v2 >= 30
US.META Meta Platforms B 67.7 91.9 55.9/110 · 36/50 Elevated
Money flow A · lift 1.63x · Elevated risk n=215 · validation watch
5D momentum v2 >= 30 · Momentum v2 >= 30 + dollar volume >= $1B · Money flow >= 14 + momentum v2 >= 30
US.MTB M&T Bank B 71.3 111 74/110 · 37/50 Medium
Total A · Money flow A · lift 1.37x n=283 · validation watch
5D momentum v2 >= 30 · Money flow >= 14 + momentum v2 >= 30
US.GS Goldman Sachs B 68.7 102.1 61.1/110 · 41/50 Medium
Momentum A · Technical A · lift 1.63x n=215 · validation watch
5D momentum v2 >= 30 · Momentum v2 >= 30 + dollar volume >= $1B
US.BLK BlackRock B 69.2 101.7 64.7/110 · 37/50 Medium
lift 1.63x · Validation not confirmed n=215 · validation watch
5D momentum v2 >= 30 · Momentum v2 >= 30 + dollar volume >= $1B
US.CTAS Cintas B 70 97.1 64.1/110 · 33/50 Medium
Money flow A · Technical A · lift 1.37x n=283 · validation watch
5D momentum v2 >= 30 · Money flow >= 14 + momentum v2 >= 30
US.AAPL Apple Inc. B 69 94.1 62.1/110 · 32/50 Medium
Technical A · lift 1.63x · Validation not confirmed n=215 · validation watch
5D momentum v2 >= 30 · Momentum v2 >= 30 + dollar volume >= $1B
US.IVZ Invesco B 65.6 94 58/110 · 36/50 Elevated
Money flow A · lift 1.37x · Elevated risk n=283 · validation watch
5D momentum v2 >= 30 · Money flow >= 14 + momentum v2 >= 30
US.BBY Best Buy B 67.7 91.2 61.2/110 · 30/50 Medium
Technical A · lift 1.34x · Validation not confirmed n=435 · validation watch
5D momentum v2 >= 30

Score with momentum v2 bucket

Bucket Total Checked / Pending Boom Boom rate Lift Avg runup Avg drawdown
Score 90-109 593 479 / 114 114 23.8% 1.21x +7.32% -7.98%
Score < 90 18976 14578 / 4398 2846 19.5% 0.99x +6.84% -4.75%

5D momentum v2 bucket

Bucket Total Checked / Pending Boom Boom rate Lift Avg runup Avg drawdown
5D momentum v2 >= 40 84 78 / 6 28 35.9% 1.82x +10.48% -11.63%
5D momentum v2 30-39 422 357 / 65 87 24.4% 1.24x +7.51% -7.69%
5D momentum v2 < 20 17813 13676 / 4137 2667 19.5% 0.99x +6.86% -4.66%
5D momentum v2 20-29 1263 956 / 307 182 19% 0.96x +6.54% -6.12%

Dollar volume bucket

Bucket Total Checked / Pending Boom Boom rate Lift Avg runup Avg drawdown
Dollar volume >= $5B 747 589 / 158 207 35.1% 1.78x +9.80% -9.79%
Dollar volume $1B-$5B 3234 2599 / 635 753 29% 1.47x +8.52% -6.30%
Dollar volume $250M-$1B 9741 7494 / 2247 1275 17% 0.86x +6.22% -4.64%
Dollar volume < $250M 5860 4385 / 1475 729 16.6% 0.84x +6.61% -3.72%

Risk level

Bucket Total Checked / Pending Boom Boom rate Lift Avg runup Avg drawdown
High 905 677 / 228 286 42.2% 2.14x +10.62% -7.83%
Elevated 6557 4974 / 1583 1678 33.7% 1.71x +9.37% -6.89%
Medium 11686 9043 / 2643 982 10.9% 0.55x +5.33% -3.59%
Low 434 373 / 61 18 4.8% 0.24x +3.97% -3.20%

Sector

Bucket Total Checked / Pending Boom Boom rate Lift Avg runup Avg drawdown
Information Technology 2879 2220 / 659 948 42.7% 2.17x +11.06% -9.11%
Health Care 2300 1770 / 530 402 22.7% 1.15x +7.25% -3.41%
Materials 1013 779 / 234 176 22.6% 1.15x +8.92% -4.98%
Consumer Discretionary 1833 1410 / 423 269 19.1% 0.97x +6.63% -4.63%
Financials 2962 2280 / 682 413 18.1% 0.92x +6.37% -3.70%
Industrials 3103 2385 / 718 395 16.6% 0.84x +6.71% -4.04%
Communication Services 891 683 / 208 109 16% 0.81x +5.20% -6.31%
Consumer Staples 1364 1050 / 314 122 11.6% 0.59x +5.26% -4.26%
Energy 819 630 / 189 52 8.3% 0.42x +3.99% -6.05%
Real Estate 1209 930 / 279 45 4.8% 0.24x +4.40% -3.75%
Utilities 1209 930 / 279 33 3.5% 0.18x +3.88% -2.60%

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