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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

2026-07-17 · 60D window · 10D outcome

twelvedata 16071 checked / 20085 total Boom = max runup ≥ +10% Validation: last 20D

Baseline boom rate 19.2%
Boom count 3086
Avg max runup +6.77%
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 453 412 / 41 93 22.6% 1.18x +7.59% -8.27%
Grade C 66 61 / 5 23 37.7% 1.96x +8.55% -8.12%
Grade D 5772 4657 / 1115 615 13.2% 0.69x +5.77% -4.94%
Grade F 13794 10941 / 2853 2355 21.5% 1.12x +7.15% -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 481 Kept 145

Combination Total Checked / Pending Boom rate Lift Train lift Validation Avg runup Avg drawdown
Best Dollar volume >= $1B 4049 3392 / 657 29.3% 1.53x 1.6x 19.3% · 420 checked +8.60% -6.98%
Dollar volume >= $1B + Risk not High 4014 3363 / 651 29.4% 1.53x 1.61x 19.1% · 418 checked +8.62% -6.93%
Dollar volume >= $5B 758 629 / 129 34.3% 1.79x 1.91x 18.5% · 81 checked +9.59% -9.85%
Dollar volume >= $5B + Risk not High 757 628 / 129 34.4% 1.79x 1.91x 18.5% · 81 checked +9.59% -9.84%
Dollar volume >= $250M 13996 11394 / 2602 20.5% 1.07x 1.09x 17.7% · 1432 checked +6.90% -5.32%
Dollar volume >= $250M + Risk not High 13292 10844 / 2448 19.6% 1.02x 1.05x 16.5% · 1348 checked +6.73% -5.16%
Technical >= 16 + Dollar volume >= $1B 2912 2463 / 449 30% 1.56x 1.66x 14.7% · 265 checked +8.83% -7.52%
Risk not High 19155 15339 / 3816 18.2% 0.95x 0.97x 14.8% · 1896 checked +6.60% -4.72%
Money flow >= 14 + Dollar volume >= $1B 989 851 / 138 37.3% 1.94x 2.07x 14.6% · 82 checked +10.50% -7.96%
Money flow >= 14 + Technical >= 16 + Dollar volume >= $1B 988 850 / 138 37.2% 1.94x 2.06x 14.6% · 82 checked +10.47% -7.97%
Technical >= 16 + Dollar volume >= $1B + Risk not High 2896 2448 / 448 30.1% 1.57x 1.66x 14.4% · 263 checked +8.85% -7.47%
5D momentum v2 >= 30 + Money flow >= 14 + Dollar volume >= $1B 158 149 / 9 32.2% 1.68x 1.78x 14.3% · 14 checked +10.05% -11.75%
5D momentum v2 >= 30 + Money flow >= 14 + Dollar volume >= $250M 302 276 / 26 26.1% 1.36x 1.43x 14.3% · 28 checked +8.52% -9.11%
Money flow >= 14 + Dollar volume >= $1B + Risk not High 986 848 / 138 37.1% 1.93x 2.06x 13.6% · 81 checked +10.50% -7.95%
Technical >= 16 + Dollar volume >= $5B + Risk not High 534 446 / 88 39.7% 2.07x 2.26x 13.2% · 53 checked +10.60% -11.40%

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 240 221 / 19 70 31.7% 1.65x 10.5% · 19 checked +9.18% -11.27%
Money flow >= 14 + momentum v2 >= 30 332 305 / 27 77 25.2% 1.31x 9.5% · 42 checked +8.30% -8.68%
5D momentum v2 >= 30 519 473 / 46 116 24.5% 1.28x 7.4% · 68 checked +7.72% -8.25%
Technical >= 20 + money flow >= 12 5013 3949 / 1064 622 15.8% 0.82x 6.3% · 621 checked +6.29% -5.49%

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
No latest-snapshot candidates matched high-lift rules yet.

Score with momentum v2 bucket

Bucket Total Checked / Pending Boom Boom rate Lift Avg runup Avg drawdown
Score 90-109 614 540 / 74 115 21.3% 1.11x +6.91% -7.74%
Score < 90 19456 15521 / 3935 2967 19.1% 0.99x +6.75% -4.76%

5D momentum v2 bucket

Bucket Total Checked / Pending Boom Boom rate Lift Avg runup Avg drawdown
5D momentum v2 >= 40 86 79 / 7 28 35.4% 1.84x +10.34% -11.60%
5D momentum v2 30-39 433 394 / 39 88 22.3% 1.16x +7.19% -7.58%
5D momentum v2 < 20 18232 14481 / 3751 2777 19.2% 1x +6.78% -4.67%
5D momentum v2 20-29 1334 1117 / 217 193 17.3% 0.9x +6.24% -5.95%

Dollar volume bucket

Bucket Total Checked / Pending Boom Boom rate Lift Avg runup Avg drawdown
Dollar volume >= $5B 758 629 / 129 216 34.3% 1.79x +9.59% -9.85%
Dollar volume $1B-$5B 3291 2763 / 528 779 28.2% 1.47x +8.37% -6.33%
Dollar volume $250M-$1B 9947 8002 / 1945 1343 16.8% 0.88x +6.17% -4.61%
Dollar volume < $250M 6089 4677 / 1412 748 16% 0.83x +6.46% -3.75%

Risk level

Bucket Total Checked / Pending Boom Boom rate Lift Avg runup Avg drawdown
High 930 732 / 198 296 40.4% 2.1x +10.28% -7.91%
Elevated 6727 5321 / 1406 1744 32.8% 1.71x +9.17% -6.85%
Medium 11986 9622 / 2364 1028 10.7% 0.56x +5.29% -3.60%
Low 442 396 / 46 18 4.5% 0.23x +3.87% -3.25%

Sector

Bucket Total Checked / Pending Boom Boom rate Lift Avg runup Avg drawdown
Information Technology 2953 2367 / 586 979 41.4% 2.16x +10.80% -9.12%
Materials 1039 831 / 208 183 22% 1.15x +8.62% -5.00%
Health Care 2359 1887 / 472 410 21.7% 1.13x +7.11% -3.50%
Consumer Discretionary 1880 1504 / 376 275 18.3% 0.95x +6.45% -4.67%
Financials 3038 2432 / 606 438 18% 0.94x +6.39% -3.65%
Industrials 3183 2545 / 638 405 15.9% 0.83x +6.56% -4.12%
Communication Services 914 729 / 185 117 16% 0.83x +5.20% -6.21%
Consumer Staples 1399 1120 / 279 129 11.5% 0.6x +5.23% -4.24%
Energy 840 672 / 168 69 10.3% 0.54x +4.32% -5.77%
Real Estate 1240 992 / 248 45 4.5% 0.23x +4.36% -3.73%
Utilities 1240 992 / 248 36 3.6% 0.19x +3.86% -2.58%

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