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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

2026-07-21 · 60D window · 10D outcome

twelvedata 15060 checked / 19082 total Boom = max runup ≥ +10% Validation: last 20D

Baseline boom rate 18%
Boom count 2707
Avg max runup +6.47%
Avg drawdown -4.99%

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 413 377 / 36 82 21.8% 1.21x +7.49% -8.54%
Grade C 82 81 / 1 24 29.6% 1.64x +7.63% -8.23%
Grade D 5435 4539 / 896 556 12.2% 0.68x +5.52% -4.96%
Grade F 13152 10063 / 3089 2045 20.3% 1.13x +6.85% -4.84%

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 132

Combination Total Checked / Pending Boom rate Lift Train lift Validation Avg runup Avg drawdown
Best Dollar volume >= $5B + Risk not High 722 601 / 121 32.3% 1.79x 1.87x 23% · 74 checked +8.81% -10.41%
Dollar volume >= $5B 723 602 / 121 32.2% 1.79x 1.86x 23% · 74 checked +8.81% -10.43%
Technical >= 16 + Dollar volume >= $5B + Risk not High 493 411 / 82 37.5% 2.08x 2.21x 21.6% · 51 checked +9.63% -12.11%
Technical >= 16 + Dollar volume >= $5B 494 412 / 82 37.4% 2.08x 2.2x 21.6% · 51 checked +9.63% -12.13%
Dollar volume >= $1B + Risk not High 3793 3170 / 623 26.8% 1.49x 1.57x 16.5% · 382 checked +7.91% -7.32%
Dollar volume >= $1B 3829 3199 / 630 26.7% 1.48x 1.56x 16.4% · 383 checked +7.89% -7.38%
Technical >= 20 + Dollar volume >= $5B 226 200 / 26 41.5% 2.31x 2.41x 15.4% · 13 checked +10.29% -14.09%
Technical >= 20 + Dollar volume >= $5B + Risk not High 226 200 / 26 41.5% 2.31x 2.41x 15.4% · 13 checked +10.29% -14.09%
Dollar volume >= $250M 13244 10716 / 2528 19.2% 1.07x 1.12x 13% · 1383 checked +6.55% -5.45%
Dollar volume >= $250M + Risk not High 12562 10181 / 2381 18.4% 1.02x 1.07x 12.6% · 1305 checked +6.43% -5.26%
Technical >= 16 + Dollar volume >= $1B 2704 2294 / 410 27.2% 1.51x 1.62x 12.1% · 257 checked +8.03% -7.91%
Technical >= 16 + Dollar volume >= $1B + Risk not High 2688 2280 / 408 27.2% 1.51x 1.62x 12.1% · 257 checked +8.04% -7.86%
Risk not High 18200 14375 / 3825 17.1% 0.95x 1.01x 10.4% · 1896 checked +6.35% -4.82%
5D momentum v2 >= 30 + Technical >= 20 + Dollar volume >= $1B 213 199 / 14 30.7% 1.71x 1.76x 10% · 10 checked +9.23% -11.42%
5D momentum v2 >= 30 + Technical >= 16 + Dollar volume >= $1B 230 215 / 15 29.8% 1.66x 1.72x 9.1% · 11 checked +8.79% -11.63%

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 230 215 / 15 64 29.8% 1.66x 9.1% · 11 checked +8.79% -11.63%
Money flow >= 14 + momentum v2 >= 30 315 293 / 22 69 23.5% 1.31x 3.6% · 28 checked +8.09% -8.91%
5D momentum v2 >= 30 495 458 / 37 106 23.1% 1.28x 2% · 50 checked +7.51% -8.48%
Technical >= 20 + money flow >= 12 4865 3969 / 896 581 14.6% 0.81x 4.5% · 684 checked +5.93% -5.47%

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.MMM 3M B 69.8 112.4 73.4/110 · 39/50 Medium
Technical S · Total A · lift 1.66x n=215 · validation watch
5D momentum v2 >= 30 · Momentum v2 >= 30 + dollar volume >= $1B
US.HAS Hasbro B 67.5 110.5 67.5/110 · 43/50 Medium
Total A · Momentum A · lift 1.28x n=458 · validation watch
5D momentum v2 >= 30

Score with momentum v2 bucket

Bucket Total Checked / Pending Boom Boom rate Lift Avg runup Avg drawdown
Score 90-109 577 523 / 54 103 19.7% 1.09x +6.70% -7.91%
Score < 90 18489 14528 / 3961 2601 17.9% 0.99x +6.45% -4.88%

5D momentum v2 bucket

Bucket Total Checked / Pending Boom Boom rate Lift Avg runup Avg drawdown
5D momentum v2 >= 40 85 78 / 7 27 34.6% 1.92x +9.99% -11.84%
5D momentum v2 30-39 410 380 / 30 79 20.8% 1.16x +7.01% -7.79%
5D momentum v2 < 20 17317 13486 / 3831 2437 18.1% 1.01x +6.49% -4.78%
5D momentum v2 20-29 1270 1116 / 154 164 14.7% 0.82x +5.69% -6.03%

Dollar volume bucket

Bucket Total Checked / Pending Boom Boom rate Lift Avg runup Avg drawdown
Dollar volume >= $5B 723 602 / 121 194 32.2% 1.79x +8.81% -10.43%
Dollar volume $1B-$5B 3106 2597 / 509 661 25.5% 1.42x +7.67% -6.67%
Dollar volume $250M-$1B 9415 7517 / 1898 1199 16% 0.89x +5.98% -4.63%
Dollar volume < $250M 5838 4344 / 1494 653 15% 0.83x +6.26% -3.84%

Risk level

Bucket Total Checked / Pending Boom Boom rate Lift Avg runup Avg drawdown
High 882 685 / 197 243 35.5% 1.97x +8.97% -8.54%
Elevated 6374 4969 / 1405 1492 30% 1.67x +8.43% -7.25%
Medium 11420 9035 / 2385 954 10.6% 0.59x +5.29% -3.56%
Low 406 371 / 35 18 4.9% 0.27x +4.08% -2.91%

Sector

Bucket Total Checked / Pending Boom Boom rate Lift Avg runup Avg drawdown
Information Technology 2805 2217 / 588 802 36.2% 2.01x +9.14% -9.89%
Health Care 2241 1769 / 472 366 20.7% 1.15x +7.01% -3.57%
Materials 987 779 / 208 155 19.9% 1.11x +8.33% -5.24%
Financials 2886 2278 / 608 425 18.7% 1.04x +6.60% -3.54%
Communication Services 867 681 / 186 113 16.6% 0.92x +5.37% -6.28%
Consumer Discretionary 1786 1410 / 376 220 15.6% 0.87x +5.79% -4.79%
Industrials 3027 2387 / 640 358 15% 0.83x +6.32% -4.33%
Energy 798 630 / 168 80 12.7% 0.71x +4.88% -5.19%
Consumer Staples 1329 1049 / 280 120 11.4% 0.63x +5.31% -3.99%
Real Estate 1178 930 / 248 40 4.3% 0.24x +4.39% -3.79%
Utilities 1178 930 / 248 28 3% 0.17x +3.82% -2.52%

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