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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

2026-07-23 · 60D window · 10D outcome

twelvedata 15561 checked / 19585 total Boom = max runup ≥ +10% Validation: last 20D

Baseline boom rate 17.5%
Boom count 2723
Avg max runup +6.41%
Avg drawdown -4.98%

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 396 347 / 49 73 21% 1.2x +6.96% -8.60%
Grade C 105 102 / 3 25 24.5% 1.4x +6.94% -8.68%
Grade D 5563 4723 / 840 564 11.9% 0.68x +5.50% -4.95%
Grade F 13521 10389 / 3132 2061 19.8% 1.13x +6.80% -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 117

Combination Total Checked / Pending Boom rate Lift Train lift Validation Avg runup Avg drawdown
Best Dollar volume >= $5B 735 621 / 114 30.9% 1.77x 1.87x 16.4% · 67 checked +8.56% -10.57%
Dollar volume >= $5B + Risk not High 734 620 / 114 31% 1.77x 1.87x 16.4% · 67 checked +8.56% -10.56%
Technical >= 16 + Dollar volume >= $5B + Risk not High 493 423 / 70 35.7% 2.04x 2.18x 15.6% · 45 checked +9.31% -12.08%
Technical >= 16 + Dollar volume >= $5B 494 424 / 70 35.6% 2.03x 2.17x 15.6% · 45 checked +9.31% -12.09%
Dollar volume >= $1B + Risk not High 3875 3246 / 629 25.8% 1.47x 1.54x 15.1% · 332 checked +7.66% -7.47%
Dollar volume >= $1B 3912 3274 / 638 25.7% 1.47x 1.54x 15% · 333 checked +7.65% -7.52%
Money flow >= 16 + Technical >= 20 + Dollar volume >= $1B 121 117 / 4 39.3% 2.25x 2.44x 14.3% · 14 checked +10.81% -11.99%
Money flow >= 16 + Technical >= 16 + Dollar volume >= $1B 147 137 / 10 38% 2.17x 2.33x 14.3% · 14 checked +10.60% -12.23%
Money flow >= 16 + Dollar volume >= $1B 147 137 / 10 38% 2.17x 2.33x 14.3% · 14 checked +10.60% -12.23%
Money flow >= 16 + Dollar volume >= $1B + Risk not High 147 137 / 10 38% 2.17x 2.33x 14.3% · 14 checked +10.60% -12.23%
Money flow >= 16 + Dollar volume >= $250M + Risk not High 335 290 / 45 23.4% 1.34x 1.43x 11.4% · 35 checked +8.20% -8.39%
Dollar volume >= $250M 13607 11082 / 2525 18.6% 1.06x 1.12x 11.4% · 1336 checked +6.47% -5.46%
Dollar volume >= $250M + Risk not High 12909 10521 / 2388 17.9% 1.02x 1.07x 11.1% · 1256 checked +6.35% -5.27%
Technical >= 16 + Dollar volume >= $1B 2730 2329 / 401 25.8% 1.47x 1.57x 10.6% · 227 checked +7.70% -7.98%
Technical >= 16 + Dollar volume >= $1B + Risk not High 2715 2316 / 399 25.8% 1.47x 1.57x 10.6% · 227 checked +7.72% -7.93%

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 230 211 / 19 59 28% 1.6x 0% · 9 checked +7.88% -11.89%
5D momentum v2 >= 30 501 449 / 52 98 21.8% 1.25x 0% · 17 checked +6.96% -8.62%
Money flow >= 14 + momentum v2 >= 30 312 285 / 27 62 21.8% 1.25x 0% · 8 checked +7.30% -9.14%
Technical >= 20 + money flow >= 12 4923 4144 / 779 573 13.8% 0.79x 5.6% · 629 checked +5.79% -5.46%

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.CSX CSX Corporation B 70.2 106.6 71.6/110 · 35/50 Medium
Money flow A · Technical A · lift 1.6x n=211 · validation watch
5D momentum v2 >= 30 · Momentum v2 >= 30 + dollar volume >= $1B · Money flow >= 14 + momentum v2 >= 30
US.TMO Thermo Fisher Scientific B 69.6 98.7 67.7/110 · 31/50 Medium
Money flow A · Technical A · lift 1.6x n=211 · validation watch
5D momentum v2 >= 30 · Momentum v2 >= 30 + dollar volume >= $1B · Money flow >= 14 + momentum v2 >= 30
US.RTX RTX Corporation B 70.2 108.8 67.8/110 · 41/50 Medium
Technical S · Momentum A · lift 1.6x n=211 · validation watch
5D momentum v2 >= 30 · Momentum v2 >= 30 + dollar volume >= $1B
US.LMT Lockheed Martin B 65 102.2 60.2/110 · 42/50 Medium
Momentum A · Technical A · lift 1.6x n=211 · validation watch
5D momentum v2 >= 30 · Momentum v2 >= 30 + dollar volume >= $1B
US.WAB Wabtec B 67 98 63/110 · 35/50 Medium
Money flow A · Technical A · lift 1.25x n=449 · validation watch
5D momentum v2 >= 30 · Money flow >= 14 + momentum v2 >= 30
US.NSC Norfolk Southern B 67.9 110.2 72.2/110 · 38/50 Medium
Total A · Technical A · lift 1.25x n=449 · validation watch
5D momentum v2 >= 30
US.DGX Quest Diagnostics B 66.4 103.9 62.9/110 · 41/50 Medium
Technical S · Momentum A · lift 1.25x n=449 · validation watch
5D momentum v2 >= 30
US.ALLE Allegion B 66.3 101.6 60.6/110 · 41/50 Medium
Momentum A · Technical A · lift 1.25x n=449 · validation watch
5D momentum v2 >= 30
US.SMCI Supermicro C 62.4 84.9 54.9/110 · 30/50 Elevated
lift 1.6x · Elevated risk n=211 · validation watch
5D momentum v2 >= 30 · Momentum v2 >= 30 + dollar volume >= $1B

Score with momentum v2 bucket

Bucket Total Checked / Pending Boom Boom rate Lift Avg runup Avg drawdown
Score 90-109 588 517 / 71 100 19.3% 1.1x +6.50% -7.97%
Score < 90 18982 15038 / 3944 2623 17.4% 0.99x +6.41% -4.87%

5D momentum v2 bucket

Bucket Total Checked / Pending Boom Boom rate Lift Avg runup Avg drawdown
5D momentum v2 >= 40 85 72 / 13 22 30.6% 1.75x +7.75% -12.55%
5D momentum v2 30-39 416 377 / 39 76 20.2% 1.15x +6.81% -7.87%
5D momentum v2 < 20 17807 14006 / 3801 2468 17.6% 1.01x +6.45% -4.78%
5D momentum v2 20-29 1277 1106 / 171 157 14.2% 0.81x +5.59% -6.05%

Dollar volume bucket

Bucket Total Checked / Pending Boom Boom rate Lift Avg runup Avg drawdown
Dollar volume >= $5B 735 621 / 114 192 30.9% 1.77x +8.56% -10.57%
Dollar volume $1B-$5B 3177 2653 / 524 650 24.5% 1.4x +7.43% -6.81%
Dollar volume $250M-$1B 9695 7808 / 1887 1219 15.6% 0.89x +5.97% -4.60%
Dollar volume < $250M 5978 4479 / 1499 662 14.8% 0.85x +6.26% -3.78%

Risk level

Bucket Total Checked / Pending Boom Boom rate Lift Avg runup Avg drawdown
High 899 711 / 188 238 33.5% 1.91x +8.66% -8.64%
Elevated 6538 5176 / 1362 1491 28.8% 1.65x +8.19% -7.28%
Medium 11732 9309 / 2423 976 10.5% 0.6x +5.33% -3.50%
Low 416 365 / 51 18 4.9% 0.28x +4.16% -2.80%

Sector

Bucket Total Checked / Pending Boom Boom rate Lift Avg runup Avg drawdown
Information Technology 2879 2289 / 590 774 33.8% 1.93x +8.68% -10.12%
Health Care 2300 1828 / 472 358 19.6% 1.12x +6.90% -3.65%
Materials 1013 805 / 208 155 19.3% 1.1x +8.25% -5.15%
Financials 2962 2354 / 608 438 18.6% 1.06x +6.66% -3.45%
Communication Services 889 703 / 186 118 16.8% 0.96x +5.43% -6.21%
Consumer Discretionary 1833 1457 / 376 220 15.1% 0.86x +5.74% -4.78%
Industrials 3108 2468 / 640 366 14.8% 0.85x +6.26% -4.37%
Energy 819 651 / 168 96 14.7% 0.84x +5.20% -4.98%
Consumer Staples 1364 1084 / 280 127 11.7% 0.67x +5.42% -3.84%
Real Estate 1209 961 / 248 41 4.3% 0.25x +4.47% -3.68%
Utilities 1209 961 / 248 30 3.1% 0.18x +3.87% -2.44%

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