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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

2026-07-24 · 60D window · 10D outcome

twelvedata 16062 checked / 20087 total Boom = max runup ≥ +10% Validation: last 20D

Baseline boom rate 17.2%
Boom count 2770
Avg max runup +6.36%
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 409 352 / 57 73 20.7% 1.2x +6.94% -8.54%
Grade C 101 98 / 3 25 25.5% 1.48x +6.98% -8.93%
Grade D 5732 4852 / 880 587 12.1% 0.7x +5.51% -4.93%
Grade F 13845 10760 / 3085 2085 19.4% 1.13x +6.73% -4.86%

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 127

Combination Total Checked / Pending Boom rate Lift Train lift Validation Avg runup Avg drawdown
Best 5D momentum v2 >= 20 + Money flow >= 16 195 176 / 19 25.6% 1.49x 1.51x 20% · 10 checked +8.80% -9.21%
5D momentum v2 >= 20 + Money flow >= 16 + Technical >= 16 195 176 / 19 25.6% 1.49x 1.51x 20% · 10 checked +8.80% -9.21%
Dollar volume >= $1B + Risk not High 3975 3308 / 667 25.5% 1.48x 1.57x 14.2% · 394 checked +7.60% -7.52%
Dollar volume >= $1B 4014 3336 / 678 25.4% 1.48x 1.56x 14.2% · 395 checked +7.58% -7.57%
Dollar volume >= $5B 750 633 / 117 30.3% 1.76x 1.9x 13.9% · 79 checked +8.44% -10.62%
Dollar volume >= $5B + Risk not High 749 632 / 117 30.4% 1.77x 1.9x 13.9% · 79 checked +8.44% -10.61%
Technical >= 16 + Dollar volume >= $5B + Risk not High 499 433 / 66 34.9% 2.03x 2.22x 12.7% · 55 checked +9.15% -12.08%
Technical >= 16 + Dollar volume >= $5B 500 434 / 66 34.8% 2.02x 2.21x 12.7% · 55 checked +9.15% -12.09%
Money flow >= 16 + Dollar volume >= $250M + Risk not High 345 296 / 49 23.3% 1.35x 1.46x 12.2% · 41 checked +8.15% -8.41%
Money flow >= 16 + Technical >= 20 + Dollar volume >= $1B 121 120 / 1 38.3% 2.23x 2.48x 11.8% · 17 checked +10.63% -12.09%
Money flow >= 16 + Technical >= 16 + Dollar volume >= $1B 147 140 / 7 37.1% 2.16x 2.37x 11.8% · 17 checked +10.45% -12.31%
Money flow >= 16 + Dollar volume >= $1B 147 140 / 7 37.1% 2.16x 2.37x 11.8% · 17 checked +10.45% -12.31%
Money flow >= 16 + Dollar volume >= $1B + Risk not High 147 140 / 7 37.1% 2.16x 2.37x 11.8% · 17 checked +10.45% -12.31%
Dollar volume >= $250M 13972 11364 / 2608 18.4% 1.07x 1.14x 11.4% · 1618 checked +6.43% -5.49%
Money flow >= 16 + Technical >= 20 + Dollar volume >= $250M 265 239 / 26 25.1% 1.46x 1.6x 11.1% · 36 checked +8.71% -8.81%

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 234 212 / 22 59 27.8% 1.62x 0% · 10 checked +7.85% -11.88%
5D momentum v2 >= 30 510 450 / 60 98 21.8% 1.27x 0% · 18 checked +6.95% -8.62%
Money flow >= 14 + momentum v2 >= 30 314 286 / 28 62 21.7% 1.26x 0% · 9 checked +7.29% -9.15%
Technical >= 20 + money flow >= 12 5016 4259 / 757 582 13.7% 0.8x 5.9% · 744 checked +5.78% -5.43%

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.T AT&T B 67.5 91 58/110 · 33/50 Medium
Money flow A · lift 1.62x · Validation not confirmed n=212 · validation watch
5D momentum v2 >= 30 · Momentum v2 >= 30 + dollar volume >= $1B · Money flow >= 14 + momentum v2 >= 30
US.SLB Schlumberger B 70.1 115.1 68.1/110 · 47/50 Medium
Momentum S · Total A · lift 1.62x n=212 · validation watch
5D momentum v2 >= 30 · Momentum v2 >= 30 + dollar volume >= $1B
US.WAB Wabtec B 68.4 100.9 63.9/110 · 37/50 Medium
Money flow A · Technical A · lift 1.27x n=450 · validation watch
5D momentum v2 >= 30 · Money flow >= 14 + momentum v2 >= 30
US.DLR Digital Realty B 67.3 98.7 57.7/110 · 41/50 Medium
Momentum A · lift 1.62x · Validation not confirmed n=212 · validation watch
5D momentum v2 >= 30 · Momentum v2 >= 30 + dollar volume >= $1B
US.LMT Lockheed Martin B 67 98.1 62.1/110 · 36/50 Low
Technical A · lift 1.62x · Validation not confirmed n=212 · validation watch
5D momentum v2 >= 30 · Momentum v2 >= 30 + dollar volume >= $1B
US.PKG Packaging Corporation of America B 67.9 103.8 59.8/110 · 44/50 Medium
Momentum A · Technical A · lift 1.27x n=450 · validation watch
5D momentum v2 >= 30
US.IP International Paper B 66.2 103.7 56.7/110 · 47/50 Elevated
Momentum S · Technical S · lift 1.27x n=450 · validation watch
5D momentum v2 >= 30
US.SW Smurfit Westrock B 65 100.5 60.5/110 · 40/50 Elevated
Technical S · Momentum A · lift 1.27x n=450 · validation watch
5D momentum v2 >= 30
US.EMR Emerson Electric B 65.8 88.3 58.3/110 · 30/50 Medium
Technical A · lift 1.27x · Validation not confirmed n=450 · validation watch
5D momentum v2 >= 30

Score with momentum v2 bucket

Bucket Total Checked / Pending Boom Boom rate Lift Avg runup Avg drawdown
Score 90-109 599 519 / 80 100 19.3% 1.12x +6.49% -7.97%
Score < 90 19472 15537 / 3935 2670 17.2% 1x +6.36% -4.89%

5D momentum v2 bucket

Bucket Total Checked / Pending Boom Boom rate Lift Avg runup Avg drawdown
5D momentum v2 >= 40 90 72 / 18 22 30.6% 1.78x +7.75% -12.55%
5D momentum v2 30-39 420 378 / 42 76 20.1% 1.17x +6.80% -7.87%
5D momentum v2 < 20 18281 14503 / 3778 2514 17.3% 1.01x +6.40% -4.80%
5D momentum v2 20-29 1296 1109 / 187 158 14.2% 0.83x +5.60% -6.04%

Dollar volume bucket

Bucket Total Checked / Pending Boom Boom rate Lift Avg runup Avg drawdown
Dollar volume >= $5B 750 633 / 117 192 30.3% 1.76x +8.44% -10.62%
Dollar volume $1B-$5B 3264 2703 / 561 656 24.3% 1.41x +7.38% -6.86%
Dollar volume $250M-$1B 9958 8028 / 1930 1245 15.5% 0.9x +5.94% -4.62%
Dollar volume < $250M 6115 4698 / 1417 677 14.4% 0.84x +6.21% -3.79%

Risk level

Bucket Total Checked / Pending Boom Boom rate Lift Avg runup Avg drawdown
High 919 739 / 180 241 32.6% 1.9x +8.50% -8.75%
Elevated 6709 5340 / 1369 1505 28.2% 1.64x +8.09% -7.29%
Medium 12036 9613 / 2423 1006 10.5% 0.61x +5.32% -3.51%
Low 423 370 / 53 18 4.9% 0.28x +4.15% -2.79%

Sector

Bucket Total Checked / Pending Boom Boom rate Lift Avg runup Avg drawdown
Information Technology 2953 2362 / 591 777 32.9% 1.91x +8.53% -10.16%
Materials 1039 831 / 208 161 19.4% 1.13x +8.17% -5.12%
Health Care 2359 1887 / 472 361 19.1% 1.11x +6.84% -3.71%
Financials 3038 2430 / 608 441 18.1% 1.05x +6.62% -3.45%
Communication Services 911 725 / 186 120 16.6% 0.97x +5.43% -6.22%
Energy 840 672 / 168 108 16.1% 0.94x +5.34% -4.84%
Consumer Discretionary 1880 1504 / 376 223 14.8% 0.86x +5.69% -4.83%
Industrials 3188 2548 / 640 374 14.7% 0.85x +6.23% -4.39%
Consumer Staples 1399 1119 / 280 131 11.7% 0.68x +5.41% -3.82%
Real Estate 1240 992 / 248 43 4.3% 0.25x +4.50% -3.63%
Utilities 1240 992 / 248 31 3.1% 0.18x +3.85% -2.45%

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