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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

2026-07-27 · 60D window · 10D outcome

twelvedata 15559 checked / 19082 total Boom = max runup ≥ +10% Validation: last 20D

Baseline boom rate 17%
Boom count 2644
Avg max runup +6.33%
Avg drawdown -5.00%

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 67 58 / 9 11 19% 1.12x +6.75% -10.75%
Grade C 149 136 / 13 38 27.9% 1.64x +7.14% -12.79%
Grade D 5746 4938 / 808 582 11.8% 0.69x +5.44% -5.00%
Grade F 13120 10427 / 2693 2013 19.3% 1.14x +6.74% -4.87%

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 106

Combination Total Checked / Pending Boom rate Lift Train lift Validation Avg runup Avg drawdown
Best Dollar volume >= $1B + Risk not High 3794 3201 / 593 24.6% 1.45x 1.53x 14.3% · 377 checked +7.42% -7.59%
Dollar volume >= $1B 3832 3228 / 604 24.6% 1.45x 1.52x 14.3% · 377 checked +7.40% -7.64%
Money flow >= 16 + Dollar volume >= $250M + Risk not High 324 279 / 45 19.7% 1.16x 1.22x 13.2% · 38 checked +6.89% -8.65%
Money flow >= 16 + Technical >= 20 + Dollar volume >= $250M 250 225 / 25 21.8% 1.28x 1.36x 12.9% · 31 checked +7.27% -9.09%
5D momentum v2 >= 20 + Money flow >= 14 + Dollar volume >= $250M 730 643 / 87 15.4% 0.91x 0.92x 12.5% · 48 checked +5.88% -7.90%
Money flow >= 16 + Technical >= 16 + Dollar volume >= $250M 341 296 / 45 19.6% 1.15x 1.22x 12.2% · 41 checked +6.95% -8.98%
Money flow >= 16 + Dollar volume >= $250M 341 296 / 45 19.6% 1.15x 1.22x 12.2% · 41 checked +6.95% -8.98%
Money flow >= 16 + Technical >= 20 + Dollar volume >= $1B 113 113 / 0 33.6% 1.98x 2.21x 11.8% · 17 checked +8.60% -12.64%
Dollar volume >= $5B 720 618 / 102 29.1% 1.71x 1.86x 11.5% · 78 checked +8.24% -10.69%
Dollar volume >= $5B + Risk not High 719 617 / 102 29.2% 1.72x 1.86x 11.5% · 78 checked +8.24% -10.68%
Money flow >= 16 + Technical >= 20 + Risk not High 300 271 / 29 18.5% 1.09x 1.15x 11.4% · 35 checked +6.64% -8.10%
Money flow >= 16 + Technical >= 16 + Dollar volume >= $1B 138 133 / 5 32.3% 1.9x 2.1x 11.1% · 18 checked +8.58% -12.81%
Money flow >= 16 + Dollar volume >= $1B 138 133 / 5 32.3% 1.9x 2.1x 11.1% · 18 checked +8.58% -12.81%
Money flow >= 16 + Dollar volume >= $1B + Risk not High 138 133 / 5 32.3% 1.9x 2.1x 11.1% · 18 checked +8.58% -12.81%
Dollar volume >= $250M 13305 11018 / 2287 18.1% 1.06x 1.14x 11.1% · 1606 checked +6.38% -5.50%

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 216 194 / 22 49 25.3% 1.49x 0% · 6 checked +7.02% -12.18%
5D momentum v2 >= 30 473 414 / 59 80 19.3% 1.14x 0% · 9 checked +6.23% -8.81%
Money flow >= 14 + momentum v2 >= 30 282 255 / 27 46 18% 1.06x 0% · 5 checked +6.26% -9.43%
Technical >= 20 + money flow >= 12 4766 4113 / 653 531 12.9% 0.76x 6.3% · 662 checked +5.60% -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
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 18514 15075 / 3439 2563 17% 1x +6.35% -4.90%
Score 90-109 552 478 / 74 81 16.9% 0.99x +5.85% -8.07%

5D momentum v2 bucket

Bucket Total Checked / Pending Boom Boom rate Lift Avg runup Avg drawdown
5D momentum v2 >= 40 86 68 / 18 19 27.9% 1.64x +6.89% -12.95%
5D momentum v2 30-39 387 346 / 41 61 17.6% 1.04x +6.11% -8.00%
5D momentum v2 < 20 17381 14079 / 3302 2423 17.2% 1.01x +6.41% -4.82%
5D momentum v2 20-29 1228 1066 / 162 141 13.2% 0.78x +5.35% -5.99%

Dollar volume bucket

Bucket Total Checked / Pending Boom Boom rate Lift Avg runup Avg drawdown
Dollar volume >= $5B 720 618 / 102 180 29.1% 1.71x +8.24% -10.69%
Dollar volume $1B-$5B 3112 2610 / 502 613 23.5% 1.38x +7.20% -6.92%
Dollar volume $250M-$1B 9473 7790 / 1683 1204 15.5% 0.91x +5.95% -4.61%
Dollar volume < $250M 5777 4541 / 1236 647 14.2% 0.84x +6.23% -3.80%

Risk level

Bucket Total Checked / Pending Boom Boom rate Lift Avg runup Avg drawdown
High 883 726 / 157 231 31.8% 1.87x +8.32% -8.81%
Elevated 6382 5184 / 1198 1403 27.1% 1.59x +7.89% -7.38%
Medium 11424 9305 / 2119 992 10.7% 0.63x +5.39% -3.47%
Low 393 344 / 49 18 5.2% 0.31x +4.29% -2.62%

Sector

Bucket Total Checked / Pending Boom Boom rate Lift Avg runup Avg drawdown
Information Technology 2805 2287 / 518 701 30.7% 1.81x +8.06% -10.34%
Materials 987 805 / 182 160 19.9% 1.17x +8.38% -5.04%
Financials 2886 2354 / 532 436 18.5% 1.09x +6.69% -3.38%
Health Care 2241 1828 / 413 338 18.5% 1.09x +6.73% -3.81%
Communication Services 864 701 / 163 120 17.1% 1.01x +5.52% -6.24%
Energy 798 651 / 147 108 16.6% 0.98x +5.49% -4.83%
Industrials 3030 2470 / 560 371 15% 0.88x +6.30% -4.41%
Consumer Discretionary 1786 1457 / 329 217 14.9% 0.88x +5.67% -4.87%
Consumer Staples 1329 1084 / 245 122 11.3% 0.66x +5.43% -3.76%
Real Estate 1178 961 / 217 40 4.2% 0.25x +4.53% -3.57%
Utilities 1178 961 / 217 31 3.2% 0.19x +3.99% -2.28%

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