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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

2026-07-30 · 60D window · 10D outcome

twelvedata 15559 checked / 19585 total Boom = max runup ≥ +10% Validation: last 20D

Baseline boom rate 17.6%
Boom count 2740
Avg max runup +6.38%
Avg drawdown -5.03%

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 68 47 / 21 5 10.6% 0.6x +4.50% -9.60%
Grade C 141 116 / 25 30 25.9% 1.47x +6.95% -12.48%
Grade D 5977 4849 / 1128 563 11.6% 0.66x +5.37% -5.04%
Grade F 13399 10547 / 2852 2142 20.3% 1.15x +6.85% -4.93%

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 133

Combination Total Checked / Pending Boom rate Lift Train lift Validation Avg runup Avg drawdown
Best Dollar volume >= $1B 3908 3148 / 760 24.8% 1.41x 1.45x 17.4% · 322 checked +7.34% -7.74%
Dollar volume >= $1B + Risk not High 3872 3121 / 751 24.8% 1.41x 1.45x 17.2% · 319 checked +7.35% -7.69%
Technical >= 16 + Dollar volume >= $1B 2602 2174 / 428 24.3% 1.38x 1.43x 17.1% · 222 checked +7.28% -8.01%
Technical >= 16 + Dollar volume >= $1B + Risk not High 2589 2163 / 426 24.3% 1.38x 1.43x 16.7% · 221 checked +7.29% -7.97%
Money flow >= 16 + Technical >= 20 + Dollar volume >= $250M 248 208 / 40 19.7% 1.12x 1.13x 16.7% · 12 checked +6.42% -8.95%
Dollar volume >= $250M 13673 10899 / 2774 18.6% 1.06x 1.08x 15.4% · 1257 checked +6.41% -5.54%
Dollar volume >= $250M + Risk not High 12960 10313 / 2647 17.9% 1.02x 1.04x 15.1% · 1192 checked +6.30% -5.32%
Money flow >= 14 + Technical >= 16 + Dollar volume >= $1B 841 721 / 120 27% 1.53x 1.61x 14.9% · 74 checked +7.98% -8.38%
Money flow >= 14 + Dollar volume >= $1B 841 721 / 120 27% 1.53x 1.61x 14.9% · 74 checked +7.98% -8.38%
Money flow >= 14 + Dollar volume >= $1B + Risk not High 839 719 / 120 26.8% 1.52x 1.6x 14.9% · 74 checked +7.96% -8.37%
Money flow >= 14 + Technical >= 16 + Dollar volume >= $250M 2824 2289 / 535 16% 0.91x 0.91x 15% · 260 checked +6.08% -6.07%
Money flow >= 14 + Dollar volume >= $250M 2825 2289 / 536 16% 0.91x 0.91x 15% · 260 checked +6.08% -6.07%
Money flow >= 12 + Dollar volume >= $250M 5197 4189 / 1008 15% 0.85x 0.86x 14.9% · 490 checked +5.90% -5.78%
Money flow >= 12 + Technical >= 16 + Dollar volume >= $250M 5171 4172 / 999 15% 0.85x 0.85x 14.9% · 489 checked +5.90% -5.78%
Risk not High 18671 14809 / 3862 16.9% 0.96x 0.98x 14.7% · 1916 checked +6.29% -4.84%

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 209 163 / 46 35 21.5% 1.22x 10% · 10 checked +6.24% -11.65%
5D momentum v2 >= 30 521 379 / 142 61 16.1% 0.91x 10.3% · 29 checked +5.60% -8.43%
Money flow >= 14 + momentum v2 >= 30 291 227 / 64 35 15.4% 0.88x 10.5% · 19 checked +5.61% -8.95%
Technical >= 20 + money flow >= 12 4963 4049 / 914 501 12.4% 0.7x 9.4% · 435 checked +5.46% -5.40%

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.CMG Chipotle Mexican Grill B 65.4 111.3 67.3/110 · 44/50 Medium
Technical S · Total A · lift 1.22x n=163 · validation watch
Momentum v2 >= 30 + dollar volume >= $1B
US.REGN Regeneron Pharmaceuticals B 67.5 104.2 63.2/110 · 41/50 Medium
Money flow S · Momentum A · lift 1.22x n=163 · validation watch
Momentum v2 >= 30 + dollar volume >= $1B
US.ICE Intercontinental Exchange B 65.8 99.3 66.3/110 · 33/50 Medium
Money flow A · Technical A · lift 1.22x n=163 · validation watch
Momentum v2 >= 30 + dollar volume >= $1B
US.MA Mastercard B 65.8 98.6 67.6/110 · 31/50 Medium
Money flow S · Technical A · lift 1.22x n=163 · validation watch
Momentum v2 >= 30 + dollar volume >= $1B
US.MSFT Microsoft C 63.4 104.8 58.8/110 · 46/50 Elevated
Momentum S · Technical A · lift 1.22x n=163 · validation watch
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 18964 15097 / 3867 2678 17.7% 1.01x +6.42% -4.95%
Score 90-109 603 454 / 149 62 13.7% 0.78x +5.20% -7.77%

5D momentum v2 bucket

Bucket Total Checked / Pending Boom Boom rate Lift Avg runup Avg drawdown
5D momentum v2 >= 40 88 50 / 38 11 22% 1.25x +5.74% -12.68%
5D momentum v2 < 20 17747 14072 / 3675 2540 18.1% 1.03x +6.50% -4.86%
5D momentum v2 30-39 433 329 / 104 50 15.2% 0.86x +5.58% -7.79%
5D momentum v2 20-29 1317 1108 / 209 139 12.5% 0.71x +5.15% -6.04%

Dollar volume bucket

Bucket Total Checked / Pending Boom Boom rate Lift Avg runup Avg drawdown
Dollar volume >= $5B 721 605 / 116 168 27.8% 1.58x +7.89% -10.78%
Dollar volume $1B-$5B 3187 2543 / 644 612 24.1% 1.37x +7.21% -7.01%
Dollar volume $250M-$1B 9765 7751 / 2014 1250 16.1% 0.91x +6.03% -4.64%
Dollar volume < $250M 5912 4660 / 1252 710 15.2% 0.86x +6.32% -3.86%

Risk level

Bucket Total Checked / Pending Boom Boom rate Lift Avg runup Avg drawdown
High 914 750 / 164 238 31.7% 1.8x +8.24% -8.91%
Elevated 6604 5220 / 1384 1432 27.4% 1.56x +7.82% -7.43%
Medium 11694 9279 / 2415 1052 11.3% 0.64x +5.49% -3.46%
Low 373 310 / 63 18 5.8% 0.33x +4.32% -2.46%

Sector

Bucket Total Checked / Pending Boom Boom rate Lift Avg runup Avg drawdown
Information Technology 2879 2287 / 592 694 30.3% 1.72x +7.86% -10.41%
Materials 1013 805 / 208 178 22.1% 1.26x +8.63% -4.91%
Financials 2962 2354 / 608 453 19.2% 1.09x +6.70% -3.40%
Health Care 2300 1828 / 472 346 18.9% 1.07x +6.79% -3.86%
Communication Services 885 699 / 186 125 17.9% 1.02x +5.60% -6.31%
Energy 819 651 / 168 117 18% 1.02x +5.62% -4.85%
Industrials 3112 2472 / 640 393 15.9% 0.9x +6.39% -4.56%
Consumer Discretionary 1833 1457 / 376 231 15.9% 0.9x +5.82% -4.89%
Consumer Staples 1364 1084 / 280 128 11.8% 0.67x +5.57% -3.68%
Real Estate 1209 961 / 248 42 4.4% 0.25x +4.55% -3.56%
Utilities 1209 961 / 248 33 3.4% 0.19x +4.08% -2.24%

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