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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

2026-07-31 · 60D window · 10D outcome

twelvedata 15564 checked / 20088 total Boom = max runup ≥ +10% Validation: last 20D

Baseline boom rate 17.6%
Boom count 2740
Avg max runup +6.38%
Avg drawdown -5.04%

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 144 116 / 28 30 25.9% 1.47x +6.95% -12.48%
Grade D 6103 4824 / 1279 559 11.6% 0.66x +5.36% -5.02%
Grade F 13773 10577 / 3196 2146 20.3% 1.15x +6.85% -4.94%

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 125

Combination Total Checked / Pending Boom rate Lift Train lift Validation Avg runup Avg drawdown
Best Dollar volume >= $1B 4005 3150 / 855 24.8% 1.41x 1.44x 19.2% · 260 checked +7.34% -7.74%
Dollar volume >= $1B + Risk not High 3968 3121 / 847 24.8% 1.41x 1.44x 19.1% · 257 checked +7.35% -7.69%
Technical >= 16 + Dollar volume >= $1B 2664 2174 / 490 24.3% 1.38x 1.41x 19.1% · 178 checked +7.28% -8.01%
Technical >= 16 + Dollar volume >= $1B + Risk not High 2651 2163 / 488 24.3% 1.38x 1.41x 18.6% · 177 checked +7.29% -7.97%
Money flow >= 14 + Technical >= 16 + Dollar volume >= $1B 858 721 / 137 27% 1.53x 1.59x 16.9% · 59 checked +7.98% -8.38%
Money flow >= 14 + Dollar volume >= $1B 859 721 / 138 27% 1.53x 1.59x 16.9% · 59 checked +7.98% -8.38%
Money flow >= 14 + Dollar volume >= $1B + Risk not High 857 719 / 138 26.8% 1.52x 1.57x 16.9% · 59 checked +7.96% -8.37%
Dollar volume >= $250M 14084 10904 / 3180 18.6% 1.06x 1.07x 16.6% · 975 checked +6.41% -5.54%
Risk not High 19144 14809 / 4335 16.9% 0.96x 0.96x 16.4% · 1443 checked +6.29% -4.84%
Dollar volume >= $250M + Risk not High 13346 10313 / 3033 17.9% 1.02x 1.03x 16.2% · 930 checked +6.30% -5.32%
Dollar volume >= $5B 738 605 / 133 27.8% 1.58x 1.64x 16% · 50 checked +7.89% -10.78%
Dollar volume >= $5B + Risk not High 737 604 / 133 27.8% 1.58x 1.64x 16% · 50 checked +7.89% -10.77%
Money flow >= 14 + Technical >= 16 + Dollar volume >= $250M 2907 2289 / 618 16% 0.91x 0.91x 16.1% · 205 checked +6.08% -6.08%
Money flow >= 14 + Dollar volume >= $250M 2909 2289 / 620 16% 0.91x 0.91x 16.1% · 205 checked +6.08% -6.08%
Money flow >= 12 + Dollar volume >= $250M 5355 4189 / 1166 15% 0.85x 0.85x 16.1% · 372 checked +5.90% -5.78%

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 212 163 / 49 35 21.5% 1.22x 11.1% · 9 checked +6.24% -11.65%
5D momentum v2 >= 30 530 379 / 151 61 16.1% 0.91x 10.7% · 28 checked +5.60% -8.43%
Money flow >= 14 + momentum v2 >= 30 296 227 / 69 35 15.4% 0.88x 11.1% · 18 checked +5.61% -8.95%
Technical >= 20 + money flow >= 12 5100 4049 / 1051 501 12.4% 0.7x 10% · 320 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.AMZN Amazon C 62.2 103.7 55.7/110 · 48/50 Medium
Momentum S · Technical A · lift 1.22x n=163 · validation watch
Momentum v2 >= 30 + dollar volume >= $1B
US.MSFT Microsoft C 61.9 98.6 59.6/110 · 39/50 Elevated
Money flow A · lift 1.22x · Elevated risk n=163 · validation watch
Momentum v2 >= 30 + dollar volume >= $1B
US.MPWR Monolithic Power Systems C 58.6 92.8 56.8/110 · 36/50 Elevated
lift 1.22x · Elevated risk 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 19454 15102 / 4352 2678 17.7% 1.01x +6.42% -4.95%
Score 90-109 615 454 / 161 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 90 50 / 40 11 22% 1.25x +5.74% -12.68%
5D momentum v2 < 20 18225 14077 / 4148 2540 18% 1.02x +6.50% -4.87%
5D momentum v2 30-39 440 329 / 111 50 15.2% 0.86x +5.58% -7.79%
5D momentum v2 20-29 1333 1108 / 225 139 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 738 605 / 133 168 27.8% 1.58x +7.89% -10.78%
Dollar volume $1B-$5B 3267 2545 / 722 612 24% 1.36x +7.21% -7.02%
Dollar volume $250M-$1B 10079 7754 / 2325 1250 16.1% 0.91x +6.03% -4.65%
Dollar volume < $250M 6004 4660 / 1344 710 15.2% 0.86x +6.32% -3.86%

Risk level

Bucket Total Checked / Pending Boom Boom rate Lift Avg runup Avg drawdown
High 944 755 / 189 238 31.5% 1.79x +8.21% -8.96%
Elevated 6787 5220 / 1567 1432 27.4% 1.56x +7.82% -7.43%
Medium 11976 9279 / 2697 1052 11.3% 0.64x +5.49% -3.46%
Low 381 310 / 71 18 5.8% 0.33x +4.32% -2.46%

Sector

Bucket Total Checked / Pending Boom Boom rate Lift Avg runup Avg drawdown
Information Technology 2953 2287 / 666 694 30.3% 1.72x +7.86% -10.41%
Materials 1039 805 / 234 178 22.1% 1.26x +8.63% -4.91%
Financials 3038 2354 / 684 453 19.2% 1.09x +6.70% -3.40%
Health Care 2359 1828 / 531 346 18.9% 1.07x +6.79% -3.86%
Energy 840 651 / 189 117 18% 1.02x +5.62% -4.85%
Communication Services 908 704 / 204 125 17.8% 1.01x +5.59% -6.39%
Industrials 3192 2472 / 720 393 15.9% 0.9x +6.39% -4.56%
Consumer Discretionary 1880 1457 / 423 231 15.9% 0.9x +5.82% -4.89%
Consumer Staples 1399 1084 / 315 128 11.8% 0.67x +5.57% -3.68%
Real Estate 1240 961 / 279 42 4.4% 0.25x +4.55% -3.56%
Utilities 1240 961 / 279 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.