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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

2026-08-05 · 60D window · 10D outcome

twelvedata 14560 checked / 18581 total Boom = max runup ≥ +10% Validation: last 20D

Baseline boom rate 19.2%
Boom count 2792
Avg max runup +6.54%
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 106 63 / 43 11 17.5% 0.91x +6.15% -8.57%
Grade C 79 60 / 19 18 30% 1.56x +7.21% -11.16%
Grade D 5692 4371 / 1321 520 11.9% 0.62x +5.46% -4.76%
Grade F 12704 10066 / 2638 2243 22.3% 1.16x +7.00% -5.10%

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 120

Combination Total Checked / Pending Boom rate Lift Train lift Validation Avg runup Avg drawdown
Best Dollar volume >= $5B 672 544 / 128 29.4% 1.53x 1.51x 33.3% · 57 checked +8.04% -10.80%
Dollar volume >= $5B + Risk not High 671 543 / 128 29.5% 1.54x 1.51x 33.3% · 57 checked +8.04% -10.79%
Money flow >= 14 + Technical >= 16 + Dollar volume >= $1B 725 573 / 152 27.2% 1.42x 1.4x 30.2% · 53 checked +7.83% -6.97%
Money flow >= 14 + Dollar volume >= $1B 726 573 / 153 27.2% 1.42x 1.4x 30.2% · 53 checked +7.83% -6.97%
Money flow >= 14 + Dollar volume >= $1B + Risk not High 724 571 / 153 27% 1.41x 1.39x 30.2% · 53 checked +7.81% -6.96%
Dollar volume >= $1B 3702 2882 / 820 25.8% 1.34x 1.33x 28.1% · 338 checked +7.44% -7.67%
Dollar volume >= $1B + Risk not High 3666 2850 / 816 25.8% 1.34x 1.33x 27.5% · 331 checked +7.44% -7.61%
Technical >= 16 + Dollar volume >= $1B 2462 1947 / 515 24.6% 1.28x 1.27x 27% · 204 checked +7.25% -7.48%
Money flow >= 14 + Technical >= 20 + Dollar volume >= $1B 502 403 / 99 24.3% 1.27x 1.26x 26.9% · 26 checked +7.22% -7.36%
Risk not High 17656 13805 / 3851 18.5% 0.96x 0.9x 26.4% · 1919 checked +6.43% -4.83%
Technical >= 16 + Dollar volume >= $1B + Risk not High 2449 1935 / 514 24.5% 1.28x 1.27x 26.2% · 202 checked +7.25% -7.44%
Dollar volume >= $250M 13057 10138 / 2919 20.1% 1.05x 1x 26% · 1292 checked +6.58% -5.50%
Dollar volume >= $250M + Risk not High 12340 9558 / 2782 19.4% 1.01x 0.96x 25.4% · 1229 checked +6.46% -5.26%
Technical >= 16 14095 11031 / 3064 16.8% 0.88x 0.8x 25.4% · 1514 checked +6.17% -4.84%
Technical >= 16 + Dollar volume >= $5B + Risk not High 382 328 / 54 33.2% 1.73x 1.78x 25% · 32 checked +8.56% -11.68%

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 185 123 / 62 29 23.6% 1.23x 33.3% · 6 checked +6.67% -9.83%
5D momentum v2 >= 30 492 315 / 177 53 16.8% 0.88x 11.1% · 27 checked +5.85% -7.14%
Money flow >= 14 + momentum v2 >= 30 254 171 / 83 26 15.2% 0.79x 8.3% · 12 checked +5.60% -7.44%
Technical >= 20 + money flow >= 12 4867 3760 / 1107 469 12.5% 0.65x 16.9% · 379 checked +5.49% -5.08%
Total score >= 110 + risk not High 20 10 / 10 0 0% 0x 0% · 5 checked +4.03% -4.50%

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.ANET Arista Networks B 65.2 105.2 62.2/110 · 43/50 Elevated
Momentum A · Money flow A · lift 1.23x n=123 · validation watch
Momentum v2 >= 30 + dollar volume >= $1B
US.AMGN Amgen B 68 100.3 65.3/110 · 35/50 Medium
Money flow A · Technical A · lift 1.23x n=123 · validation watch
Momentum v2 >= 30 + dollar volume >= $1B
US.DIS Walt Disney Company (The) B 64.6 92.3 62.3/110 · 30/50 Medium
lift 1.23x · Validation not confirmed n=123 · validation watch
Momentum v2 >= 30 + dollar volume >= $1B
US.BA Boeing B 64.5 89.8 59.8/110 · 30/50 Medium
Money flow A · lift 1.23x · Validation not confirmed n=123 · validation watch
Momentum v2 >= 30 + dollar volume >= $1B
US.NVDA Nvidia C 62.3 90 58/110 · 32/50 Elevated
lift 1.23x · Elevated risk n=123 · 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 17978 14170 / 3808 2741 19.3% 1.01x +6.57% -4.99%
Score 90-109 583 380 / 203 51 13.4% 0.7x +5.24% -6.84%
Score 110-129 20 10 / 10 0 0% 0x +4.03% -4.50%

5D momentum v2 bucket

Bucket Total Checked / Pending Boom Boom rate Lift Avg runup Avg drawdown
5D momentum v2 >= 40 76 31 / 45 9 29% 1.51x +8.00% -8.38%
5D momentum v2 < 20 16806 13251 / 3555 2612 19.7% 1.03x +6.64% -4.95%
5D momentum v2 30-39 416 284 / 132 44 15.5% 0.81x +5.61% -7.01%
5D momentum v2 20-29 1283 994 / 289 127 12.8% 0.67x +5.38% -5.55%

Dollar volume bucket

Bucket Total Checked / Pending Boom Boom rate Lift Avg runup Avg drawdown
Dollar volume >= $5B 672 544 / 128 160 29.4% 1.53x +8.04% -10.80%
Dollar volume $1B-$5B 3030 2338 / 692 584 25% 1.3x +7.30% -6.95%
Dollar volume $250M-$1B 9355 7256 / 2099 1292 17.8% 0.93x +6.24% -4.63%
Dollar volume < $250M 5524 4422 / 1102 756 17.1% 0.89x +6.43% -3.99%

Risk level

Bucket Total Checked / Pending Boom Boom rate Lift Avg runup Avg drawdown
High 925 755 / 170 243 32.2% 1.68x +8.50% -8.88%
Elevated 6372 4927 / 1445 1428 29% 1.51x +7.96% -7.19%
Medium 10939 8592 / 2347 1105 12.9% 0.67x +5.63% -3.54%
Low 345 286 / 59 16 5.6% 0.29x +4.04% -2.70%

Sector

Bucket Total Checked / Pending Boom Boom rate Lift Avg runup Avg drawdown
Information Technology 2731 2139 / 592 726 33.9% 1.77x +8.55% -9.93%
Materials 961 753 / 208 173 23% 1.2x +7.98% -4.72%
Health Care 2181 1710 / 471 367 21.5% 1.12x +7.08% -3.97%
Communication Services 837 655 / 182 132 20.2% 1.05x +5.94% -6.20%
Energy 777 609 / 168 123 20.2% 1.05x +5.99% -4.40%
Financials 2810 2202 / 608 434 19.7% 1.03x +6.67% -3.48%
Industrials 2957 2317 / 640 416 18% 0.94x +6.62% -4.74%
Consumer Discretionary 1739 1363 / 376 234 17.2% 0.9x +5.98% -5.01%
Consumer Staples 1294 1014 / 280 109 10.7% 0.56x +5.33% -3.90%
Real Estate 1147 899 / 248 46 5.1% 0.27x +4.48% -3.71%
Utilities 1147 899 / 248 32 3.6% 0.19x +4.02% -2.55%

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