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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

2026-08-07 · 60D window · 10D outcome

twelvedata 15569 checked / 18580 total Boom = max runup ≥ +10% Validation: last 20D

Baseline boom rate 20.1%
Boom count 3129
Avg max runup +6.67%
Avg drawdown -5.01%

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 D 5851 4684 / 1167 577 12.3% 0.61x +5.45% -4.92%
Grade F 12729 10885 / 1844 2552 23.4% 1.16x +7.20% -5.04%

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 142

Combination Total Checked / Pending Boom rate Lift Train lift Validation Avg runup Avg drawdown
Best Dollar volume >= $5B 673 571 / 102 29.9% 1.49x 1.45x 35.8% · 67 checked +8.18% -10.76%
Dollar volume >= $5B + Risk not High 672 570 / 102 30% 1.49x 1.45x 35.8% · 67 checked +8.18% -10.75%
Dollar volume >= $1B 3709 3059 / 650 26.3% 1.31x 1.27x 31% · 416 checked +7.52% -7.63%
Risk not High 17656 14766 / 2890 19.4% 0.97x 0.86x 30.4% · 2402 checked +6.56% -4.79%
Dollar volume >= $1B + Risk not High 3671 3025 / 646 26.2% 1.3x 1.27x 30.2% · 410 checked +7.52% -7.57%
Money flow >= 12 + Technical >= 16 + Dollar volume >= $5B 200 182 / 18 35.2% 1.75x 1.78x 30% · 20 checked +9.70% -11.89%
Dollar volume >= $250M 13095 10809 / 2286 20.7% 1.03x 0.96x 29.4% · 1624 checked +6.68% -5.46%
Technical >= 16 14095 11750 / 2345 17.5% 0.87x 0.77x 28.7% · 1833 checked +6.28% -4.81%
Money flow >= 12 + Dollar volume >= $5B 201 183 / 18 35% 1.74x 1.78x 28.6% · 21 checked +9.69% -11.88%
Money flow >= 12 + Dollar volume >= $5B + Risk not High 201 183 / 18 35% 1.74x 1.78x 28.6% · 21 checked +9.69% -11.88%
Dollar volume >= $250M + Risk not High 12379 10190 / 2189 20% 1x 0.92x 28.5% · 1545 checked +6.55% -5.22%
Technical >= 16 + Risk not High 13697 11410 / 2287 17.1% 0.85x 0.75x 28.1% · 1805 checked +6.21% -4.67%
Money flow >= 14 + Technical >= 20 + Dollar volume >= $1B 504 412 / 92 24% 1.19x 1.18x 26.9% · 26 checked +7.18% -7.26%
Technical >= 16 + Dollar volume >= $1B 2466 2045 / 421 24.5% 1.22x 1.21x 26.5% · 234 checked +7.22% -7.43%
Technical >= 16 + Dollar volume >= $250M 9619 7871 / 1748 18.1% 0.9x 0.84x 26.4% · 1126 checked +6.28% -5.24%

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 185 132 / 53 29 22% 1.09x 7.7% · 13 checked +6.42% -9.58%
5D momentum v2 >= 30 492 333 / 159 54 16.2% 0.81x 6.3% · 32 checked +5.76% -7.03%
Money flow >= 14 + momentum v2 >= 30 254 176 / 78 26 14.8% 0.74x 0% · 10 checked +5.51% -7.37%
Technical >= 20 + money flow >= 12 4867 3922 / 945 496 12.6% 0.63x 18.8% · 437 checked +5.48% -5.09%
Total score >= 110 + risk not High 20 12 / 8 0 0% 0x 0% · 5 checked +3.60% -4.88%

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 17977 15156 / 2821 3078 20.3% 1.01x +6.72% -4.96%
Score 90-109 583 401 / 182 51 12.7% 0.63x +5.17% -6.72%
Score 110-129 20 12 / 8 0 0% 0x +3.60% -4.88%

5D momentum v2 bucket

Bucket Total Checked / Pending Boom Boom rate Lift Avg runup Avg drawdown
5D momentum v2 >= 40 76 40 / 36 9 22.5% 1.12x +7.32% -7.42%
5D momentum v2 < 20 16805 14209 / 2596 2944 20.7% 1.03x +6.79% -4.92%
5D momentum v2 30-39 416 293 / 123 45 15.4% 0.77x +5.54% -6.98%
5D momentum v2 20-29 1283 1027 / 256 131 12.8% 0.64x +5.38% -5.58%

Dollar volume bucket

Bucket Total Checked / Pending Boom Boom rate Lift Avg runup Avg drawdown
Dollar volume >= $5B 673 571 / 102 171 29.9% 1.49x +8.18% -10.76%
Dollar volume $1B-$5B 3036 2488 / 548 632 25.4% 1.26x +7.37% -6.92%
Dollar volume < $250M 5485 4760 / 725 890 18.7% 0.93x +6.65% -3.98%
Dollar volume $250M-$1B 9386 7750 / 1636 1436 18.5% 0.92x +6.35% -4.60%

Risk level

Bucket Total Checked / Pending Boom Boom rate Lift Avg runup Avg drawdown
High 924 803 / 121 268 33.4% 1.66x +8.73% -8.95%
Elevated 6372 5272 / 1100 1617 30.7% 1.53x +8.22% -7.08%
Medium 10939 9196 / 1743 1228 13.4% 0.67x +5.69% -3.55%
Low 345 298 / 47 16 5.4% 0.27x +4.04% -2.76%

Sector

Bucket Total Checked / Pending Boom Boom rate Lift Avg runup Avg drawdown
Information Technology 2731 2287 / 444 814 35.6% 1.77x +8.92% -9.85%
Materials 961 805 / 156 193 24% 1.19x +8.06% -4.69%
Health Care 2181 1828 / 353 414 22.6% 1.12x +7.26% -3.91%
Communication Services 836 704 / 132 156 22.2% 1.1x +6.26% -6.00%
Financials 2810 2354 / 456 469 19.9% 0.99x +6.70% -3.40%
Energy 777 651 / 126 126 19.4% 0.97x +5.75% -4.53%
Consumer Discretionary 1739 1457 / 282 280 19.2% 0.96x +6.36% -4.80%
Industrials 2957 2477 / 480 464 18.7% 0.93x +6.68% -4.80%
Consumer Staples 1294 1084 / 210 129 11.9% 0.59x +5.49% -3.80%
Real Estate 1147 961 / 186 52 5.4% 0.27x +4.52% -3.74%
Utilities 1147 961 / 186 32 3.3% 0.16x +3.87% -2.87%

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