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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

2026-08-10 · 60D window · 10D outcome

twelvedata 14061 checked / 17575 total Boom = max runup ≥ +10% Validation: last 20D

Baseline boom rate 20.1%
Boom count 2826
Avg max runup +6.59%
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 D 5585 4248 / 1337 522 12.3% 0.61x +5.46% -4.97%
Grade F 11990 9813 / 2177 2304 23.5% 1.17x +7.08% -5.08%

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 131

Combination Total Checked / Pending Boom rate Lift Train lift Validation Avg runup Avg drawdown
Best Dollar volume >= $5B 635 520 / 115 28.8% 1.43x 1.41x 32.7% · 55 checked +7.67% -11.23%
Dollar volume >= $5B + Risk not High 634 519 / 115 28.9% 1.44x 1.41x 32.7% · 55 checked +7.67% -11.22%
Risk not High 16677 13323 / 3354 19.4% 0.97x 0.86x 31.8% · 1925 checked +6.48% -4.82%
Dollar volume >= $1B 3497 2784 / 713 25.2% 1.25x 1.21x 30.8% · 341 checked +7.24% -7.85%
Dollar volume >= $1B + Risk not High 3460 2751 / 709 25.1% 1.25x 1.21x 30.3% · 337 checked +7.23% -7.79%
Dollar volume >= $250M 12354 9784 / 2570 20.5% 1.02x 0.95x 29.9% · 1302 checked +6.58% -5.54%
Technical >= 16 13359 10629 / 2730 17.3% 0.86x 0.76x 30% · 1466 checked +6.20% -4.85%
Technical >= 16 + Risk not High 12981 10333 / 2648 16.9% 0.84x 0.74x 29.6% · 1445 checked +6.14% -4.70%
Dollar volume >= $250M + Risk not High 11666 9217 / 2449 19.8% 0.99x 0.92x 29% · 1242 checked +6.44% -5.29%
Money flow >= 14 + Technical >= 20 + Dollar volume >= $1B 492 387 / 105 22.5% 1.12x 1.1x 27.3% · 22 checked +6.91% -7.51%
Technical >= 16 + Dollar volume >= $250M 9110 7139 / 1971 17.8% 0.89x 0.82x 26.9% · 908 checked +6.19% -5.30%
Money flow >= 12 + Technical >= 16 + Dollar volume >= $5B 194 170 / 24 31.2% 1.55x 1.57x 26.7% · 15 checked +8.26% -12.46%
Money flow >= 12 + Dollar volume >= $5B 195 171 / 24 31% 1.54x 1.56x 26.7% · 15 checked +8.25% -12.45%
Money flow >= 12 + Dollar volume >= $5B + Risk not High 195 171 / 24 31% 1.54x 1.56x 26.7% · 15 checked +8.25% -12.45%
Technical >= 16 + Dollar volume >= $250M + Risk not High 8821 6909 / 1912 17.3% 0.86x 0.8x 26.2% · 892 checked +6.09% -5.14%

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 186 128 / 58 29 22.7% 1.13x 7.7% · 13 checked +6.50% -9.67%
5D momentum v2 >= 30 479 306 / 173 53 17.3% 0.86x 6.5% · 31 checked +5.93% -7.24%
Money flow >= 14 + momentum v2 >= 30 250 160 / 90 26 16.3% 0.81x 0% · 9 checked +5.75% -7.64%
Technical >= 20 + money flow >= 12 4692 3610 / 1082 461 12.8% 0.64x 19.4% · 346 checked +5.49% -5.10%

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 16984 13679 / 3305 2776 20.3% 1.01x +6.63% -4.99%
Score 90-109 572 371 / 201 50 13.5% 0.67x +5.29% -6.93%

5D momentum v2 bucket

Bucket Total Checked / Pending Boom Boom rate Lift Avg runup Avg drawdown
5D momentum v2 >= 40 77 38 / 39 9 23.7% 1.18x +7.55% -7.25%
5D momentum v2 < 20 15863 12816 / 3047 2647 20.7% 1.03x +6.68% -4.95%
5D momentum v2 30-39 402 268 / 134 44 16.4% 0.82x +5.69% -7.24%
5D momentum v2 20-29 1233 939 / 294 126 13.4% 0.67x +5.51% -5.63%

Dollar volume bucket

Bucket Total Checked / Pending Boom Boom rate Lift Avg runup Avg drawdown
Dollar volume >= $5B 635 520 / 115 150 28.8% 1.43x +7.67% -11.23%
Dollar volume $1B-$5B 2862 2264 / 598 551 24.3% 1.21x +7.14% -7.07%
Dollar volume < $250M 5221 4277 / 944 818 19.1% 0.95x +6.60% -3.91%
Dollar volume $250M-$1B 8857 7000 / 1857 1307 18.7% 0.93x +6.32% -4.62%

Risk level

Bucket Total Checked / Pending Boom Boom rate Lift Avg runup Avg drawdown
High 898 738 / 160 244 33.1% 1.65x +8.64% -9.00%
Elevated 6071 4778 / 1293 1434 30% 1.49x +7.93% -7.09%
Medium 10292 8282 / 2010 1132 13.7% 0.68x +5.71% -3.58%
Low 314 263 / 51 16 6.1% 0.3x +4.05% -2.74%

Sector

Bucket Total Checked / Pending Boom Boom rate Lift Avg runup Avg drawdown
Information Technology 2583 2065 / 518 728 35.3% 1.76x +8.76% -10.01%
Health Care 2063 1651 / 412 399 24.2% 1.2x +7.50% -3.83%
Communication Services 790 635 / 155 148 23.3% 1.16x +6.40% -5.78%
Energy 735 588 / 147 126 21.4% 1.06x +6.08% -4.08%
Materials 909 727 / 182 152 20.9% 1.04x +6.95% -4.80%
Financials 2658 2126 / 532 436 20.5% 1.02x +6.69% -3.44%
Consumer Discretionary 1645 1316 / 329 242 18.4% 0.92x +6.21% -4.90%
Industrials 2798 2238 / 560 398 17.8% 0.89x +6.45% -4.87%
Consumer Staples 1224 979 / 245 122 12.5% 0.62x +5.53% -3.98%
Real Estate 1085 868 / 217 52 6% 0.3x +4.63% -3.63%
Utilities 1085 868 / 217 23 2.6% 0.13x +3.71% -3.06%

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