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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

2026-08-11 · 60D window · 10D outcome

twelvedata 14059 checked / 17071 total Boom = max runup ≥ +10% Validation: last 20D

Baseline boom rate 20.2%
Boom count 2841
Avg max runup +6.57%
Avg drawdown -5.07%

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 5408 4320 / 1088 517 12% 0.59x +5.38% -5.03%
Grade F 11663 9739 / 1924 2324 23.9% 1.18x +7.10% -5.09%

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 156

Combination Total Checked / Pending Boom rate Lift Train lift Validation Avg runup Avg drawdown
Best Dollar volume >= $5B 618 519 / 99 30.1% 1.49x 1.36x 50.9% · 57 checked +7.97% -11.19%
Dollar volume >= $5B + Risk not High 617 518 / 99 30.1% 1.49x 1.36x 50.9% · 57 checked +7.96% -11.18%
Dollar volume >= $1B 3415 2812 / 603 25.2% 1.25x 1.19x 32.6% · 374 checked +7.26% -7.80%
Dollar volume >= $1B + Risk not High 3379 2779 / 600 25.1% 1.24x 1.19x 32.1% · 371 checked +7.25% -7.74%
Risk not High 16201 13337 / 2864 19.5% 0.97x 0.88x 29.5% · 1936 checked +6.45% -4.86%
Dollar volume >= $250M 12056 9840 / 2216 20.6% 1.02x 0.96x 28.5% · 1381 checked +6.58% -5.56%
Dollar volume >= $250M + Risk not High 11390 9284 / 2106 19.9% 0.99x 0.92x 27.5% · 1325 checked +6.43% -5.31%
Technical >= 16 + Dollar volume >= $5B + Risk not High 352 303 / 49 28.7% 1.42x 1.43x 27.3% · 22 checked +7.36% -12.35%
Technical >= 16 + Dollar volume >= $5B 353 304 / 49 28.6% 1.42x 1.42x 27.3% · 22 checked +7.36% -12.36%
Technical >= 16 12968 10642 / 2326 17.2% 0.85x 0.78x 26% · 1503 checked +6.15% -4.89%
Technical >= 16 + Risk not High 12611 10361 / 2250 16.8% 0.83x 0.76x 25.6% · 1483 checked +6.09% -4.75%
Technical >= 16 + Dollar volume >= $250M 8889 7201 / 1688 17.5% 0.87x 0.82x 23.1% · 1005 checked +6.11% -5.34%
Technical >= 16 + Dollar volume >= $250M + Risk not High 8616 6982 / 1634 17% 0.84x 0.8x 22.5% · 986 checked +6.02% -5.18%
Technical >= 16 + Dollar volume >= $1B 2271 1862 / 409 22% 1.09x 1.1x 20.4% · 216 checked +6.64% -7.59%
Money flow >= 12 + Technical >= 16 + Dollar volume >= $5B 190 166 / 24 28.9% 1.43x 1.46x 20% · 10 checked +7.85% -12.74%

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 182 138 / 44 27 19.6% 0.97x 11.1% · 27 checked +6.28% -9.41%
5D momentum v2 >= 30 467 353 / 114 56 15.9% 0.79x 13.6% · 88 checked +5.94% -7.25%
Money flow >= 14 + momentum v2 >= 30 246 184 / 62 24 13% 0.64x 0% · 37 checked +5.39% -7.66%
Technical >= 20 + money flow >= 12 4561 3649 / 912 460 12.6% 0.62x 13.4% · 425 checked +5.42% -5.18%

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 16491 13625 / 2866 2786 20.4% 1.01x +6.61% -5.01%
Score 90-109 561 422 / 139 55 13% 0.64x +5.30% -6.94%

5D momentum v2 bucket

Bucket Total Checked / Pending Boom Boom rate Lift Avg runup Avg drawdown
5D momentum v2 >= 40 77 46 / 31 11 23.9% 1.18x +7.44% -7.06%
5D momentum v2 < 20 15406 12722 / 2684 2656 20.9% 1.03x +6.68% -4.96%
5D momentum v2 30-39 390 307 / 83 45 14.7% 0.73x +5.71% -7.28%
5D momentum v2 20-29 1198 984 / 214 129 13.1% 0.65x +5.38% -5.69%

Dollar volume bucket

Bucket Total Checked / Pending Boom Boom rate Lift Avg runup Avg drawdown
Dollar volume >= $5B 618 519 / 99 156 30.1% 1.49x +7.97% -11.19%
Dollar volume $1B-$5B 2797 2293 / 504 552 24.1% 1.19x +7.10% -7.03%
Dollar volume < $250M 5015 4219 / 796 814 19.3% 0.96x +6.55% -3.93%
Dollar volume $250M-$1B 8641 7028 / 1613 1319 18.8% 0.93x +6.30% -4.66%

Risk level

Bucket Total Checked / Pending Boom Boom rate Lift Avg runup Avg drawdown
High 870 722 / 148 243 33.7% 1.67x +8.69% -9.04%
Elevated 5908 4776 / 1132 1443 30.2% 1.5x +7.95% -7.06%
Medium 9990 8297 / 1693 1139 13.7% 0.68x +5.67% -3.66%
Low 303 264 / 39 16 6.1% 0.3x +4.02% -2.73%

Sector

Bucket Total Checked / Pending Boom Boom rate Lift Avg runup Avg drawdown
Information Technology 2509 2065 / 444 743 36% 1.78x +9.00% -9.93%
Health Care 2004 1651 / 353 404 24.5% 1.21x +7.50% -3.87%
Communication Services 766 633 / 133 154 24.3% 1.2x +6.52% -5.66%
Energy 714 588 / 126 130 22.1% 1.09x +6.24% -3.89%
Materials 883 727 / 156 148 20.4% 1.01x +6.58% -4.88%
Financials 2582 2126 / 456 431 20.3% 1x +6.59% -3.48%
Consumer Discretionary 1598 1316 / 282 242 18.4% 0.91x +6.22% -4.91%
Industrials 2718 2238 / 480 394 17.6% 0.87x +6.34% -4.97%
Consumer Staples 1189 979 / 210 122 12.5% 0.62x +5.49% -4.04%
Real Estate 1054 868 / 186 52 6% 0.3x +4.58% -3.69%
Utilities 1054 868 / 186 21 2.4% 0.12x +3.54% -3.27%

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