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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

2026-08-12 · 60D window · 10D outcome

twelvedata 14057 checked / 16568 total Boom = max runup ≥ +10% Validation: last 20D

Baseline boom rate 20.5%
Boom count 2880
Avg max runup +6.60%
Avg drawdown -5.02%

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 5247 4367 / 880 522 12% 0.59x +5.31% -5.09%
Grade F 11321 9690 / 1631 2358 24.3% 1.19x +7.18% -5.00%

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 162

Combination Total Checked / Pending Boom rate Lift Train lift Validation Avg runup Avg drawdown
Best Dollar volume >= $5B 601 516 / 85 31.6% 1.54x 1.34x 63.8% · 58 checked +8.26% -10.97%
Dollar volume >= $5B + Risk not High 601 516 / 85 31.6% 1.54x 1.34x 63.8% · 58 checked +8.26% -10.97%
Dollar volume >= $1B 3333 2845 / 488 25.8% 1.26x 1.17x 36.9% · 415 checked +7.42% -7.60%
Dollar volume >= $1B + Risk not High 3298 2813 / 485 25.7% 1.25x 1.16x 36.4% · 412 checked +7.41% -7.55%
Technical >= 16 + Dollar volume >= $5B 346 300 / 46 28% 1.37x 1.35x 33.3% · 18 checked +7.29% -12.35%
Technical >= 16 + Dollar volume >= $5B + Risk not High 346 300 / 46 28% 1.37x 1.35x 33.3% · 18 checked +7.29% -12.35%
Dollar volume >= $250M 11724 9896 / 1828 20.9% 1.02x 0.96x 27.4% · 1455 checked +6.63% -5.48%
5D momentum v2 >= 20 + Technical >= 24 + Dollar volume >= $1B 44 37 / 7 21.6% 1.05x 0.94x 27.3% · 11 checked +6.17% -5.76%
Risk not High 15729 13351 / 2378 19.8% 0.97x 0.9x 27.1% · 1936 checked +6.49% -4.82%
Dollar volume >= $250M + Risk not High 11082 9351 / 1731 20.1% 0.98x 0.93x 26.3% · 1396 checked +6.49% -5.25%
Technical >= 24 + Dollar volume >= $1B 74 61 / 13 16.4% 0.8x 0.7x 25% · 12 checked +5.15% -5.65%
Technical >= 24 + Dollar volume >= $1B + Risk not High 74 61 / 13 16.4% 0.8x 0.7x 25% · 12 checked +5.15% -5.65%
Technical >= 16 12577 10637 / 1940 17.3% 0.84x 0.8x 21.9% · 1507 checked +6.11% -4.90%
5D momentum v2 >= 30 + Technical >= 24 + Dollar volume >= $250M 85 69 / 16 18.8% 0.92x 0.79x 21.9% · 32 checked +6.67% -5.80%
Technical >= 16 + Risk not High 12236 10369 / 1867 16.9% 0.82x 0.79x 21.5% · 1486 checked +6.05% -4.77%

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 179 148 / 31 27 18.2% 0.89x 10.8% · 37 checked +5.88% -9.31%
5D momentum v2 >= 30 462 387 / 75 59 15.2% 0.74x 14.7% · 116 checked +5.69% -7.36%
Money flow >= 14 + momentum v2 >= 30 245 202 / 43 26 12.9% 0.63x 3.8% · 52 checked +5.29% -7.55%
Technical >= 20 + money flow >= 12 4437 3672 / 765 454 12.4% 0.6x 11.9% · 478 checked +5.34% -5.24%

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 15995 13594 / 2401 2823 20.8% 1.01x +6.65% -4.96%
Score 90-109 554 449 / 105 57 12.7% 0.62x +5.14% -7.03%

5D momentum v2 bucket

Bucket Total Checked / Pending Boom Boom rate Lift Avg runup Avg drawdown
5D momentum v2 >= 40 77 56 / 21 12 21.4% 1.04x +6.80% -7.03%
5D momentum v2 < 20 14952 12695 / 2257 2695 21.2% 1.03x +6.73% -4.90%
5D momentum v2 30-39 385 331 / 54 47 14.2% 0.69x +5.51% -7.42%
5D momentum v2 20-29 1154 975 / 179 126 12.9% 0.63x +5.29% -5.75%

Dollar volume bucket

Bucket Total Checked / Pending Boom Boom rate Lift Avg runup Avg drawdown
Dollar volume >= $5B 601 516 / 85 163 31.6% 1.54x +8.26% -10.97%
Dollar volume $1B-$5B 2732 2329 / 403 570 24.5% 1.2x +7.23% -6.86%
Dollar volume < $250M 4844 4161 / 683 814 19.6% 0.96x +6.53% -3.94%
Dollar volume $250M-$1B 8391 7051 / 1340 1333 18.9% 0.92x +6.32% -4.63%

Risk level

Bucket Total Checked / Pending Boom Boom rate Lift Avg runup Avg drawdown
High 839 706 / 133 240 34% 1.66x +8.81% -8.87%
Elevated 5756 4795 / 961 1469 30.6% 1.49x +8.05% -6.91%
Medium 9674 8289 / 1385 1155 13.9% 0.68x +5.66% -3.68%
Low 299 267 / 32 16 6% 0.29x +4.02% -2.69%

Sector

Bucket Total Checked / Pending Boom Boom rate Lift Avg runup Avg drawdown
Information Technology 2435 2065 / 370 768 37.2% 1.81x +9.36% -9.67%
Health Care 1945 1651 / 294 407 24.7% 1.2x +7.48% -3.88%
Communication Services 743 631 / 112 154 24.4% 1.19x +6.63% -5.55%
Energy 693 588 / 105 133 22.6% 1.1x +6.44% -3.73%
Financials 2506 2126 / 380 431 20.3% 0.99x +6.56% -3.44%
Materials 857 727 / 130 147 20.2% 0.99x +6.34% -4.84%
Consumer Discretionary 1551 1316 / 235 241 18.3% 0.89x +6.22% -4.92%
Industrials 2638 2238 / 400 405 18.1% 0.88x +6.35% -4.95%
Consumer Staples 1154 979 / 175 122 12.5% 0.61x +5.42% -4.07%
Real Estate 1023 868 / 155 52 6% 0.29x +4.53% -3.71%
Utilities 1023 868 / 155 20 2.3% 0.11x +3.40% -3.41%

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