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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

2026-08-13 · 60D window · 10D outcome

twelvedata 14558 checked / 16568 total Boom = max runup ≥ +10% Validation: last 20D

Baseline boom rate 20.6%
Boom count 3005
Avg max runup +6.63%
Avg drawdown -4.99%

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 4555 / 692 559 12.3% 0.6x +5.35% -5.06%
Grade F 11321 10003 / 1318 2446 24.5% 1.19x +7.21% -4.95%

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 167

Combination Total Checked / Pending Boom rate Lift Train lift Validation Avg runup Avg drawdown
Best Dollar volume >= $5B 601 534 / 67 33.3% 1.62x 1.34x 76.2% · 63 checked +8.48% -10.71%
Dollar volume >= $5B + Risk not High 601 534 / 67 33.3% 1.62x 1.34x 76.2% · 63 checked +8.48% -10.71%
Technical >= 16 + Dollar volume >= $5B 346 304 / 42 28.6% 1.39x 1.33x 53.3% · 15 checked +7.34% -12.24%
Technical >= 16 + Dollar volume >= $5B + Risk not High 346 304 / 42 28.6% 1.39x 1.33x 53.3% · 15 checked +7.34% -12.24%
Dollar volume >= $1B 3333 2954 / 379 26.4% 1.28x 1.17x 39.5% · 433 checked +7.56% -7.45%
Dollar volume >= $1B + Risk not High 3298 2921 / 377 26.3% 1.28x 1.17x 39.1% · 430 checked +7.55% -7.40%
5D momentum v2 >= 20 + Technical >= 24 + Dollar volume >= $1B 44 39 / 5 23.1% 1.12x 0.9x 33.3% · 12 checked +6.11% -5.99%
Technical >= 24 + Dollar volume >= $1B 74 64 / 10 17.2% 0.83x 0.68x 28.6% · 14 checked +5.09% -5.74%
Technical >= 24 + Dollar volume >= $1B + Risk not High 74 64 / 10 17.2% 0.83x 0.68x 28.6% · 14 checked +5.09% -5.74%
5D momentum v2 >= 40 + Money flow >= 12 + Dollar volume >= $1B 27 23 / 4 30.4% 1.48x 1.62x 27.3% · 11 checked +6.70% -7.46%
Dollar volume >= $250M 11724 10272 / 1452 21.2% 1.03x 0.98x 26.6% · 1482 checked +6.68% -5.41%
Dollar volume >= $250M + Risk not High 11082 9710 / 1372 20.4% 0.99x 0.95x 25.3% · 1426 checked +6.53% -5.19%
5D momentum v2 >= 40 + Technical >= 16 + Dollar volume >= $1B 39 33 / 6 30.3% 1.47x 1.71x 25% · 16 checked +6.80% -7.51%
5D momentum v2 >= 40 + Technical >= 20 + Dollar volume >= $1B 39 33 / 6 30.3% 1.47x 1.71x 25% · 16 checked +6.80% -7.51%
5D momentum v2 >= 40 + Dollar volume >= $1B 39 33 / 6 30.3% 1.47x 1.71x 25% · 16 checked +6.80% -7.51%

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 179 153 / 26 29 19% 0.92x 16.2% · 37 checked +5.85% -9.20%
5D momentum v2 >= 30 462 399 / 63 62 15.5% 0.75x 16.8% · 119 checked +5.67% -7.28%
Money flow >= 14 + momentum v2 >= 30 245 209 / 36 27 12.9% 0.63x 5.4% · 56 checked +5.23% -7.44%
Technical >= 20 + money flow >= 12 4437 3829 / 608 482 12.6% 0.61x 12.9% · 567 checked +5.37% -5.20%

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 14078 / 1917 2944 20.9% 1.01x +6.68% -4.92%
Score 90-109 554 464 / 90 61 13.1% 0.64x +5.16% -6.91%

5D momentum v2 bucket

Bucket Total Checked / Pending Boom Boom rate Lift Avg runup Avg drawdown
5D momentum v2 >= 40 77 64 / 13 15 23.4% 1.14x +6.82% -6.67%
5D momentum v2 < 20 14952 13165 / 1787 2808 21.3% 1.03x +6.75% -4.86%
5D momentum v2 30-39 385 335 / 50 47 14% 0.68x +5.45% -7.40%
5D momentum v2 20-29 1154 994 / 160 135 13.6% 0.66x +5.42% -5.73%

Dollar volume bucket

Bucket Total Checked / Pending Boom Boom rate Lift Avg runup Avg drawdown
Dollar volume >= $5B 601 534 / 67 178 33.3% 1.62x +8.48% -10.71%
Dollar volume $1B-$5B 2732 2420 / 312 601 24.8% 1.2x +7.36% -6.73%
Dollar volume < $250M 4844 4286 / 558 832 19.4% 0.94x +6.50% -3.96%
Dollar volume $250M-$1B 8391 7318 / 1073 1394 19% 0.92x +6.33% -4.59%

Risk level

Bucket Total Checked / Pending Boom Boom rate Lift Avg runup Avg drawdown
High 839 726 / 113 254 35% 1.7x +8.94% -8.75%
Elevated 5756 4986 / 770 1554 31.2% 1.51x +8.17% -6.80%
Medium 9674 8569 / 1105 1181 13.8% 0.67x +5.62% -3.68%
Low 299 277 / 22 16 5.8% 0.28x +3.90% -2.76%

Sector

Bucket Total Checked / Pending Boom Boom rate Lift Avg runup Avg drawdown
Information Technology 2435 2139 / 296 818 38.2% 1.85x +9.59% -9.50%
Communication Services 743 652 / 91 165 25.3% 1.23x +6.75% -5.48%
Health Care 1945 1710 / 235 420 24.6% 1.19x +7.47% -3.89%
Energy 693 609 / 84 138 22.7% 1.1x +6.43% -3.77%
Materials 857 753 / 104 151 20.1% 0.98x +6.33% -4.83%
Financials 2506 2202 / 304 440 20% 0.97x +6.50% -3.42%
Industrials 2638 2318 / 320 425 18.3% 0.89x +6.42% -4.85%
Consumer Discretionary 1551 1363 / 188 251 18.4% 0.89x +6.23% -4.90%
Consumer Staples 1154 1014 / 140 123 12.1% 0.59x +5.35% -4.12%
Real Estate 1023 899 / 124 54 6% 0.29x +4.47% -3.75%
Utilities 1023 899 / 124 20 2.2% 0.11x +3.32% -3.46%

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