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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

2026-08-17 · 60D window · 10D outcome

twelvedata 13551 checked / 15561 total Boom = max runup ≥ +10% Validation: last 20D

Baseline boom rate 20.9%
Boom count 2837
Avg max runup +6.66%
Avg drawdown -4.86%

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 4835 4192 / 643 477 11.4% 0.55x +5.12% -5.12%
Grade F 10726 9359 / 1367 2360 25.2% 1.21x +7.34% -4.75%

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 169

Combination Total Checked / Pending Boom rate Lift Train lift Validation Avg runup Avg drawdown
Best Dollar volume >= $5B 558 495 / 63 33.3% 1.59x 1.25x 80.3% · 66 checked +8.56% -10.70%
Dollar volume >= $5B + Risk not High 558 495 / 63 33.3% 1.59x 1.25x 80.3% · 66 checked +8.56% -10.70%
Technical >= 16 + Dollar volume >= $5B 322 277 / 45 23.8% 1.14x 1.05x 52.9% · 17 checked +6.65% -12.39%
Technical >= 16 + Dollar volume >= $5B + Risk not High 322 277 / 45 23.8% 1.14x 1.05x 52.9% · 17 checked +6.65% -12.39%
Dollar volume >= $1B 3087 2741 / 346 26.4% 1.26x 1.14x 40% · 438 checked +7.57% -7.22%
Dollar volume >= $1B + Risk not High 3057 2713 / 344 26.2% 1.25x 1.13x 39.7% · 436 checked +7.55% -7.17%
5D momentum v2 >= 20 + Technical >= 24 + Dollar volume >= $1B 38 33 / 5 21.2% 1.01x 0.68x 33.3% · 12 checked +5.68% -5.75%
5D momentum v2 >= 40 + Technical >= 24 23 21 / 2 14.3% 0.68x 0x 30% · 10 checked +5.55% -5.53%
5D momentum v2 >= 40 + Technical >= 24 + Risk not High 23 21 / 2 14.3% 0.68x 0x 30% · 10 checked +5.55% -5.53%
Technical >= 24 + Dollar volume >= $1B 66 57 / 9 14% 0.67x 0.44x 28.6% · 14 checked +4.62% -5.40%
Technical >= 24 + Dollar volume >= $1B + Risk not High 66 57 / 9 14% 0.67x 0.44x 28.6% · 14 checked +4.62% -5.40%
5D momentum v2 >= 30 + Technical >= 24 + Dollar volume >= $250M 76 63 / 13 15.9% 0.76x 0.28x 27.6% · 29 checked +6.18% -5.90%
5D momentum v2 >= 40 + Technical >= 16 + Dollar volume >= $1B 36 31 / 5 22.6% 1.08x 0.9x 26.7% · 15 checked +6.02% -7.17%
5D momentum v2 >= 40 + Technical >= 20 + Dollar volume >= $1B 36 31 / 5 22.6% 1.08x 0.9x 26.7% · 15 checked +6.02% -7.17%
5D momentum v2 >= 40 + Dollar volume >= $1B 36 31 / 5 22.6% 1.08x 0.9x 26.7% · 15 checked +6.02% -7.17%

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 165 139 / 26 18 12.9% 0.62x 19.4% · 36 checked +5.04% -9.22%
5D momentum v2 >= 30 435 374 / 61 47 12.6% 0.6x 18.5% · 119 checked +5.17% -7.29%
Technical >= 20 + money flow >= 12 4112 3520 / 592 419 11.9% 0.57x 14.8% · 610 checked +5.24% -5.20%
Money flow >= 14 + momentum v2 >= 30 233 197 / 36 22 11.2% 0.54x 10.2% · 59 checked +4.79% -7.55%

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 15027 13101 / 1926 2792 21.3% 1.02x +6.72% -4.80%
Score 90-109 515 433 / 82 44 10.2% 0.49x +4.73% -6.89%

5D momentum v2 bucket

Bucket Total Checked / Pending Boom Boom rate Lift Avg runup Avg drawdown
5D momentum v2 < 20 14056 12265 / 1791 2683 21.9% 1.05x +6.82% -4.72%
5D momentum v2 >= 40 72 61 / 11 11 18% 0.86x +5.64% -6.46%
5D momentum v2 20-29 1070 912 / 158 107 11.7% 0.56x +5.05% -5.72%
5D momentum v2 30-39 363 313 / 50 36 11.5% 0.55x +5.08% -7.45%

Dollar volume bucket

Bucket Total Checked / Pending Boom Boom rate Lift Avg runup Avg drawdown
Dollar volume >= $5B 558 495 / 63 165 33.3% 1.59x +8.56% -10.70%
Dollar volume $1B-$5B 2529 2246 / 283 559 24.9% 1.19x +7.35% -6.45%
Dollar volume $250M-$1B 7832 6854 / 978 1347 19.7% 0.94x +6.42% -4.43%
Dollar volume < $250M 4642 3956 / 686 766 19.4% 0.93x +6.44% -3.98%

Risk level

Bucket Total Checked / Pending Boom Boom rate Lift Avg runup Avg drawdown
High 777 664 / 113 239 36% 1.72x +9.31% -8.49%
Elevated 5437 4680 / 757 1467 31.3% 1.5x +8.25% -6.52%
Medium 9077 7958 / 1119 1118 14% 0.67x +5.59% -3.66%
Low 270 249 / 21 13 5.2% 0.25x +3.83% -2.68%

Sector

Bucket Total Checked / Pending Boom Boom rate Lift Avg runup Avg drawdown
Information Technology 2287 1991 / 296 782 39.3% 1.88x +9.87% -9.19%
Communication Services 697 605 / 92 164 27.1% 1.3x +7.12% -5.13%
Health Care 1827 1592 / 235 373 23.4% 1.12x +7.33% -3.86%
Energy 651 567 / 84 132 23.3% 1.11x +6.63% -3.65%
Financials 2354 2050 / 304 421 20.5% 0.98x +6.55% -3.21%
Materials 805 701 / 104 144 20.5% 0.98x +6.19% -4.75%
Consumer Discretionary 1457 1269 / 188 243 19.1% 0.91x +6.35% -4.77%
Industrials 2478 2158 / 320 400 18.5% 0.89x +6.33% -4.83%
Consumer Staples 1083 944 / 139 112 11.9% 0.57x +5.39% -3.99%
Real Estate 961 837 / 124 50 6% 0.29x +4.40% -3.65%
Utilities 961 837 / 124 16 1.9% 0.09x +3.05% -3.66%

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