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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

2026-08-18 · 60D window · 10D outcome

twelvedata 13548 checked / 15558 total Boom = max runup ≥ +10% Validation: last 20D

Baseline boom rate 20.4%
Boom count 2766
Avg max runup +6.56%
Avg drawdown -4.84%

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 4806 4245 / 561 474 11.2% 0.55x +5.04% -5.09%
Grade F 10752 9303 / 1449 2292 24.6% 1.21x +7.25% -4.73%

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 176

Combination Total Checked / Pending Boom rate Lift Train lift Validation Avg runup Avg drawdown
Best Dollar volume >= $5B 539 479 / 60 33.8% 1.66x 1.42x 63.2% · 68 checked +8.69% -10.44%
Dollar volume >= $5B + Risk not High 539 479 / 60 33.8% 1.66x 1.42x 63.2% · 68 checked +8.69% -10.44%
5D momentum v2 >= 40 + Money flow >= 12 + Dollar volume >= $1B 24 22 / 2 31.8% 1.56x 0.82x 50% · 10 checked +5.59% -6.24%
Technical >= 20 + Dollar volume >= $5B 119 106 / 13 22.6% 1.11x 0.95x 46.2% · 13 checked +6.03% -13.81%
Technical >= 20 + Dollar volume >= $5B + Risk not High 119 106 / 13 22.6% 1.11x 0.95x 46.2% · 13 checked +6.03% -13.81%
5D momentum v2 >= 20 + Technical >= 24 + Dollar volume >= $1B 37 36 / 1 25% 1.23x 0.78x 45.5% · 11 checked +5.98% -6.06%
5D momentum v2 >= 40 + Money flow >= 12 + Risk not High 52 47 / 5 21.3% 1.04x 0.5x 38.9% · 18 checked +5.08% -5.78%
5D momentum v2 >= 20 + Technical >= 20 + Dollar volume >= $1B 317 285 / 32 16.5% 0.81x 0.58x 38% · 50 checked +5.39% -8.57%
5D momentum v2 >= 40 + Money flow >= 12 + Dollar volume >= $250M 51 46 / 5 21.7% 1.06x 0.54x 36.8% · 19 checked +5.15% -5.83%
5D momentum v2 >= 40 + Money flow >= 12 53 48 / 5 20.8% 1.02x 0.5x 36.8% · 19 checked +5.08% -5.81%
5D momentum v2 >= 40 + Money flow >= 12 + Technical >= 16 53 48 / 5 20.8% 1.02x 0.5x 36.8% · 19 checked +5.08% -5.81%
5D momentum v2 >= 40 + Money flow >= 12 + Technical >= 20 53 48 / 5 20.8% 1.02x 0.5x 36.8% · 19 checked +5.08% -5.81%
Money flow >= 12 + Technical >= 16 + Dollar volume >= $5B 171 144 / 27 20.8% 1.02x 0.96x 36.4% · 11 checked +6.36% -12.59%
Money flow >= 12 + Dollar volume >= $5B 172 145 / 27 20.7% 1.01x 0.95x 36.4% · 11 checked +6.36% -12.58%
Money flow >= 12 + Dollar volume >= $5B + Risk not High 172 145 / 27 20.7% 1.01x 0.95x 36.4% · 11 checked +6.36% -12.58%

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 159 144 / 15 22 15.3% 0.75x 33.3% · 33 checked +4.99% -8.90%
5D momentum v2 >= 30 424 388 / 36 51 13.1% 0.64x 22.1% · 86 checked +5.08% -7.14%
Technical >= 20 + money flow >= 12 4068 3550 / 518 413 11.6% 0.57x 16% · 607 checked +5.16% -5.16%
Money flow >= 14 + momentum v2 >= 30 224 198 / 26 22 11.1% 0.54x 19.5% · 41 checked +4.50% -7.46%

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 15032 13080 / 1952 2720 20.8% 1.02x +6.63% -4.78%
Score 90-109 507 449 / 58 44 9.8% 0.48x +4.62% -6.64%

5D momentum v2 bucket

Bucket Total Checked / Pending Boom Boom rate Lift Avg runup Avg drawdown
5D momentum v2 < 20 14076 12211 / 1865 2613 21.4% 1.05x +6.73% -4.71%
5D momentum v2 >= 40 69 63 / 6 13 20.6% 1.01x +5.44% -5.83%
5D momentum v2 30-39 355 325 / 30 38 11.7% 0.57x +5.01% -7.40%
5D momentum v2 20-29 1058 949 / 109 102 10.7% 0.52x +5.00% -5.60%

Dollar volume bucket

Bucket Total Checked / Pending Boom Boom rate Lift Avg runup Avg drawdown
Dollar volume >= $5B 539 479 / 60 162 33.8% 1.66x +8.69% -10.44%
Dollar volume $1B-$5B 2443 2179 / 264 531 24.4% 1.2x +7.23% -6.43%
Dollar volume $250M-$1B 7778 6841 / 937 1306 19.1% 0.94x +6.33% -4.45%
Dollar volume < $250M 4798 4049 / 749 767 18.9% 0.93x +6.34% -3.99%

Risk level

Bucket Total Checked / Pending Boom Boom rate Lift Avg runup Avg drawdown
High 774 658 / 116 235 35.7% 1.75x +9.18% -8.42%
Elevated 5445 4723 / 722 1441 30.5% 1.5x +8.15% -6.40%
Medium 9088 7941 / 1147 1085 13.7% 0.67x +5.48% -3.67%
Low 251 226 / 25 5 2.2% 0.11x +3.40% -2.79%

Sector

Bucket Total Checked / Pending Boom Boom rate Lift Avg runup Avg drawdown
Information Technology 2287 1991 / 296 774 38.9% 1.91x +9.84% -9.04%
Communication Services 695 603 / 92 164 27.2% 1.33x +7.16% -5.09%
Energy 651 567 / 84 136 24% 1.18x +6.75% -3.66%
Health Care 1827 1592 / 235 347 21.8% 1.07x +7.12% -3.90%
Materials 805 701 / 104 142 20.3% 1x +6.17% -4.66%
Financials 2354 2050 / 304 398 19.4% 0.95x +6.38% -3.19%
Consumer Discretionary 1457 1269 / 188 246 19.4% 0.95x +6.33% -4.72%
Industrials 2478 2158 / 320 392 18.2% 0.89x +6.17% -4.84%
Consumer Staples 1083 944 / 139 106 11.2% 0.55x +5.37% -3.99%
Real Estate 960 836 / 124 46 5.5% 0.27x +4.23% -3.71%
Utilities 961 837 / 124 15 1.8% 0.09x +2.91% -3.73%

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