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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

2026-08-19 · 60D window · 10D outcome

twelvedata 14048 checked / 16060 total Boom = max runup ≥ +10% Validation: last 20D

Baseline boom rate 20.3%
Boom count 2848
Avg max runup +6.54%
Avg drawdown -4.81%

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 4990 4466 / 524 513 11.5% 0.57x +5.08% -5.06%
Grade F 11070 9582 / 1488 2335 24.4% 1.2x +7.22% -4.70%

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 168

Combination Total Checked / Pending Boom rate Lift Train lift Validation Avg runup Avg drawdown
Best Dollar volume >= $5B 554 495 / 59 33.5% 1.65x 1.52x 50% · 70 checked +8.67% -10.33%
Dollar volume >= $5B + Risk not High 554 495 / 59 33.5% 1.65x 1.52x 50% · 70 checked +8.67% -10.33%
Money flow >= 12 + Technical >= 20 + Dollar volume >= $5B 93 84 / 9 21.4% 1.05x 0.87x 50% · 10 checked +6.12% -14.19%
5D momentum v2 >= 40 + Money flow >= 14 + Risk not High 35 32 / 3 25% 1.23x 0.67x 50% · 10 checked +5.16% -5.97%
5D momentum v2 >= 40 + Money flow >= 12 + Risk not High 54 50 / 4 22% 1.08x 0.55x 50% · 14 checked +5.16% -5.77%
5D momentum v2 >= 40 + Dollar volume >= $250M + Risk not High 69 63 / 6 22.2% 1.09x 0.64x 47.1% · 17 checked +5.56% -5.81%
5D momentum v2 >= 40 + Technical >= 16 + Risk not High 71 65 / 6 21.5% 1.06x 0.62x 47.1% · 17 checked +5.49% -5.79%
5D momentum v2 >= 40 + Technical >= 20 + Risk not High 71 65 / 6 21.5% 1.06x 0.62x 47.1% · 17 checked +5.49% -5.79%
5D momentum v2 >= 40 + Risk not High 71 65 / 6 21.5% 1.06x 0.62x 47.1% · 17 checked +5.49% -5.79%
Technical >= 20 + Dollar volume >= $5B 123 109 / 14 22.9% 1.13x 0.94x 46.7% · 15 checked +6.05% -13.52%
Technical >= 20 + Dollar volume >= $5B + Risk not High 123 109 / 14 22.9% 1.13x 0.94x 46.7% · 15 checked +6.05% -13.52%
5D momentum v2 >= 40 + Money flow >= 12 + Dollar volume >= $250M 53 49 / 4 22.4% 1.1x 0.58x 46.7% · 15 checked +5.22% -5.81%
5D momentum v2 >= 40 + Money flow >= 12 55 51 / 4 21.6% 1.06x 0.55x 46.7% · 15 checked +5.15% -5.79%
5D momentum v2 >= 40 + Money flow >= 12 + Technical >= 16 55 51 / 4 21.6% 1.06x 0.55x 46.7% · 15 checked +5.15% -5.79%
5D momentum v2 >= 40 + Money flow >= 12 + Technical >= 20 55 51 / 4 21.6% 1.06x 0.55x 46.7% · 15 checked +5.15% -5.79%

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 166 149 / 17 22 14.8% 0.73x 36% · 25 checked +4.99% -8.72%
5D momentum v2 >= 30 437 402 / 35 52 12.9% 0.64x 23% · 61 checked +5.04% -7.05%
Technical >= 20 + money flow >= 12 4174 3714 / 460 443 11.9% 0.59x 18.1% · 624 checked +5.18% -5.12%
Money flow >= 14 + momentum v2 >= 30 232 207 / 25 23 11.1% 0.55x 22.6% · 31 checked +4.49% -7.36%

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 15509 13551 / 1958 2798 20.6% 1.01x +6.61% -4.75%
Score 90-109 532 478 / 54 48 10% 0.49x +4.63% -6.57%

5D momentum v2 bucket

Bucket Total Checked / Pending Boom Boom rate Lift Avg runup Avg drawdown
5D momentum v2 < 20 14527 12656 / 1871 2685 21.2% 1.04x +6.70% -4.68%
5D momentum v2 >= 40 72 66 / 6 14 21.2% 1.04x +5.48% -5.81%
5D momentum v2 30-39 365 336 / 29 38 11.3% 0.56x +4.96% -7.30%
5D momentum v2 20-29 1096 990 / 106 111 11.2% 0.55x +5.03% -5.60%

Dollar volume bucket

Bucket Total Checked / Pending Boom Boom rate Lift Avg runup Avg drawdown
Dollar volume >= $5B 554 495 / 59 166 33.5% 1.65x +8.67% -10.33%
Dollar volume $1B-$5B 2525 2255 / 270 554 24.6% 1.21x +7.22% -6.36%
Dollar volume $250M-$1B 8018 7104 / 914 1350 19% 0.94x +6.34% -4.43%
Dollar volume < $250M 4963 4194 / 769 778 18.6% 0.92x +6.26% -3.98%

Risk level

Bucket Total Checked / Pending Boom Boom rate Lift Avg runup Avg drawdown
High 793 683 / 110 244 35.7% 1.76x +9.45% -8.34%
Elevated 5593 4920 / 673 1486 30.2% 1.49x +8.10% -6.33%
Medium 9413 8215 / 1198 1113 13.5% 0.67x +5.44% -3.67%
Low 261 230 / 31 5 2.2% 0.11x +3.40% -2.78%

Sector

Bucket Total Checked / Pending Boom Boom rate Lift Avg runup Avg drawdown
Information Technology 2361 2065 / 296 804 38.9% 1.92x +9.81% -8.93%
Communication Services 717 624 / 93 170 27.2% 1.34x +7.20% -5.03%
Energy 672 588 / 84 150 25.5% 1.26x +6.98% -3.57%
Health Care 1886 1650 / 236 361 21.9% 1.08x +7.23% -3.86%
Materials 831 727 / 104 145 19.9% 0.98x +6.09% -4.68%
Financials 2430 2126 / 304 402 18.9% 0.93x +6.28% -3.20%
Consumer Discretionary 1504 1316 / 188 249 18.9% 0.93x +6.24% -4.74%
Industrials 2558 2238 / 320 396 17.7% 0.87x +6.08% -4.83%
Consumer Staples 1118 979 / 139 109 11.1% 0.55x +5.43% -3.96%
Real Estate 991 867 / 124 47 5.4% 0.27x +4.15% -3.73%
Utilities 992 868 / 124 15 1.7% 0.08x +2.91% -3.69%

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