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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

2026-08-24 · 60D window · 10D outcome

twelvedata 13040 checked / 15556 total Boom = max runup ≥ +10% Validation: last 20D

Baseline boom rate 19.1%
Boom count 2496
Avg max runup +6.36%
Avg drawdown -4.83%

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 4861 4213 / 648 459 10.9% 0.57x +4.91% -5.01%
Grade F 10695 8827 / 1868 2037 23.1% 1.21x +7.06% -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 162

Combination Total Checked / Pending Boom rate Lift Train lift Validation Avg runup Avg drawdown
Best 5D momentum v2 >= 40 + Dollar volume >= $250M + Risk not High 73 64 / 9 21.9% 1.15x 0.97x 40% · 10 checked +5.75% -5.44%
5D momentum v2 >= 40 + Technical >= 16 + Risk not High 75 66 / 9 21.2% 1.11x 0.94x 40% · 10 checked +5.67% -5.44%
5D momentum v2 >= 40 + Technical >= 20 + Risk not High 75 66 / 9 21.2% 1.11x 0.94x 40% · 10 checked +5.67% -5.44%
5D momentum v2 >= 40 + Risk not High 75 66 / 9 21.2% 1.11x 0.94x 40% · 10 checked +5.67% -5.44%
5D momentum v2 >= 40 + Money flow >= 12 + Dollar volume >= $250M 56 49 / 7 22.4% 1.17x 0.94x 40% · 10 checked +5.45% -5.36%
5D momentum v2 >= 40 + Money flow >= 12 58 51 / 7 21.6% 1.13x 0.9x 40% · 10 checked +5.37% -5.36%
5D momentum v2 >= 40 + Money flow >= 12 + Technical >= 16 58 51 / 7 21.6% 1.13x 0.9x 40% · 10 checked +5.37% -5.36%
5D momentum v2 >= 40 + Money flow >= 12 + Technical >= 20 58 51 / 7 21.6% 1.13x 0.9x 40% · 10 checked +5.37% -5.36%
5D momentum v2 >= 40 + Technical >= 16 + Dollar volume >= $250M 74 65 / 9 21.5% 1.13x 0.97x 36.4% · 11 checked +5.73% -5.46%
5D momentum v2 >= 40 + Technical >= 20 + Dollar volume >= $250M 74 65 / 9 21.5% 1.13x 0.97x 36.4% · 11 checked +5.73% -5.46%
5D momentum v2 >= 40 + Dollar volume >= $250M 74 65 / 9 21.5% 1.13x 0.97x 36.4% · 11 checked +5.73% -5.46%
5D momentum v2 >= 40 76 67 / 9 20.9% 1.09x 0.94x 36.4% · 11 checked +5.66% -5.46%
5D momentum v2 >= 40 + Technical >= 16 76 67 / 9 20.9% 1.09x 0.94x 36.4% · 11 checked +5.66% -5.46%
5D momentum v2 >= 40 + Technical >= 20 76 67 / 9 20.9% 1.09x 0.94x 36.4% · 11 checked +5.66% -5.46%
5D momentum v2 >= 30 + Technical >= 16 + Dollar volume >= $1B 160 139 / 21 14.4% 0.75x 0.59x 30.4% · 23 checked +4.99% -7.91%

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 160 139 / 21 20 14.4% 0.75x 30.4% · 23 checked +4.99% -7.91%
5D momentum v2 >= 30 424 386 / 38 48 12.4% 0.65x 16.7% · 54 checked +5.04% -6.65%
Technical >= 20 + money flow >= 12 4081 3494 / 587 387 11.1% 0.58x 14.1% · 468 checked +5.00% -5.04%
Money flow >= 14 + momentum v2 >= 30 229 204 / 25 21 10.3% 0.54x 12.9% · 31 checked +4.42% -7.10%

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 15008 12557 / 2451 2449 19.5% 1.02x +6.43% -4.78%
Score 90-109 529 464 / 65 45 9.7% 0.51x +4.62% -6.18%

5D momentum v2 bucket

Bucket Total Checked / Pending Boom Boom rate Lift Avg runup Avg drawdown
5D momentum v2 >= 40 76 67 / 9 14 20.9% 1.09x +5.66% -5.46%
5D momentum v2 < 20 14055 11697 / 2358 2346 20.1% 1.05x +6.53% -4.72%
5D momentum v2 20-29 1077 957 / 120 102 10.7% 0.56x +4.94% -5.44%
5D momentum v2 30-39 348 319 / 29 34 10.7% 0.56x +4.91% -6.90%

Dollar volume bucket

Bucket Total Checked / Pending Boom Boom rate Lift Avg runup Avg drawdown
Dollar volume >= $5B 525 449 / 76 152 33.9% 1.77x +8.66% -9.93%
Dollar volume $1B-$5B 2391 2056 / 335 490 23.8% 1.25x +7.17% -6.13%
Dollar volume $250M-$1B 7708 6563 / 1145 1183 18% 0.94x +6.20% -4.47%
Dollar volume < $250M 4932 3972 / 960 671 16.9% 0.88x +5.96% -4.18%

Risk level

Bucket Total Checked / Pending Boom Boom rate Lift Avg runup Avg drawdown
High 736 626 / 110 214 34.2% 1.79x +9.43% -8.31%
Elevated 5348 4608 / 740 1347 29.2% 1.53x +7.98% -6.14%
Medium 9207 7597 / 1610 933 12.3% 0.64x +5.22% -3.80%
Low 265 209 / 56 2 1% 0.05x +3.06% -3.04%

Sector

Bucket Total Checked / Pending Boom Boom rate Lift Avg runup Avg drawdown
Information Technology 2287 1917 / 370 729 38% 1.99x +9.75% -8.63%
Energy 651 546 / 105 145 26.6% 1.39x +7.23% -3.40%
Communication Services 692 576 / 116 145 25.2% 1.32x +6.97% -5.01%
Materials 806 676 / 130 135 20% 1.05x +6.09% -4.60%
Consumer Discretionary 1457 1222 / 235 225 18.4% 0.96x +6.11% -4.77%
Health Care 1827 1532 / 295 276 18% 0.94x +6.81% -4.19%
Industrials 2478 2078 / 400 357 17.2% 0.9x +5.89% -4.91%
Financials 2354 1974 / 380 332 16.8% 0.88x +5.97% -3.20%
Consumer Staples 1083 909 / 174 98 10.8% 0.57x +5.33% -4.04%
Real Estate 960 804 / 156 39 4.9% 0.26x +4.00% -3.85%
Utilities 961 806 / 155 15 1.9% 0.1x +2.78% -3.85%

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