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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

2026-08-25 · 60D window · 10D outcome

twelvedata 12538 checked / 15554 total Boom = max runup ≥ +10% Validation: last 20D

Baseline boom rate 18.9%
Boom count 2373
Avg max runup +6.36%
Avg drawdown -4.85%

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 4848 4045 / 803 444 11% 0.58x +4.94% -4.99%
Grade F 10706 8493 / 2213 1929 22.7% 1.2x +7.04% -4.78%

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 122

Combination Total Checked / Pending Boom rate Lift Train lift Validation Avg runup Avg drawdown
Best Dollar volume >= $5B 517 427 / 90 33.7% 1.78x 1.79x 33.3% · 30 checked +8.64% -9.82%
Dollar volume >= $5B + Risk not High 517 427 / 90 33.7% 1.78x 1.79x 33.3% · 30 checked +8.64% -9.82%
Technical >= 16 + Dollar volume >= $5B 305 244 / 61 22.5% 1.19x 1.16x 30% · 20 checked +6.32% -10.53%
Technical >= 16 + Dollar volume >= $5B + Risk not High 305 244 / 61 22.5% 1.19x 1.16x 30% · 20 checked +6.32% -10.53%
Dollar volume >= $1B 2890 2404 / 486 25.5% 1.35x 1.33x 28.6% · 168 checked +7.47% -6.77%
Dollar volume >= $1B + Risk not High 2869 2386 / 483 25.2% 1.33x 1.32x 28.3% · 166 checked +7.44% -6.75%
Technical >= 16 + Dollar volume >= $1B 1915 1560 / 355 19.4% 1.03x 0.98x 27.1% · 133 checked +6.11% -6.51%
Technical >= 16 + Dollar volume >= $1B + Risk not High 1908 1555 / 353 19.2% 1.02x 0.97x 27.1% · 133 checked +6.09% -6.51%
Technical >= 20 + Dollar volume >= $1B 877 721 / 156 15.3% 0.81x 0.76x 24.6% · 65 checked +5.51% -6.44%
Technical >= 20 + Dollar volume >= $1B + Risk not High 874 720 / 154 15.3% 0.81x 0.76x 24.6% · 65 checked +5.52% -6.43%
Money flow >= 12 + Dollar volume >= $1B 1053 813 / 240 15.3% 0.81x 0.76x 23.5% · 81 checked +5.53% -6.47%
Money flow >= 12 + Technical >= 16 + Dollar volume >= $1B 1045 807 / 238 15.2% 0.8x 0.76x 23.5% · 81 checked +5.51% -6.46%
Money flow >= 12 + Dollar volume >= $1B + Risk not High 1051 812 / 239 15.1% 0.8x 0.75x 23.5% · 81 checked +5.52% -6.47%
Money flow >= 12 + Technical >= 20 + Dollar volume >= $1B 667 531 / 136 14.3% 0.76x 0.71x 22.9% · 48 checked +5.44% -6.51%
Money flow >= 14 + Technical >= 20 + Dollar volume >= $1B 422 325 / 97 14.5% 0.77x 0.71x 22.2% · 36 checked +5.09% -6.85%

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 152 128 / 24 18 14.1% 0.75x 9.1% · 11 checked +4.96% -7.60%
5D momentum v2 >= 30 411 365 / 46 45 12.3% 0.65x 7.1% · 28 checked +5.07% -6.48%
Technical >= 20 + money flow >= 12 4084 3361 / 723 372 11.1% 0.59x 14.3% · 301 checked +5.02% -4.99%
Money flow >= 14 + momentum v2 >= 30 223 191 / 32 18 9.4% 0.5x 9.5% · 21 checked +4.34% -6.94%

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 15017 12076 / 2941 2329 19.3% 1.02x +6.43% -4.80%
Score 90-109 518 443 / 75 42 9.5% 0.5x +4.65% -6.05%

5D momentum v2 bucket

Bucket Total Checked / Pending Boom Boom rate Lift Avg runup Avg drawdown
5D momentum v2 < 20 14124 11289 / 2835 2230 19.8% 1.05x +6.51% -4.75%
5D momentum v2 >= 40 74 63 / 11 12 19% 1.01x +5.61% -5.37%
5D momentum v2 20-29 1019 884 / 135 98 11.1% 0.59x +5.06% -5.42%
5D momentum v2 30-39 337 302 / 35 33 10.9% 0.58x +4.96% -6.71%

Dollar volume bucket

Bucket Total Checked / Pending Boom Boom rate Lift Avg runup Avg drawdown
Dollar volume >= $5B 517 427 / 90 144 33.7% 1.78x +8.64% -9.82%
Dollar volume $1B-$5B 2373 1977 / 396 468 23.7% 1.25x +7.22% -6.12%
Dollar volume $250M-$1B 7684 6302 / 1382 1123 17.8% 0.94x +6.20% -4.48%
Dollar volume < $250M 4980 3832 / 1148 638 16.6% 0.88x +5.93% -4.24%

Risk level

Bucket Total Checked / Pending Boom Boom rate Lift Avg runup Avg drawdown
High 720 595 / 125 201 33.8% 1.79x +9.45% -8.35%
Elevated 5288 4433 / 855 1286 29% 1.53x +7.99% -6.12%
Medium 9273 7307 / 1966 886 12.1% 0.64x +5.22% -3.84%
Low 273 203 / 70 0 0% 0x +2.97% -3.10%

Sector

Bucket Total Checked / Pending Boom Boom rate Lift Avg runup Avg drawdown
Information Technology 2287 1843 / 444 696 37.8% 2x +9.82% -8.58%
Energy 651 525 / 126 141 26.9% 1.42x +7.32% -3.35%
Communication Services 691 553 / 138 133 24.1% 1.28x +6.83% -5.06%
Materials 806 650 / 156 132 20.3% 1.07x +6.20% -4.52%
Consumer Discretionary 1457 1175 / 282 217 18.5% 0.98x +6.14% -4.76%
Health Care 1827 1473 / 354 259 17.6% 0.93x +6.77% -4.28%
Industrials 2478 1998 / 480 347 17.4% 0.92x +5.93% -4.90%
Financials 2354 1898 / 456 297 15.6% 0.83x +5.83% -3.26%
Consumer Staples 1083 874 / 209 97 11.1% 0.59x +5.35% -4.06%
Real Estate 959 774 / 185 39 5% 0.26x +3.99% -3.94%
Utilities 961 775 / 186 15 1.9% 0.1x +2.79% -3.89%

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