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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

2026-08-27 · 60D window · 10D outcome

twelvedata 12035 checked / 15547 total Boom = max runup ≥ +10% Validation: last 20D

Baseline boom rate 18.9%
Boom count 2269
Avg max runup +6.37%
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 4857 3904 / 953 435 11.1% 0.59x +4.97% -5.00%
Grade F 10690 8131 / 2559 1834 22.6% 1.2x +7.05% -4.79%

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 105

Combination Total Checked / Pending Boom rate Lift Train lift Validation Avg runup Avg drawdown
Best Dollar volume >= $5B 496 392 / 104 31.9% 1.69x 1.67x 42.9% · 14 checked +8.46% -9.96%
Dollar volume >= $5B + Risk not High 496 392 / 104 31.9% 1.69x 1.67x 42.9% · 14 checked +8.46% -9.96%
Dollar volume >= $1B 2777 2216 / 561 25.2% 1.33x 1.33x 27.6% · 76 checked +7.47% -6.92%
Dollar volume >= $1B + Risk not High 2756 2199 / 557 24.9% 1.32x 1.31x 27.6% · 76 checked +7.43% -6.90%
Money flow >= 14 + Dollar volume >= $1B 587 437 / 150 14.4% 0.76x 0.74x 23.1% · 26 checked +5.20% -6.46%
Money flow >= 14 + Technical >= 16 + Dollar volume >= $1B 584 436 / 148 14.4% 0.76x 0.74x 23.1% · 26 checked +5.19% -6.48%
Money flow >= 14 + Dollar volume >= $1B + Risk not High 586 436 / 150 14.2% 0.75x 0.72x 23.1% · 26 checked +5.17% -6.47%
Technical >= 16 + Dollar volume >= $1B 1832 1429 / 403 19% 1.01x 0.99x 22.6% · 62 checked +6.03% -6.61%
Technical >= 16 + Dollar volume >= $1B + Risk not High 1825 1424 / 401 18.8% 0.99x 0.98x 22.6% · 62 checked +6.01% -6.60%
Money flow >= 12 + Dollar volume >= $1B 1018 748 / 270 14.4% 0.76x 0.75x 20.5% · 39 checked +5.39% -6.56%
Money flow >= 12 + Technical >= 16 + Dollar volume >= $1B 1010 742 / 268 14.4% 0.76x 0.75x 20.5% · 39 checked +5.37% -6.56%
Money flow >= 12 + Dollar volume >= $1B + Risk not High 1016 747 / 269 14.3% 0.76x 0.74x 20.5% · 39 checked +5.38% -6.56%
Money flow >= 14 + Technical >= 20 + Dollar volume >= $1B 400 293 / 107 13.7% 0.72x 0.71x 18.8% · 16 checked +4.94% -6.96%
Technical >= 20 + Dollar volume >= $1B 822 642 / 180 15% 0.79x 0.79x 16.1% · 31 checked +5.40% -6.59%
Technical >= 20 + Dollar volume >= $1B + Risk not High 819 641 / 178 15% 0.79x 0.79x 16.1% · 31 checked +5.41% -6.58%

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 134 110 / 24 18 16.4% 0.87x 16.7% · 6 checked +5.16% -8.21%
5D momentum v2 >= 30 366 319 / 47 41 12.9% 0.68x 7.1% · 14 checked +5.17% -6.89%
Technical >= 20 + money flow >= 12 4050 3200 / 850 353 11% 0.58x 9.5% · 137 checked +5.03% -4.99%
Money flow >= 14 + momentum v2 >= 30 202 169 / 33 16 9.5% 0.5x 8.3% · 12 checked +4.43% -7.32%

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 15050 11618 / 3432 2227 19.2% 1.02x +6.43% -4.81%
Score 90-109 479 399 / 80 40 10% 0.53x +4.72% -6.32%

5D momentum v2 bucket

Bucket Total Checked / Pending Boom Boom rate Lift Avg runup Avg drawdown
5D momentum v2 >= 40 71 60 / 11 12 20% 1.06x +5.74% -5.42%
5D momentum v2 < 20 14220 10900 / 3320 2142 19.7% 1.04x +6.51% -4.75%
5D momentum v2 30-39 295 259 / 36 29 11.2% 0.59x +5.04% -7.23%
5D momentum v2 20-29 961 816 / 145 86 10.5% 0.56x +4.99% -5.54%

Dollar volume bucket

Bucket Total Checked / Pending Boom Boom rate Lift Avg runup Avg drawdown
Dollar volume >= $5B 496 392 / 104 125 31.9% 1.69x +8.46% -9.96%
Dollar volume $1B-$5B 2281 1824 / 457 433 23.7% 1.25x +7.25% -6.27%
Dollar volume $250M-$1B 7643 6052 / 1591 1082 17.9% 0.95x +6.23% -4.49%
Dollar volume < $250M 5127 3767 / 1360 629 16.7% 0.88x +5.96% -4.24%

Risk level

Bucket Total Checked / Pending Boom Boom rate Lift Avg runup Avg drawdown
High 713 574 / 139 191 33.3% 1.76x +9.42% -8.41%
Elevated 5229 4271 / 958 1221 28.6% 1.51x +7.98% -6.12%
Medium 9346 7021 / 2325 857 12.2% 0.65x +5.23% -3.84%
Low 259 169 / 90 0 0% 0x +3.01% -3.19%

Sector

Bucket Total Checked / Pending Boom Boom rate Lift Avg runup Avg drawdown
Information Technology 2287 1769 / 518 657 37.1% 1.96x +9.79% -8.64%
Energy 651 504 / 147 136 27% 1.43x +7.34% -3.31%
Communication Services 688 530 / 158 122 23% 1.22x +6.74% -5.09%
Materials 806 624 / 182 130 20.8% 1.1x +6.31% -4.44%
Consumer Discretionary 1457 1128 / 329 212 18.8% 0.99x +6.21% -4.72%
Health Care 1827 1414 / 413 252 17.8% 0.94x +6.81% -4.33%
Industrials 2478 1918 / 560 337 17.6% 0.93x +5.95% -4.91%
Financials 2354 1822 / 532 273 15% 0.79x +5.73% -3.30%
Consumer Staples 1083 839 / 244 96 11.4% 0.6x +5.42% -4.03%
Real Estate 955 743 / 212 39 5.2% 0.28x +4.06% -3.88%
Utilities 961 744 / 217 15 2% 0.11x +2.85% -3.89%

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