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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

2026-08-31 · 60D window · 10D outcome

twelvedata 11026 checked / 15043 total Boom = max runup ≥ +10% Validation: last 20D

Baseline boom rate 18.7%
Boom count 2060
Avg max runup +6.37%
Avg drawdown -4.90%

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 4582 3493 / 1089 403 11.5% 0.61x +4.98% -5.06%
Grade F 10461 7533 / 2928 1657 22% 1.18x +7.02% -4.83%

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 74

Combination Total Checked / Pending Boom rate Lift Train lift Validation Avg runup Avg drawdown
Best Money flow >= 14 + Technical >= 20 + Dollar volume >= $1B 377 253 / 124 13.4% 0.72x 0.71x 18.2% · 11 checked +4.96% -6.12%
Money flow >= 14 + Dollar volume >= $250M 2224 1603 / 621 13.4% 0.72x 0.72x 14.3% · 84 checked +5.38% -5.03%
Money flow >= 14 + Technical >= 16 + Dollar volume >= $250M 2218 1601 / 617 13.4% 0.72x 0.72x 14.3% · 84 checked +5.38% -5.04%
Money flow >= 14 + Technical >= 20 + Risk not High 2163 1537 / 626 10.1% 0.54x 0.53x 13.2% · 68 checked +4.86% -4.99%
Money flow >= 14 + Dollar volume >= $250M + Risk not High 2186 1574 / 612 12.9% 0.69x 0.69x 13% · 77 checked +5.19% -4.97%
Money flow >= 14 + Technical >= 20 + Dollar volume >= $250M 1529 1082 / 447 12.3% 0.66x 0.66x 13% · 54 checked +5.17% -5.17%
Money flow >= 14 3242 2346 / 896 12.2% 0.65x 0.65x 12.7% · 118 checked +5.22% -4.93%
Money flow >= 14 + Technical >= 16 3231 2343 / 888 12.2% 0.65x 0.65x 12.7% · 118 checked +5.22% -4.94%
Money flow >= 14 + Technical >= 20 2191 1560 / 631 10.5% 0.56x 0.56x 12.7% · 71 checked +4.94% -5.03%
Money flow >= 12 + Dollar volume >= $250M 4001 2981 / 1020 14.3% 0.76x 0.77x 12.5% · 152 checked +5.53% -4.99%
Money flow >= 12 + Technical >= 16 + Dollar volume >= $250M 3977 2969 / 1008 14.3% 0.76x 0.77x 12.5% · 152 checked +5.53% -4.99%
Money flow >= 12 + Dollar volume >= $250M + Risk not High 3935 2932 / 1003 13.9% 0.74x 0.75x 11.9% · 143 checked +5.41% -4.93%
Money flow >= 14 + Risk not High 3188 2304 / 884 11.7% 0.63x 0.63x 11.9% · 109 checked +5.08% -4.88%
Money flow >= 14 + Technical >= 16 + Risk not High 3179 2302 / 877 11.7% 0.63x 0.63x 11.9% · 109 checked +5.08% -4.88%
Money flow >= 12 5982 4469 / 1513 13.4% 0.72x 0.72x 11.1% · 217 checked +5.44% -4.86%

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 127 99 / 28 16 16.2% 0.87x 0% · 4 checked +5.18% -7.52%
5D momentum v2 >= 30 334 285 / 49 36 12.6% 0.67x 0% · 7 checked +5.03% -6.71%
Technical >= 20 + money flow >= 12 3812 2869 / 943 331 11.5% 0.61x 9.2% · 120 checked +5.12% -4.91%
Money flow >= 14 + momentum v2 >= 30 184 148 / 36 12 8.1% 0.43x 0% · 5 checked +4.18% -6.85%

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 14573 10647 / 3926 2022 19% 1.02x +6.43% -4.86%
Score 90-109 452 361 / 91 36 10% 0.53x +4.70% -6.13%

5D momentum v2 bucket

Bucket Total Checked / Pending Boom Boom rate Lift Avg runup Avg drawdown
5D momentum v2 < 20 13860 10046 / 3814 1953 19.4% 1.04x +6.51% -4.79%
5D momentum v2 >= 40 74 59 / 15 11 18.6% 0.99x +5.66% -5.43%
5D momentum v2 30-39 260 226 / 34 25 11.1% 0.59x +4.87% -7.05%
5D momentum v2 20-29 849 695 / 154 71 10.2% 0.55x +4.93% -5.70%

Dollar volume bucket

Bucket Total Checked / Pending Boom Boom rate Lift Avg runup Avg drawdown
Dollar volume >= $5B 464 346 / 118 115 33.2% 1.78x +8.75% -9.37%
Dollar volume $1B-$5B 2169 1628 / 541 384 23.6% 1.26x +7.29% -6.39%
Dollar volume $250M-$1B 7341 5509 / 1832 964 17.5% 0.94x +6.20% -4.58%
Dollar volume < $250M 5069 3543 / 1526 597 16.9% 0.9x +5.99% -4.28%

Risk level

Bucket Total Checked / Pending Boom Boom rate Lift Avg runup Avg drawdown
High 641 516 / 125 167 32.4% 1.73x +9.78% -8.38%
Elevated 4894 3896 / 998 1116 28.6% 1.53x +8.08% -6.10%
Medium 9225 6462 / 2763 777 12% 0.64x +5.16% -3.94%
Low 283 152 / 131 0 0% 0x +2.91% -3.30%

Sector

Bucket Total Checked / Pending Boom Boom rate Lift Avg runup Avg drawdown
Information Technology 2213 1621 / 592 607 37.4% 2x +9.98% -8.53%
Energy 630 462 / 168 120 26% 1.39x +7.15% -3.35%
Materials 780 572 / 208 125 21.9% 1.17x +6.45% -4.40%
Communication Services 665 483 / 182 106 21.9% 1.17x +6.72% -5.08%
Consumer Discretionary 1410 1034 / 376 205 19.8% 1.06x +6.37% -4.66%
Industrials 2398 1758 / 640 319 18.1% 0.97x +5.98% -4.97%
Health Care 1769 1297 / 472 232 17.9% 0.96x +6.97% -4.35%
Consumer Staples 1048 768 / 280 93 12.1% 0.65x +5.52% -4.08%
Financials 2278 1670 / 608 199 11.9% 0.64x +5.28% -3.50%
Real Estate 922 679 / 243 40 5.9% 0.32x +4.15% -3.88%
Utilities 930 682 / 248 14 2.1% 0.11x +2.74% -4.19%

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