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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

2026-09-01 · 60D window · 10D outcome

twelvedata 11023 checked / 14538 total Boom = max runup ≥ +10% Validation: last 20D

Baseline boom rate 18.6%
Boom count 2050
Avg max runup +6.37%
Avg drawdown -4.84%

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 4417 3420 / 997 403 11.8% 0.63x +5.02% -5.04%
Grade F 10121 7603 / 2518 1647 21.7% 1.17x +6.98% -4.76%

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 85

Combination Total Checked / Pending Boom rate Lift Train lift Validation Avg runup Avg drawdown
Best Money flow >= 14 + Technical >= 16 + Dollar volume >= $1B 540 394 / 146 15% 0.81x 0.77x 20% · 40 checked +5.12% -5.83%
Money flow >= 14 + Dollar volume >= $1B 543 396 / 147 14.9% 0.8x 0.77x 19.5% · 41 checked +5.12% -5.81%
Money flow >= 14 + Dollar volume >= $1B + Risk not High 543 396 / 147 14.9% 0.8x 0.77x 19.5% · 41 checked +5.12% -5.81%
Money flow >= 14 + Technical >= 20 + Dollar volume >= $1B 366 252 / 114 14.3% 0.77x 0.75x 19% · 21 checked +5.01% -6.02%
Money flow >= 14 + Technical >= 16 + Dollar volume >= $250M 2146 1599 / 547 14.1% 0.76x 0.74x 16.8% · 155 checked +5.54% -4.93%
Money flow >= 14 + Dollar volume >= $250M 2152 1602 / 550 14% 0.75x 0.74x 16.7% · 156 checked +5.53% -4.93%
Money flow >= 14 + Technical >= 20 + Dollar volume >= $250M 1475 1067 / 408 12.9% 0.69x 0.68x 16% · 94 checked +5.38% -5.04%
Money flow >= 14 + Dollar volume >= $250M + Risk not High 2115 1571 / 544 13.6% 0.73x 0.72x 15.8% · 146 checked +5.24% -4.92%
Money flow >= 12 + Dollar volume >= $250M 3871 2991 / 880 14.8% 0.8x 0.8x 14.3% · 293 checked +5.66% -4.94%
Money flow >= 12 + Technical >= 16 + Dollar volume >= $5B 144 107 / 37 14% 0.75x 0.75x 14.3% · 14 checked +5.51% -7.82%
Money flow >= 12 + Dollar volume >= $5B 146 108 / 38 13.9% 0.75x 0.74x 14.3% · 14 checked +5.53% -7.85%
Money flow >= 12 + Dollar volume >= $5B + Risk not High 146 108 / 38 13.9% 0.75x 0.74x 14.3% · 14 checked +5.53% -7.85%
Money flow >= 12 + Technical >= 16 + Dollar volume >= $250M 3847 2976 / 871 14.8% 0.8x 0.8x 14.1% · 290 checked +5.65% -4.94%
Money flow >= 12 + Dollar volume >= $1B + Risk not High 947 704 / 243 14.9% 0.8x 0.81x 14% · 93 checked +5.51% -6.14%
Money flow >= 12 + Technical >= 16 + Dollar volume >= $1B 939 698 / 241 14.9% 0.8x 0.81x 14% · 93 checked +5.48% -6.15%

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 123 95 / 28 16 16.8% 0.9x 0% · 4 checked +5.20% -7.32%
5D momentum v2 >= 30 307 259 / 48 36 13.9% 0.75x 0% · 8 checked +5.19% -6.63%
Technical >= 20 + money flow >= 12 3642 2792 / 850 334 12% 0.65x 9.4% · 213 checked +5.27% -4.83%
Money flow >= 14 + momentum v2 >= 30 168 132 / 36 12 9.1% 0.49x 0% · 5 checked +4.33% -6.76%

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 14114 10685 / 3429 2012 18.8% 1.01x +6.42% -4.81%
Score 90-109 406 320 / 86 36 11.3% 0.61x +4.91% -6.08%

5D momentum v2 bucket

Bucket Total Checked / Pending Boom Boom rate Lift Avg runup Avg drawdown
5D momentum v2 < 20 13481 10153 / 3328 1948 19.2% 1.03x +6.48% -4.74%
5D momentum v2 >= 40 73 58 / 15 11 19% 1.02x +5.77% -5.37%
5D momentum v2 30-39 234 201 / 33 25 12.4% 0.67x +5.02% -7.00%
5D momentum v2 20-29 750 611 / 139 66 10.8% 0.58x +5.07% -5.77%

Dollar volume bucket

Bucket Total Checked / Pending Boom Boom rate Lift Avg runup Avg drawdown
Dollar volume >= $5B 445 340 / 105 112 32.9% 1.77x +8.68% -9.16%
Dollar volume $1B-$5B 2090 1619 / 471 381 23.5% 1.26x +7.26% -6.30%
Dollar volume $250M-$1B 7096 5487 / 1609 957 17.4% 0.94x +6.22% -4.55%
Dollar volume < $250M 4907 3577 / 1330 600 16.8% 0.9x +6.00% -4.23%

Risk level

Bucket Total Checked / Pending Boom Boom rate Lift Avg runup Avg drawdown
High 615 513 / 102 167 32.6% 1.75x +10.13% -8.11%
Elevated 4727 3892 / 835 1114 28.6% 1.54x +8.07% -6.02%
Medium 8927 6470 / 2457 769 11.9% 0.64x +5.14% -3.91%
Low 269 148 / 121 0 0% 0x +2.91% -3.31%

Sector

Bucket Total Checked / Pending Boom Boom rate Lift Avg runup Avg drawdown
Information Technology 2140 1622 / 518 606 37.4% 2.01x +9.89% -8.43%
Energy 609 462 / 147 112 24.2% 1.3x +6.93% -3.47%
Materials 754 572 / 182 126 22% 1.18x +6.62% -4.26%
Communication Services 641 481 / 160 103 21.4% 1.15x +6.73% -4.94%
Consumer Discretionary 1363 1034 / 329 206 19.9% 1.07x +6.43% -4.63%
Health Care 1710 1297 / 413 239 18.4% 0.99x +7.18% -4.10%
Industrials 2318 1758 / 560 319 18.1% 0.97x +5.93% -5.00%
Consumer Staples 1013 768 / 245 93 12.1% 0.65x +5.60% -4.02%
Financials 2202 1670 / 532 193 11.6% 0.62x +5.19% -3.48%
Real Estate 889 677 / 212 41 6.1% 0.33x +4.18% -3.82%
Utilities 899 682 / 217 12 1.8% 0.1x +2.70% -4.30%

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