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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

2026-09-03 · 60D window · 10D outcome

twelvedata 11523 checked / 15041 total Boom = max runup ≥ +10% Validation: last 20D

Baseline boom rate 18%
Boom count 2077
Avg max runup +6.25%
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 4529 3567 / 962 411 11.5% 0.64x +4.98% -5.03%
Grade F 10512 7956 / 2556 1666 20.9% 1.16x +6.82% -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 125

Combination Total Checked / Pending Boom rate Lift Train lift Validation Avg runup Avg drawdown
Best 5D momentum v2 >= 30 + Technical >= 16 + Dollar volume >= $1B 126 102 / 24 17.6% 0.98x 0.98x 18.2% · 11 checked +5.32% -7.35%
5D momentum v2 >= 30 + Dollar volume >= $1B 126 102 / 24 17.6% 0.98x 0.98x 18.2% · 11 checked +5.32% -7.35%
5D momentum v2 >= 30 + Dollar volume >= $1B + Risk not High 126 102 / 24 17.6% 0.98x 0.98x 18.2% · 11 checked +5.32% -7.35%
Money flow >= 14 + Technical >= 16 + Dollar volume >= $5B 75 59 / 16 11.9% 0.66x 0.59x 16.7% · 12 checked +5.28% -7.55%
Money flow >= 14 + Technical >= 16 + Dollar volume >= $1B 552 422 / 130 14.7% 0.82x 0.8x 16.2% · 68 checked +5.15% -5.82%
Money flow >= 14 + Dollar volume >= $1B 555 425 / 130 14.6% 0.81x 0.8x 15.7% · 70 checked +5.15% -5.80%
Money flow >= 14 + Dollar volume >= $1B + Risk not High 555 425 / 130 14.6% 0.81x 0.8x 15.7% · 70 checked +5.15% -5.80%
Money flow >= 14 + Technical >= 20 + Dollar volume >= $1B 375 270 / 105 14.1% 0.78x 0.77x 15.4% · 39 checked +5.08% -6.03%
Money flow >= 14 + Dollar volume >= $5B 76 60 / 16 11.7% 0.65x 0.59x 15.4% · 13 checked +5.25% -7.48%
Money flow >= 14 + Dollar volume >= $5B + Risk not High 76 60 / 16 11.7% 0.65x 0.59x 15.4% · 13 checked +5.25% -7.48%
Money flow >= 12 + Technical >= 16 + Dollar volume >= $1B 961 743 / 218 14.8% 0.82x 0.83x 13.8% · 138 checked +5.50% -6.11%
Money flow >= 12 + Dollar volume >= $1B + Risk not High 969 750 / 219 14.8% 0.82x 0.84x 13.7% · 139 checked +5.52% -6.10%
Money flow >= 12 + Dollar volume >= $1B 970 751 / 219 14.8% 0.82x 0.84x 13.6% · 140 checked +5.51% -6.12%
Money flow >= 14 + Technical >= 16 + Dollar volume >= $250M 2182 1682 / 500 13.7% 0.76x 0.77x 13% · 238 checked +5.49% -4.94%
Money flow >= 14 + Dollar volume >= $250M 2188 1686 / 502 13.6% 0.76x 0.77x 12.9% · 240 checked +5.49% -4.94%

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 126 102 / 24 18 17.6% 0.98x 18.2% · 11 checked +5.32% -7.35%
5D momentum v2 >= 30 313 272 / 41 38 14% 0.78x 9.5% · 21 checked +5.19% -6.61%
Technical >= 20 + money flow >= 12 3718 2898 / 820 340 11.7% 0.65x 8.2% · 319 checked +5.23% -4.82%
Money flow >= 14 + momentum v2 >= 30 171 140 / 31 13 9.3% 0.52x 7.7% · 13 checked +4.39% -6.84%

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 14610 11160 / 3450 2036 18.2% 1.01x +6.30% -4.82%
Score 90-109 413 345 / 68 39 11.3% 0.63x +4.86% -6.07%

5D momentum v2 bucket

Bucket Total Checked / Pending Boom Boom rate Lift Avg runup Avg drawdown
5D momentum v2 >= 40 75 61 / 14 12 19.7% 1.09x +5.58% -5.66%
5D momentum v2 < 20 13969 10602 / 3367 1970 18.6% 1.03x +6.36% -4.76%
5D momentum v2 30-39 238 211 / 27 26 12.3% 0.68x +5.08% -6.88%
5D momentum v2 20-29 759 649 / 110 69 10.6% 0.59x +4.99% -5.68%

Dollar volume bucket

Bucket Total Checked / Pending Boom Boom rate Lift Avg runup Avg drawdown
Dollar volume >= $5B 460 356 / 104 112 31.5% 1.75x +8.46% -9.05%
Dollar volume $1B-$5B 2148 1696 / 452 391 23.1% 1.28x +7.16% -6.29%
Dollar volume $250M-$1B 7320 5716 / 1604 969 17% 0.94x +6.11% -4.57%
Dollar volume < $250M 5113 3755 / 1358 605 16.1% 0.89x +5.85% -4.25%

Risk level

Bucket Total Checked / Pending Boom Boom rate Lift Avg runup Avg drawdown
High 622 532 / 90 168 31.6% 1.76x +9.89% -8.09%
Elevated 4848 4040 / 808 1130 28% 1.56x +7.96% -6.04%
Medium 9284 6793 / 2491 779 11.5% 0.64x +5.03% -3.93%
Low 287 158 / 129 0 0% 0x +2.80% -3.37%

Sector

Bucket Total Checked / Pending Boom Boom rate Lift Avg runup Avg drawdown
Information Technology 2214 1696 / 518 619 36.5% 2.03x +9.72% -8.39%
Energy 630 483 / 147 113 23.4% 1.3x +6.84% -3.50%
Materials 780 598 / 182 130 21.7% 1.21x +6.58% -4.26%
Communication Services 664 503 / 161 103 20.5% 1.14x +6.61% -4.88%
Consumer Discretionary 1410 1081 / 329 207 19.1% 1.06x +6.26% -4.69%
Health Care 1769 1356 / 413 241 17.8% 0.99x +7.00% -4.10%
Industrials 2398 1838 / 560 320 17.4% 0.97x +5.76% -5.08%
Consumer Staples 1048 803 / 245 95 11.8% 0.66x +5.52% -4.05%
Financials 2278 1746 / 532 196 11.2% 0.62x +5.11% -3.44%
Real Estate 920 706 / 214 41 5.8% 0.32x +4.10% -3.83%
Utilities 930 713 / 217 12 1.7% 0.09x +2.63% -4.37%

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