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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

2026-09-04 · 60D window · 10D outcome

twelvedata 12023 checked / 15039 total Boom = max runup ≥ +10% Validation: last 20D

Baseline boom rate 17.4%
Boom count 2098
Avg max runup +6.14%
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 4572 3746 / 826 421 11.2% 0.64x +4.92% -5.04%
Grade F 10467 8277 / 2190 1677 20.3% 1.17x +6.69% -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 141

Combination Total Checked / Pending Boom rate Lift Train lift Validation Avg runup Avg drawdown
Best 5D momentum v2 >= 30 + Technical >= 20 + Dollar volume >= $1B 117 100 / 17 19% 1.09x 1.03x 25% · 16 checked +5.69% -7.09%
5D momentum v2 >= 30 + Money flow >= 14 + Dollar volume >= $1B 69 54 / 15 13% 0.75x 0.55x 25% · 12 checked +4.47% -7.92%
5D momentum v2 >= 30 + Technical >= 16 + Dollar volume >= $1B 126 109 / 17 18.3% 1.05x 1.01x 22.2% · 18 checked +5.47% -7.33%
5D momentum v2 >= 30 + Dollar volume >= $1B 126 109 / 17 18.3% 1.05x 1.01x 22.2% · 18 checked +5.47% -7.33%
5D momentum v2 >= 30 + Dollar volume >= $1B + Risk not High 126 109 / 17 18.3% 1.05x 1.01x 22.2% · 18 checked +5.47% -7.33%
Money flow >= 14 + Technical >= 16 + Dollar volume >= $5B 75 65 / 10 13.8% 0.79x 0.61x 22.2% · 18 checked +5.56% -7.69%
Money flow >= 14 + Dollar volume >= $5B 76 66 / 10 13.6% 0.78x 0.61x 21.1% · 19 checked +5.53% -7.62%
Money flow >= 14 + Dollar volume >= $5B + Risk not High 76 66 / 10 13.6% 0.78x 0.61x 21.1% · 19 checked +5.53% -7.62%
5D momentum v2 >= 30 + Money flow >= 12 + Dollar volume >= $1B 102 85 / 17 15.3% 0.88x 0.83x 18.8% · 16 checked +5.05% -7.43%
Money flow >= 12 + Technical >= 20 + Dollar volume >= $5B 64 51 / 13 15.7% 0.9x 0.86x 18.2% · 11 checked +5.27% -7.59%
Money flow >= 14 + Technical >= 20 + Dollar volume >= $1B 375 290 / 85 14.5% 0.83x 0.8x 16.9% · 59 checked +5.17% -6.05%
5D momentum v2 >= 20 + Technical >= 20 + Dollar volume >= $1B 237 199 / 38 16.6% 0.95x 0.95x 16.7% · 30 checked +5.81% -6.63%
5D momentum v2 >= 30 + Money flow >= 14 + Dollar volume >= $250M 157 135 / 22 9.6% 0.55x 0.49x 16.7% · 18 checked +4.39% -6.96%
5D momentum v2 >= 30 + Money flow >= 14 + Technical >= 20 157 133 / 24 9% 0.52x 0.45x 16.7% · 18 checked +4.44% -6.58%
Money flow >= 14 + Technical >= 16 + Dollar volume >= $1B 553 448 / 105 14.7% 0.84x 0.83x 16% · 94 checked +5.20% -5.85%

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 126 109 / 17 20 18.3% 1.05x 22.2% · 18 checked +5.47% -7.33%
5D momentum v2 >= 30 313 284 / 29 40 14.1% 0.81x 12.1% · 33 checked +5.27% -6.59%
Technical >= 20 + money flow >= 12 3718 3019 / 699 350 11.6% 0.67x 8.2% · 440 checked +5.19% -4.84%
Money flow >= 14 + momentum v2 >= 30 171 147 / 24 15 10.2% 0.59x 15% · 20 checked +4.55% -6.81%

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 14608 11640 / 2968 2055 17.7% 1.02x +6.18% -4.83%
Score 90-109 413 365 / 48 41 11.2% 0.64x +4.85% -6.11%

5D momentum v2 bucket

Bucket Total Checked / Pending Boom Boom rate Lift Avg runup Avg drawdown
5D momentum v2 >= 40 75 67 / 8 13 19.4% 1.11x +5.78% -5.68%
5D momentum v2 < 20 13967 11073 / 2894 1988 18% 1.03x +6.23% -4.77%
5D momentum v2 30-39 238 217 / 21 27 12.4% 0.71x +5.12% -6.87%
5D momentum v2 20-29 759 666 / 93 70 10.5% 0.6x +4.95% -5.69%

Dollar volume bucket

Bucket Total Checked / Pending Boom Boom rate Lift Avg runup Avg drawdown
Dollar volume >= $5B 460 373 / 87 115 30.8% 1.77x +8.39% -8.91%
Dollar volume $1B-$5B 2154 1760 / 394 396 22.5% 1.29x +7.08% -6.25%
Dollar volume $250M-$1B 7323 5959 / 1364 980 16.4% 0.94x +6.00% -4.59%
Dollar volume < $250M 5102 3931 / 1171 607 15.4% 0.89x +5.71% -4.27%

Risk level

Bucket Total Checked / Pending Boom Boom rate Lift Avg runup Avg drawdown
High 622 553 / 69 170 30.7% 1.76x +9.69% -8.10%
Elevated 4847 4172 / 675 1145 27.4% 1.57x +7.87% -6.06%
Medium 9283 7127 / 2156 783 11% 0.63x +4.93% -3.95%
Low 287 171 / 116 0 0% 0x +2.77% -3.30%

Sector

Bucket Total Checked / Pending Boom Boom rate Lift Avg runup Avg drawdown
Information Technology 2214 1770 / 444 630 35.6% 2.05x +9.58% -8.36%
Energy 630 504 / 126 115 22.8% 1.31x +6.74% -3.54%
Materials 780 624 / 156 133 21.3% 1.22x +6.46% -4.32%
Communication Services 664 525 / 139 105 20% 1.15x +6.52% -4.81%
Consumer Discretionary 1410 1128 / 282 207 18.4% 1.06x +6.13% -4.75%
Health Care 1769 1415 / 354 243 17.2% 0.99x +6.85% -4.09%
Industrials 2398 1918 / 480 320 16.7% 0.96x +5.60% -5.13%
Consumer Staples 1048 838 / 210 95 11.3% 0.65x +5.44% -4.10%
Financials 2278 1822 / 456 197 10.8% 0.62x +5.04% -3.42%
Real Estate 918 735 / 183 41 5.6% 0.32x +4.03% -3.85%
Utilities 930 744 / 186 12 1.6% 0.09x +2.65% -4.32%

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