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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

2026-09-08 · 60D window · 10D outcome

twelvedata 10523 checked / 13542 total Boom = max runup ≥ +10% Validation: last 20D

Baseline boom rate 18.4%
Boom count 1939
Avg max runup +6.21%
Avg drawdown -4.87%

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 4008 3274 / 734 396 12.1% 0.66x +4.95% -5.11%
Grade F 9534 7249 / 2285 1543 21.3% 1.16x +6.78% -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 146

Combination Total Checked / Pending Boom rate Lift Train lift Validation Avg runup Avg drawdown
Best Technical >= 20 + Dollar volume >= $5B 92 66 / 26 19.7% 1.07x 0.99x 27.3% · 11 checked +5.32% -7.68%
Technical >= 20 + Dollar volume >= $5B + Risk not High 92 66 / 26 19.7% 1.07x 0.99x 27.3% · 11 checked +5.32% -7.68%
5D momentum v2 >= 30 + Money flow >= 14 + Dollar volume >= $1B 66 53 / 13 13.2% 0.72x 0.53x 25% · 12 checked +4.42% -7.45%
5D momentum v2 >= 30 + Technical >= 20 + Dollar volume >= $1B 110 95 / 15 20% 1.09x 1.04x 23.5% · 17 checked +5.74% -6.49%
5D momentum v2 >= 30 + Technical >= 16 + Dollar volume >= $1B 119 103 / 16 19.4% 1.05x 1.01x 23.5% · 17 checked +5.49% -6.84%
5D momentum v2 >= 30 + Dollar volume >= $1B 119 103 / 16 19.4% 1.05x 1.01x 23.5% · 17 checked +5.49% -6.84%
5D momentum v2 >= 30 + Dollar volume >= $1B + Risk not High 119 103 / 16 19.4% 1.05x 1.01x 23.5% · 17 checked +5.49% -6.84%
Dollar volume >= $5B 407 320 / 87 34.7% 1.89x 2.01x 21.3% · 47 checked +8.93% -8.28%
Dollar volume >= $5B + Risk not High 407 320 / 87 34.7% 1.89x 2.01x 21.3% · 47 checked +8.93% -8.28%
Money flow >= 12 + Technical >= 16 + Dollar volume >= $5B 137 105 / 32 17.1% 0.93x 0.89x 21.1% · 19 checked +5.80% -8.33%
Technical >= 16 + Dollar volume >= $5B 241 179 / 62 20.7% 1.13x 1.13x 20.7% · 29 checked +6.29% -8.41%
Technical >= 16 + Dollar volume >= $5B + Risk not High 241 179 / 62 20.7% 1.13x 1.13x 20.7% · 29 checked +6.29% -8.41%
Money flow >= 12 + Dollar volume >= $5B 139 107 / 32 16.8% 0.91x 0.88x 20% · 20 checked +5.79% -8.30%
Money flow >= 12 + Dollar volume >= $5B + Risk not High 139 107 / 32 16.8% 0.91x 0.88x 20% · 20 checked +5.79% -8.30%
5D momentum v2 >= 30 + Money flow >= 12 + Dollar volume >= $1B 98 82 / 16 15.9% 0.86x 0.81x 20% · 15 checked +5.00% -7.17%

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 119 103 / 16 20 19.4% 1.05x 23.5% · 17 checked +5.49% -6.84%
5D momentum v2 >= 30 300 272 / 28 40 14.7% 0.8x 13.3% · 30 checked +5.32% -6.36%
Technical >= 20 + money flow >= 12 3134 2533 / 601 324 12.8% 0.7x 6.8% · 370 checked +5.27% -4.90%
Money flow >= 14 + momentum v2 >= 30 166 144 / 22 15 10.4% 0.57x 15% · 20 checked +4.54% -6.50%

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 13135 10159 / 2976 1899 18.7% 1.02x +6.27% -4.83%
Score 90-109 389 346 / 43 38 11% 0.6x +4.80% -5.97%

5D momentum v2 bucket

Bucket Total Checked / Pending Boom Boom rate Lift Avg runup Avg drawdown
5D momentum v2 >= 40 74 66 / 8 13 19.7% 1.07x +5.85% -5.57%
5D momentum v2 < 20 12569 9651 / 2918 1832 19% 1.03x +6.32% -4.77%
5D momentum v2 30-39 226 206 / 20 27 13.1% 0.71x +5.15% -6.61%
5D momentum v2 20-29 673 600 / 73 67 11.2% 0.61x +4.99% -5.80%

Dollar volume bucket

Bucket Total Checked / Pending Boom Boom rate Lift Avg runup Avg drawdown
Dollar volume >= $5B 407 320 / 87 111 34.7% 1.89x +8.93% -8.28%
Dollar volume $1B-$5B 1969 1556 / 413 375 24.1% 1.31x +7.36% -5.87%
Dollar volume $250M-$1B 6567 5189 / 1378 892 17.2% 0.93x +6.03% -4.67%
Dollar volume < $250M 4599 3458 / 1141 561 16.2% 0.88x +5.72% -4.40%

Risk level

Bucket Total Checked / Pending Boom Boom rate Lift Avg runup Avg drawdown
High 529 470 / 59 160 34% 1.85x +10.42% -7.85%
Elevated 4240 3565 / 675 1062 29.8% 1.62x +8.24% -5.99%
Medium 8487 6323 / 2164 717 11.3% 0.61x +4.85% -4.05%
Low 286 165 / 121 0 0% 0x +2.69% -3.37%

Sector

Bucket Total Checked / Pending Boom Boom rate Lift Avg runup Avg drawdown
Information Technology 1996 1552 / 444 611 39.4% 2.14x +10.21% -7.95%
Materials 702 546 / 156 120 22% 1.2x +6.69% -4.36%
Communication Services 598 458 / 140 98 21.4% 1.16x +6.62% -4.77%
Energy 567 441 / 126 90 20.4% 1.11x +6.31% -3.81%
Consumer Discretionary 1269 987 / 282 193 19.6% 1.07x +6.17% -4.91%
Health Care 1592 1238 / 354 241 19.5% 1.06x +7.18% -3.82%
Industrials 2160 1680 / 480 292 17.4% 0.95x +5.65% -5.20%
Financials 2052 1596 / 456 169 10.6% 0.58x +4.83% -3.40%
Consumer Staples 944 734 / 210 77 10.5% 0.57x +5.21% -4.46%
Real Estate 825 640 / 185 37 5.8% 0.32x +3.79% -4.15%
Utilities 837 651 / 186 11 1.7% 0.09x +2.55% -4.58%

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