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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

2026-09-09 · 60D window · 10D outcome

twelvedata 10522 checked / 13038 total Boom = max runup ≥ +10% Validation: last 20D

Baseline boom rate 18.4%
Boom count 1931
Avg max runup +6.15%
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 3919 3350 / 569 395 11.8% 0.64x +4.84% -5.22%
Grade F 9119 7172 / 1947 1536 21.4% 1.16x +6.76% -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 133

Combination Total Checked / Pending Boom rate Lift Train lift Validation Avg runup Avg drawdown
Best Technical >= 16 + Dollar volume >= $5B 231 178 / 53 22.5% 1.22x 1.11x 34.6% · 26 checked +6.61% -8.04%
Technical >= 16 + Dollar volume >= $5B + Risk not High 231 178 / 53 22.5% 1.22x 1.11x 34.6% · 26 checked +6.61% -8.04%
Dollar volume >= $5B 395 322 / 73 36% 1.96x 1.98x 33.3% · 45 checked +9.18% -7.95%
Dollar volume >= $5B + Risk not High 395 322 / 73 36% 1.96x 1.98x 33.3% · 45 checked +9.18% -7.95%
Money flow >= 12 + Technical >= 16 + Dollar volume >= $5B 129 102 / 27 18.6% 1.01x 0.89x 31.3% · 16 checked +6.09% -8.17%
Money flow >= 12 + Dollar volume >= $5B 131 104 / 27 18.3% 0.99x 0.86x 31.3% · 16 checked +6.08% -8.14%
Money flow >= 12 + Dollar volume >= $5B + Risk not High 131 104 / 27 18.3% 0.99x 0.86x 31.3% · 16 checked +6.08% -8.14%
5D momentum v2 >= 30 + Money flow >= 14 + Dollar volume >= $1B 65 55 / 10 14.5% 0.79x 0.62x 27.3% · 11 checked +4.42% -7.48%
5D momentum v2 >= 30 + Money flow >= 12 + Dollar volume >= $1B 97 84 / 13 16.7% 0.91x 0.83x 25% · 12 checked +4.99% -7.20%
5D momentum v2 >= 30 + Technical >= 20 + Dollar volume >= $1B 109 97 / 12 20.6% 1.12x 1.1x 23.1% · 13 checked +5.72% -6.53%
5D momentum v2 >= 30 + Technical >= 16 + Dollar volume >= $1B 118 105 / 13 20% 1.09x 1.07x 23.1% · 13 checked +5.47% -6.86%
5D momentum v2 >= 30 + Dollar volume >= $1B 118 105 / 13 20% 1.09x 1.07x 23.1% · 13 checked +5.47% -6.86%
5D momentum v2 >= 30 + Dollar volume >= $1B + Risk not High 118 105 / 13 20% 1.09x 1.07x 23.1% · 13 checked +5.47% -6.86%
Technical >= 16 + Dollar volume >= $1B 1528 1246 / 282 20.9% 1.14x 1.13x 22.9% · 144 checked +6.34% -5.80%
Technical >= 16 + Dollar volume >= $1B + Risk not High 1523 1241 / 282 20.8% 1.13x 1.11x 22.9% · 144 checked +6.33% -5.78%

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 118 105 / 13 21 20% 1.09x 23.1% · 13 checked +5.47% -6.86%
5D momentum v2 >= 30 299 279 / 20 41 14.7% 0.8x 12% · 25 checked +5.24% -6.42%
Technical >= 20 + money flow >= 12 3019 2554 / 465 322 12.6% 0.68x 6.5% · 400 checked +5.14% -5.02%
Money flow >= 14 + momentum v2 >= 30 165 150 / 15 16 10.7% 0.58x 15.8% · 19 checked +4.46% -6.58%

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 12633 10150 / 2483 1890 18.6% 1.01x +6.20% -4.87%
Score 90-109 387 354 / 33 39 11% 0.6x +4.74% -6.02%

5D momentum v2 bucket

Bucket Total Checked / Pending Boom Boom rate Lift Avg runup Avg drawdown
5D momentum v2 >= 40 74 68 / 6 14 20.6% 1.12x +5.84% -5.65%
5D momentum v2 < 20 12069 9631 / 2438 1824 18.9% 1.03x +6.25% -4.80%
5D momentum v2 30-39 225 211 / 14 27 12.8% 0.7x +5.04% -6.66%
5D momentum v2 20-29 670 612 / 58 66 10.8% 0.59x +4.91% -5.89%

Dollar volume bucket

Bucket Total Checked / Pending Boom Boom rate Lift Avg runup Avg drawdown
Dollar volume >= $5B 395 322 / 73 116 36% 1.96x +9.18% -7.95%
Dollar volume $1B-$5B 1919 1562 / 357 382 24.5% 1.33x +7.41% -5.76%
Dollar volume $250M-$1B 6350 5188 / 1162 882 17% 0.92x +5.97% -4.72%
Dollar volume < $250M 4374 3450 / 924 551 16% 0.87x +5.56% -4.51%

Risk level

Bucket Total Checked / Pending Boom Boom rate Lift Avg runup Avg drawdown
High 500 456 / 44 161 35.3% 1.92x +10.71% -7.63%
Elevated 4075 3516 / 559 1070 30.4% 1.65x +8.33% -5.99%
Medium 8182 6376 / 1806 700 11% 0.6x +4.72% -4.15%
Low 281 174 / 107 0 0% 0x +2.53% -3.50%

Sector

Bucket Total Checked / Pending Boom Boom rate Lift Avg runup Avg drawdown
Information Technology 1923 1553 / 370 630 40.6% 2.21x +10.43% -7.76%
Communication Services 575 458 / 117 99 21.6% 1.17x +6.55% -4.76%
Materials 676 546 / 130 116 21.2% 1.15x +6.59% -4.47%
Health Care 1533 1238 / 295 239 19.3% 1.05x +7.07% -3.84%
Consumer Discretionary 1222 987 / 235 190 19.3% 1.05x +6.06% -5.02%
Energy 546 441 / 105 83 18.8% 1.02x +6.19% -3.87%
Industrials 2080 1680 / 400 286 17% 0.92x +5.54% -5.25%
Financials 1976 1596 / 380 167 10.5% 0.57x +4.68% -3.46%
Consumer Staples 909 734 / 175 75 10.2% 0.55x +5.08% -4.64%
Real Estate 792 638 / 154 35 5.5% 0.3x +3.58% -4.34%
Utilities 806 651 / 155 11 1.7% 0.09x +2.51% -4.64%

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