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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

2026-09-10 · 60D window · 10D outcome

twelvedata 11020 checked / 13038 total Boom = max runup ≥ +10% Validation: last 20D

Baseline boom rate 17.9%
Boom count 1969
Avg max runup +6.00%
Avg drawdown -4.98%

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 3483 / 436 403 11.6% 0.65x +4.77% -5.29%
Grade F 9119 7537 / 1582 1566 20.8% 1.16x +6.57% -4.84%

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 231 186 / 45 23.7% 1.32x 1.14x 38.2% · 34 checked +6.75% -7.84%
Technical >= 16 + Dollar volume >= $5B + Risk not High 231 186 / 45 23.7% 1.32x 1.14x 38.2% · 34 checked +6.75% -7.84%
Dollar volume >= $5B 395 335 / 60 36.4% 2.03x 2.04x 36.2% · 58 checked +9.19% -7.76%
Dollar volume >= $5B + Risk not High 395 335 / 60 36.4% 2.03x 2.04x 36.2% · 58 checked +9.19% -7.76%
Money flow >= 12 + Technical >= 16 + Dollar volume >= $5B 129 106 / 23 19.8% 1.11x 0.91x 35% · 20 checked +6.16% -7.93%
Money flow >= 12 + Dollar volume >= $5B 131 108 / 23 19.4% 1.08x 0.89x 35% · 20 checked +6.15% -7.91%
Money flow >= 12 + Dollar volume >= $5B + Risk not High 131 108 / 23 19.4% 1.08x 0.89x 35% · 20 checked +6.15% -7.91%
5D momentum v2 >= 30 + Money flow >= 14 + Dollar volume >= $1B 65 55 / 10 14.5% 0.81x 0.64x 27.3% · 11 checked +4.42% -7.48%
5D momentum v2 >= 30 + Money flow >= 12 + Dollar volume >= $1B 97 84 / 13 16.7% 0.93x 0.85x 25% · 12 checked +4.99% -7.20%
Technical >= 16 + Dollar volume >= $1B 1528 1294 / 234 21.1% 1.18x 1.16x 23.4% · 192 checked +6.34% -5.79%
Technical >= 16 + Dollar volume >= $1B + Risk not High 1523 1289 / 234 20.9% 1.17x 1.15x 23.4% · 192 checked +6.34% -5.77%
5D momentum v2 >= 30 + Technical >= 20 + Dollar volume >= $1B 109 97 / 12 20.6% 1.15x 1.13x 23.1% · 13 checked +5.72% -6.53%
5D momentum v2 >= 30 + Technical >= 16 + Dollar volume >= $1B 118 105 / 13 20% 1.12x 1.09x 23.1% · 13 checked +5.47% -6.86%
5D momentum v2 >= 30 + Dollar volume >= $1B 118 105 / 13 20% 1.12x 1.09x 23.1% · 13 checked +5.47% -6.86%
5D momentum v2 >= 30 + Dollar volume >= $1B + Risk not High 118 105 / 13 20% 1.12x 1.09x 23.1% · 13 checked +5.47% -6.86%

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% 1.12x 23.1% · 13 checked +5.47% -6.86%
5D momentum v2 >= 30 299 280 / 19 41 14.6% 0.82x 11.5% · 26 checked +5.23% -6.42%
Technical >= 20 + money flow >= 12 3019 2680 / 339 330 12.3% 0.69x 6.5% · 526 checked +5.05% -5.10%
Money flow >= 14 + momentum v2 >= 30 165 151 / 14 16 10.6% 0.59x 15% · 20 checked +4.45% -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 10643 / 1990 1928 18.1% 1.01x +6.05% -4.95%
Score 90-109 387 359 / 28 39 10.9% 0.61x +4.73% -6.01%

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% 1.15x +5.84% -5.65%
5D momentum v2 < 20 12069 10118 / 1951 1862 18.4% 1.03x +6.09% -4.88%
5D momentum v2 30-39 225 212 / 13 27 12.7% 0.71x +5.03% -6.67%
5D momentum v2 20-29 670 622 / 48 66 10.6% 0.59x +4.87% -5.95%

Dollar volume bucket

Bucket Total Checked / Pending Boom Boom rate Lift Avg runup Avg drawdown
Dollar volume >= $5B 395 335 / 60 122 36.4% 2.03x +9.19% -7.76%
Dollar volume $1B-$5B 1919 1623 / 296 393 24.2% 1.35x +7.33% -5.78%
Dollar volume $250M-$1B 6350 5398 / 952 894 16.6% 0.93x +5.84% -4.80%
Dollar volume < $250M 4374 3664 / 710 560 15.3% 0.85x +5.35% -4.64%

Risk level

Bucket Total Checked / Pending Boom Boom rate Lift Avg runup Avg drawdown
High 500 470 / 30 165 35.1% 1.96x +10.58% -7.70%
Elevated 4075 3620 / 455 1093 30.2% 1.69x +8.27% -6.04%
Medium 8182 6736 / 1446 711 10.6% 0.59x +4.57% -4.27%
Low 281 194 / 87 0 0% 0x +2.34% -3.63%

Sector

Bucket Total Checked / Pending Boom Boom rate Lift Avg runup Avg drawdown
Information Technology 1923 1627 / 296 651 40% 2.23x +10.27% -7.75%
Communication Services 575 479 / 96 101 21.1% 1.18x +6.41% -4.84%
Materials 676 572 / 104 118 20.6% 1.15x +6.43% -4.61%
Energy 546 462 / 84 88 19% 1.06x +6.22% -3.78%
Health Care 1533 1297 / 236 240 18.5% 1.03x +6.87% -3.96%
Consumer Discretionary 1222 1034 / 188 191 18.5% 1.03x +5.85% -5.19%
Industrials 2080 1759 / 321 288 16.4% 0.92x +5.35% -5.36%
Financials 1976 1672 / 304 168 10% 0.56x +4.57% -3.54%
Consumer Staples 909 769 / 140 77 10% 0.56x +4.93% -4.76%
Real Estate 792 667 / 125 35 5.2% 0.29x +3.46% -4.41%
Utilities 806 682 / 124 12 1.8% 0.1x +2.47% -4.64%

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