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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

2026-09-14 · 60D window · 10D outcome

twelvedata 10519 checked / 13037 total Boom = max runup ≥ +10% Validation: last 20D

Baseline boom rate 17.5%
Boom count 1843
Avg max runup +5.85%
Avg drawdown -5.01%

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 3851 3403 / 448 383 11.3% 0.65x +4.62% -5.35%
Grade F 9186 7116 / 2070 1460 20.5% 1.17x +6.44% -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 117

Combination Total Checked / Pending Boom rate Lift Train lift Validation Avg runup Avg drawdown
Best Dollar volume >= $5B 393 317 / 76 40.1% 2.29x 2.26x 42.9% · 42 checked +9.62% -7.05%
Dollar volume >= $5B + Risk not High 393 317 / 76 40.1% 2.29x 2.26x 42.9% · 42 checked +9.62% -7.05%
Technical >= 16 + Dollar volume >= $5B 237 175 / 62 26.3% 1.5x 1.36x 39.3% · 28 checked +7.01% -7.34%
Technical >= 16 + Dollar volume >= $5B + Risk not High 237 175 / 62 26.3% 1.5x 1.36x 39.3% · 28 checked +7.01% -7.34%
Money flow >= 12 + Technical >= 16 + Dollar volume >= $5B 130 96 / 34 21.9% 1.25x 1.22x 25% · 12 checked +6.45% -7.82%
Money flow >= 12 + Dollar volume >= $5B 132 98 / 34 21.4% 1.22x 1.19x 25% · 12 checked +6.43% -7.80%
Money flow >= 12 + Dollar volume >= $5B + Risk not High 132 98 / 34 21.4% 1.22x 1.19x 25% · 12 checked +6.43% -7.80%
Technical >= 16 + Dollar volume >= $1B 1531 1232 / 299 21.6% 1.23x 1.21x 24.8% · 141 checked +6.38% -5.64%
Technical >= 16 + Dollar volume >= $1B + Risk not High 1526 1227 / 299 21.4% 1.22x 1.2x 24.8% · 141 checked +6.37% -5.62%
Dollar volume >= $1B 2313 1866 / 447 27.1% 1.55x 1.57x 23.9% · 213 checked +7.77% -5.82%
Dollar volume >= $1B + Risk not High 2295 1849 / 446 26.8% 1.53x 1.55x 23.6% · 212 checked +7.74% -5.78%
Technical >= 20 + Dollar volume >= $1B 668 541 / 127 19.4% 1.11x 1.08x 23.4% · 64 checked +5.91% -5.55%
Technical >= 20 + Dollar volume >= $1B + Risk not High 666 539 / 127 19.5% 1.11x 1.08x 23.4% · 64 checked +5.94% -5.51%
Money flow >= 12 + Technical >= 20 + Dollar volume >= $1B 507 420 / 87 18.1% 1.03x 1.01x 21.1% · 57 checked +5.78% -5.54%
Money flow >= 12 + Technical >= 16 + Dollar volume >= $1B 820 688 / 132 18% 1.03x 1.02x 19.3% · 83 checked +5.86% -5.68%

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 113 101 / 12 21 20.8% 1.19x 16.7% · 6 checked +5.64% -6.88%
5D momentum v2 >= 30 289 268 / 21 40 14.9% 0.85x 8.3% · 12 checked +5.29% -6.52%
Technical >= 20 + money flow >= 12 2879 2582 / 297 318 12.3% 0.7x 6.8% · 380 checked +4.95% -5.18%
Money flow >= 14 + momentum v2 >= 30 157 143 / 14 15 10.5% 0.6x 9.1% · 11 checked +4.48% -6.78%

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 12651 10160 / 2491 1803 17.7% 1.01x +5.89% -4.97%
Score 90-109 371 344 / 27 38 11% 0.63x +4.73% -6.05%

5D momentum v2 bucket

Bucket Total Checked / Pending Boom Boom rate Lift Avg runup Avg drawdown
5D momentum v2 >= 40 72 66 / 6 14 21.2% 1.21x +5.98% -5.60%
5D momentum v2 < 20 12099 9660 / 2439 1741 18% 1.03x +5.93% -4.90%
5D momentum v2 30-39 217 202 / 15 26 12.9% 0.74x +5.07% -6.82%
5D momentum v2 20-29 649 591 / 58 62 10.5% 0.6x +4.80% -5.97%

Dollar volume bucket

Bucket Total Checked / Pending Boom Boom rate Lift Avg runup Avg drawdown
Dollar volume >= $5B 393 317 / 76 127 40.1% 2.29x +9.62% -7.05%
Dollar volume $1B-$5B 1920 1549 / 371 379 24.5% 1.4x +7.39% -5.56%
Dollar volume $250M-$1B 6338 5122 / 1216 831 16.2% 0.93x +5.71% -4.85%
Dollar volume < $250M 4386 3531 / 855 506 14.3% 0.82x +5.04% -4.80%

Risk level

Bucket Total Checked / Pending Boom Boom rate Lift Avg runup Avg drawdown
High 485 442 / 43 159 36% 2.06x +10.87% -7.48%
Elevated 3978 3392 / 586 1055 31.1% 1.78x +8.40% -5.90%
Medium 8259 6484 / 1775 629 9.7% 0.55x +4.29% -4.41%
Low 315 201 / 114 0 0% 0x +2.25% -3.67%

Sector

Bucket Total Checked / Pending Boom Boom rate Lift Avg runup Avg drawdown
Information Technology 1924 1554 / 370 637 41% 2.34x +10.45% -7.44%
Communication Services 575 458 / 117 99 21.6% 1.23x +6.45% -4.65%
Materials 676 546 / 130 107 19.6% 1.12x +6.15% -4.81%
Energy 546 441 / 105 81 18.4% 1.05x +6.10% -3.78%
Consumer Discretionary 1222 987 / 235 177 17.9% 1.02x +5.60% -5.31%
Health Care 1533 1238 / 295 219 17.7% 1.01x +6.76% -3.95%
Industrials 2080 1680 / 400 262 15.6% 0.89x +5.06% -5.43%
Financials 1976 1596 / 380 150 9.4% 0.54x +4.37% -3.56%
Consumer Staples 909 734 / 175 67 9.1% 0.52x +4.68% -5.01%
Real Estate 790 634 / 156 30 4.7% 0.27x +3.11% -4.65%
Utilities 806 651 / 155 14 2.2% 0.13x +2.36% -4.75%

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