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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

2026-09-15 · 60D window · 10D outcome

twelvedata 10516 checked / 12532 total Boom = max runup ≥ +10% Validation: last 20D

Baseline boom rate 16.9%
Boom count 1780
Avg max runup +5.73%
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 B 78 73 / 5 13 17.8% 1.05x +5.03% -6.58%
Grade C 33 31 / 2 8 25.8% 1.53x +6.69% -8.36%
Grade D 3627 3297 / 330 349 10.6% 0.63x +4.48% -5.27%
Grade F 8794 7115 / 1679 1410 19.8% 1.17x +6.32% -4.81%

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 106

Combination Total Checked / Pending Boom rate Lift Train lift Validation Avg runup Avg drawdown
Best Dollar volume >= $5B 376 315 / 61 40% 2.37x 2.35x 41.9% · 43 checked +9.71% -6.66%
Dollar volume >= $5B + Risk not High 376 315 / 61 40% 2.37x 2.35x 41.9% · 43 checked +9.71% -6.66%
Technical >= 16 + Dollar volume >= $5B 226 173 / 53 26.6% 1.57x 1.47x 35.7% · 28 checked +7.21% -7.04%
Technical >= 16 + Dollar volume >= $5B + Risk not High 226 173 / 53 26.6% 1.57x 1.47x 35.7% · 28 checked +7.21% -7.04%
Money flow >= 12 + Technical >= 16 + Dollar volume >= $5B 124 96 / 28 22.9% 1.36x 1.36x 23.1% · 13 checked +6.77% -7.44%
Money flow >= 12 + Dollar volume >= $5B 126 98 / 28 22.4% 1.33x 1.33x 23.1% · 13 checked +6.74% -7.43%
Money flow >= 12 + Dollar volume >= $5B + Risk not High 126 98 / 28 22.4% 1.33x 1.33x 23.1% · 13 checked +6.74% -7.43%
Technical >= 20 + Dollar volume >= $1B + Risk not High 642 547 / 95 19.4% 1.15x 1.12x 22.7% · 75 checked +5.91% -5.59%
Technical >= 20 + Dollar volume >= $1B 644 549 / 95 19.3% 1.14x 1.11x 22.7% · 75 checked +5.87% -5.63%
Money flow >= 12 + Technical >= 20 + Dollar volume >= $1B 491 431 / 60 18.6% 1.1x 1.07x 21.9% · 64 checked +5.76% -5.67%
Dollar volume >= $1B 2215 1877 / 338 26.7% 1.58x 1.63x 21.3% · 253 checked +7.72% -5.69%
Dollar volume >= $1B + Risk not High 2200 1863 / 337 26.5% 1.57x 1.62x 21.3% · 253 checked +7.68% -5.66%
Technical >= 16 + Dollar volume >= $1B 1463 1236 / 227 21.2% 1.25x 1.26x 20.8% · 168 checked +6.36% -5.61%
Technical >= 16 + Dollar volume >= $1B + Risk not High 1459 1232 / 227 21.1% 1.25x 1.25x 20.8% · 168 checked +6.36% -5.59%
Money flow >= 12 + Technical >= 16 + Dollar volume >= $1B 790 701 / 89 18.3% 1.08x 1.07x 19.8% · 96 checked +5.85% -5.71%

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 111 104 / 7 21 20.2% 1.2x 12.5% · 8 checked +5.53% -7.11%
5D momentum v2 >= 30 276 261 / 15 39 14.9% 0.88x 10% · 10 checked +5.33% -6.50%
Technical >= 20 + money flow >= 12 2775 2574 / 201 316 12.3% 0.73x 7.6% · 340 checked +4.89% -5.22%
Money flow >= 14 + momentum v2 >= 30 150 141 / 9 15 10.6% 0.63x 11.1% · 9 checked +4.51% -6.68%

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 12169 10172 / 1997 1740 17.1% 1.01x +5.77% -4.95%
Score 90-109 350 331 / 19 38 11.5% 0.68x +4.80% -6.01%

5D momentum v2 bucket

Bucket Total Checked / Pending Boom Boom rate Lift Avg runup Avg drawdown
5D momentum v2 >= 40 70 66 / 4 14 21.2% 1.25x +5.83% -5.78%
5D momentum v2 < 20 11678 9724 / 1954 1684 17.3% 1.02x +5.80% -4.88%
5D momentum v2 30-39 206 195 / 11 25 12.8% 0.76x +5.15% -6.75%
5D momentum v2 20-29 578 531 / 47 57 10.7% 0.63x +4.78% -6.01%

Dollar volume bucket

Bucket Total Checked / Pending Boom Boom rate Lift Avg runup Avg drawdown
Dollar volume >= $5B 376 315 / 61 126 40% 2.37x +9.71% -6.66%
Dollar volume $1B-$5B 1839 1562 / 277 376 24.1% 1.43x +7.32% -5.49%
Dollar volume $250M-$1B 6102 5150 / 952 802 15.6% 0.92x +5.56% -4.86%
Dollar volume < $250M 4215 3489 / 726 476 13.6% 0.8x +4.92% -4.78%

Risk level

Bucket Total Checked / Pending Boom Boom rate Lift Avg runup Avg drawdown
High 460 423 / 37 154 36.4% 2.15x +11.02% -7.32%
Elevated 3807 3321 / 486 1025 30.9% 1.83x +8.41% -5.82%
Medium 7958 6549 / 1409 601 9.2% 0.54x +4.16% -4.44%
Low 307 223 / 84 0 0% 0x +2.17% -3.69%

Sector

Bucket Total Checked / Pending Boom Boom rate Lift Avg runup Avg drawdown
Information Technology 1850 1554 / 296 619 39.8% 2.36x +10.29% -7.36%
Communication Services 552 457 / 95 99 21.7% 1.28x +6.51% -4.48%
Materials 650 546 / 104 99 18.1% 1.07x +5.93% -4.90%
Energy 525 441 / 84 79 17.9% 1.06x +6.01% -3.80%
Health Care 1474 1238 / 236 213 17.2% 1.02x +6.65% -3.96%
Consumer Discretionary 1175 987 / 188 169 17.1% 1.01x +5.41% -5.33%
Industrials 2000 1680 / 320 251 14.9% 0.88x +4.90% -5.35%
Consumer Staples 874 734 / 140 65 8.9% 0.53x +4.58% -5.06%
Financials 1900 1596 / 304 141 8.8% 0.52x +4.29% -3.55%
Real Estate 757 632 / 125 28 4.4% 0.26x +2.99% -4.67%
Utilities 775 651 / 124 17 2.6% 0.15x +2.38% -4.71%

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