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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

2026-09-16 · 60D window · 10D outcome

twelvedata 10515 checked / 13033 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 3679 3297 / 382 349 10.6% 0.63x +4.48% -5.27%
Grade F 9243 7114 / 2129 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 85

Combination Total Checked / Pending Boom rate Lift Train lift Validation Avg runup Avg drawdown
Best Dollar volume >= $5B 390 315 / 75 40% 2.37x 2.37x 40% · 30 checked +9.71% -6.66%
Dollar volume >= $5B + Risk not High 390 315 / 75 40% 2.37x 2.37x 40% · 30 checked +9.71% -6.66%
Technical >= 16 + Dollar volume >= $5B 237 173 / 64 26.6% 1.57x 1.54x 30% · 20 checked +7.21% -7.04%
Technical >= 16 + Dollar volume >= $5B + Risk not High 237 173 / 64 26.6% 1.57x 1.54x 30% · 20 checked +7.21% -7.04%
Money flow >= 12 + Technical >= 20 + Dollar volume >= $1B 504 431 / 73 18.6% 1.1x 1.07x 22.7% · 44 checked +5.76% -5.67%
Technical >= 20 + Dollar volume >= $1B + Risk not High 656 547 / 109 19.4% 1.15x 1.14x 21.6% · 51 checked +5.91% -5.59%
Technical >= 20 + Dollar volume >= $1B 658 549 / 109 19.3% 1.14x 1.13x 21.6% · 51 checked +5.87% -5.63%
Dollar volume >= $1B 2296 1877 / 419 26.7% 1.58x 1.62x 20.7% · 179 checked +7.72% -5.69%
Dollar volume >= $1B + Risk not High 2281 1863 / 418 26.5% 1.57x 1.6x 20.7% · 179 checked +7.68% -5.66%
Money flow >= 12 + Technical >= 16 + Dollar volume >= $1B 812 701 / 111 18.3% 1.08x 1.07x 19.7% · 66 checked +5.85% -5.71%
Money flow >= 12 + Dollar volume >= $1B 820 709 / 111 18.2% 1.08x 1.07x 19.4% · 67 checked +5.86% -5.70%
Money flow >= 12 + Dollar volume >= $1B + Risk not High 819 708 / 111 18.2% 1.08x 1.07x 19.4% · 67 checked +5.87% -5.69%
Technical >= 16 + Dollar volume >= $1B 1507 1236 / 271 21.2% 1.25x 1.27x 19.2% · 120 checked +6.36% -5.61%
Technical >= 16 + Dollar volume >= $1B + Risk not High 1503 1232 / 271 21.1% 1.25x 1.26x 19.2% · 120 checked +6.36% -5.59%
5D momentum v2 >= 20 + Money flow >= 14 + Dollar volume >= $1B 153 135 / 18 12.6% 0.75x 0.72x 18.2% · 11 checked +4.34% -6.72%

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 >= 30 277 261 / 16 39 14.9% 0.88x 11.1% · 9 checked +5.33% -6.50%
Technical >= 20 + money flow >= 12 2813 2574 / 239 316 12.3% 0.73x 8.5% · 213 checked +4.89% -5.22%
Money flow >= 14 + momentum v2 >= 30 151 141 / 10 15 10.6% 0.63x 12.5% · 8 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 12668 10171 / 2497 1740 17.1% 1.01x +5.77% -4.95%
Score 90-109 352 331 / 21 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 71 66 / 5 14 21.2% 1.25x +5.83% -5.78%
5D momentum v2 < 20 12170 9723 / 2447 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 20-29 586 531 / 55 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 390 315 / 75 126 40% 2.37x +9.71% -6.66%
Dollar volume $1B-$5B 1906 1562 / 344 376 24.1% 1.43x +7.32% -5.49%
Dollar volume $250M-$1B 6343 5149 / 1194 802 15.6% 0.92x +5.56% -4.85%
Dollar volume < $250M 4394 3489 / 905 476 13.6% 0.8x +4.92% -4.78%

Risk level

Bucket Total Checked / Pending Boom Boom rate Lift Avg runup Avg drawdown
High 473 422 / 51 154 36.5% 2.16x +11.03% -7.31%
Elevated 3940 3321 / 619 1025 30.9% 1.83x +8.41% -5.82%
Medium 8295 6549 / 1746 601 9.2% 0.54x +4.16% -4.44%
Low 325 223 / 102 0 0% 0x +2.17% -3.69%

Sector

Bucket Total Checked / Pending Boom Boom rate Lift Avg runup Avg drawdown
Information Technology 1924 1554 / 370 619 39.8% 2.36x +10.29% -7.36%
Communication Services 573 456 / 117 99 21.7% 1.28x +6.51% -4.47%
Materials 676 546 / 130 99 18.1% 1.07x +5.93% -4.90%
Energy 546 441 / 105 79 17.9% 1.06x +6.01% -3.80%
Health Care 1533 1238 / 295 213 17.2% 1.02x +6.65% -3.96%
Consumer Discretionary 1222 987 / 235 169 17.1% 1.01x +5.41% -5.33%
Industrials 2080 1680 / 400 251 14.9% 0.88x +4.90% -5.35%
Consumer Staples 909 734 / 175 65 8.9% 0.53x +4.58% -5.06%
Financials 1976 1596 / 380 141 8.8% 0.52x +4.29% -3.55%
Real Estate 788 632 / 156 28 4.4% 0.26x +2.99% -4.67%
Utilities 806 651 / 155 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.