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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

2026-09-17 · 60D window · 10D outcome

twelvedata 10515 checked / 13532 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 82 73 / 9 13 17.8% 1.05x +5.03% -6.58%
Grade C 35 31 / 4 8 25.8% 1.53x +6.69% -8.36%
Grade D 3799 3354 / 445 357 10.6% 0.63x +4.49% -5.27%
Grade F 9616 7057 / 2559 1402 19.9% 1.18x +6.33% -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 404 315 / 89 40% 2.37x 2.37x 40% · 30 checked +9.71% -6.66%
Dollar volume >= $5B + Risk not High 404 315 / 89 40% 2.37x 2.37x 40% · 30 checked +9.71% -6.66%
Technical >= 16 + Dollar volume >= $5B 250 173 / 77 26.6% 1.57x 1.54x 30% · 20 checked +7.21% -7.04%
Technical >= 16 + Dollar volume >= $5B + Risk not High 250 173 / 77 26.6% 1.57x 1.54x 30% · 20 checked +7.21% -7.04%
Money flow >= 12 + Technical >= 20 + Dollar volume >= $1B 520 431 / 89 18.6% 1.1x 1.07x 22.7% · 44 checked +5.76% -5.67%
Technical >= 20 + Dollar volume >= $1B + Risk not High 680 547 / 133 19.4% 1.15x 1.14x 21.6% · 51 checked +5.91% -5.59%
Technical >= 20 + Dollar volume >= $1B 682 549 / 133 19.3% 1.14x 1.13x 21.6% · 51 checked +5.87% -5.63%
Dollar volume >= $1B 2394 1877 / 517 26.7% 1.58x 1.62x 20.7% · 179 checked +7.72% -5.69%
Dollar volume >= $1B + Risk not High 2378 1863 / 515 26.5% 1.57x 1.6x 20.7% · 179 checked +7.68% -5.66%
Money flow >= 12 + Technical >= 16 + Dollar volume >= $1B 833 701 / 132 18.3% 1.08x 1.07x 19.7% · 66 checked +5.85% -5.71%
Money flow >= 12 + Dollar volume >= $1B 841 709 / 132 18.2% 1.08x 1.07x 19.4% · 67 checked +5.86% -5.70%
Money flow >= 12 + Dollar volume >= $1B + Risk not High 839 708 / 131 18.2% 1.08x 1.07x 19.4% · 67 checked +5.87% -5.69%
Technical >= 16 + Dollar volume >= $1B 1569 1236 / 333 21.2% 1.25x 1.27x 19.2% · 120 checked +6.36% -5.61%
Technical >= 16 + Dollar volume >= $1B + Risk not High 1564 1232 / 332 21.1% 1.25x 1.26x 19.2% · 120 checked +6.36% -5.59%
5D momentum v2 >= 20 + Money flow >= 14 + Dollar volume >= $1B 159 135 / 24 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 117 104 / 13 21 20.2% 1.2x 12.5% · 8 checked +5.53% -7.11%
5D momentum v2 >= 30 286 261 / 25 39 14.9% 0.88x 11.1% · 9 checked +5.33% -6.50%
Technical >= 20 + money flow >= 12 2857 2574 / 283 316 12.3% 0.73x 8.5% · 213 checked +4.89% -5.22%
Money flow >= 14 + momentum v2 >= 30 158 141 / 17 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
US.TMO Thermo Fisher Scientific B 68.4 101.9 68.9/110 · 33/50 Low
Money flow S · Technical A · lift 1.2x n=104 · validation watch
Momentum v2 >= 30 + dollar volume >= $1B
US.CRWD CrowdStrike B 64.5 94.6 58.6/110 · 36/50 Elevated
Money flow A · Technical A · lift 1.2x n=104 · validation watch
Momentum v2 >= 30 + dollar volume >= $1B
US.AMD Advanced Micro Devices B 64.1 94.2 61.2/110 · 33/50 Elevated
Money flow A · lift 1.2x · Elevated risk n=104 · validation watch
Momentum v2 >= 30 + dollar volume >= $1B
US.INTC Intel B 64.9 93.6 58.6/110 · 35/50 Elevated
Money flow S · lift 1.2x · Elevated risk n=104 · validation watch
Momentum v2 >= 30 + dollar volume >= $1B
US.GNRC Generac C 62.7 88.1 55.1/110 · 33/50 Elevated
Technical A · lift 1.2x · Elevated risk n=104 · validation watch
Momentum v2 >= 30 + dollar volume >= $1B
US.DELL Dell Technologies C 61.5 86.3 54.3/110 · 32/50 Elevated
lift 1.2x · Elevated risk n=104 · validation watch
Momentum v2 >= 30 + dollar volume >= $1B

Score with momentum v2 bucket

Bucket Total Checked / Pending Boom Boom rate Lift Avg runup Avg drawdown
Score < 90 13159 10171 / 2988 1740 17.1% 1.01x +5.77% -4.95%
Score 90-109 360 331 / 29 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 72 66 / 6 14 21.2% 1.25x +5.83% -5.78%
5D momentum v2 < 20 12651 9723 / 2928 1684 17.3% 1.02x +5.80% -4.88%
5D momentum v2 30-39 214 195 / 19 25 12.8% 0.76x +5.15% -6.75%
5D momentum v2 20-29 595 531 / 64 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 404 315 / 89 126 40% 2.37x +9.71% -6.66%
Dollar volume $1B-$5B 1990 1562 / 428 376 24.1% 1.43x +7.32% -5.49%
Dollar volume $250M-$1B 6589 5149 / 1440 802 15.6% 0.92x +5.56% -4.85%
Dollar volume < $250M 4549 3489 / 1060 476 13.6% 0.8x +4.92% -4.78%

Risk level

Bucket Total Checked / Pending Boom Boom rate Lift Avg runup Avg drawdown
High 483 422 / 61 154 36.5% 2.16x +11.03% -7.31%
Elevated 4074 3321 / 753 1025 30.9% 1.83x +8.41% -5.82%
Medium 8631 6549 / 2082 601 9.2% 0.54x +4.16% -4.44%
Low 344 223 / 121 0 0% 0x +2.17% -3.69%

Sector

Bucket Total Checked / Pending Boom Boom rate Lift Avg runup Avg drawdown
Information Technology 1998 1554 / 444 619 39.8% 2.36x +10.29% -7.36%
Communication Services 594 456 / 138 99 21.7% 1.28x +6.51% -4.47%
Materials 702 546 / 156 99 18.1% 1.07x +5.93% -4.90%
Energy 567 441 / 126 79 17.9% 1.06x +6.01% -3.80%
Health Care 1592 1238 / 354 213 17.2% 1.02x +6.65% -3.96%
Consumer Discretionary 1269 987 / 282 169 17.1% 1.01x +5.41% -5.33%
Industrials 2160 1680 / 480 251 14.9% 0.88x +4.90% -5.35%
Consumer Staples 944 734 / 210 65 8.9% 0.53x +4.58% -5.06%
Financials 2052 1596 / 456 141 8.8% 0.52x +4.29% -3.55%
Real Estate 817 632 / 185 28 4.4% 0.26x +2.99% -4.67%
Utilities 837 651 / 186 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.