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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

2026-09-18 · 60D window · 10D outcome

twelvedata 11015 checked / 14032 total Boom = max runup ≥ +10% Validation: last 20D

Baseline boom rate 16.4%
Boom count 1810
Avg max runup +5.59%
Avg drawdown -5.05%

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 94 86 / 8 18 20.9% 1.27x +5.71% -6.28%
Grade C 25 21 / 4 4 19% 1.16x +4.70% -10.75%
Grade D 3931 3516 / 415 373 10.6% 0.65x +4.42% -5.32%
Grade F 9982 7392 / 2590 1415 19.1% 1.16x +6.14% -4.90%

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 108

Combination Total Checked / Pending Boom rate Lift Train lift Validation Avg runup Avg drawdown
Best Dollar volume >= $5B 438 330 / 108 39.7% 2.42x 2.46x 33.3% · 30 checked +9.61% -6.60%
Dollar volume >= $5B + Risk not High 438 330 / 108 39.7% 2.42x 2.46x 33.3% · 30 checked +9.61% -6.60%
Technical >= 16 + Dollar volume >= $5B 280 185 / 95 27% 1.65x 1.63x 28.6% · 21 checked +7.18% -6.97%
Technical >= 16 + Dollar volume >= $5B + Risk not High 280 185 / 95 27% 1.65x 1.63x 28.6% · 21 checked +7.18% -6.97%
5D momentum v2 >= 20 + Money flow >= 14 + Dollar volume >= $1B 167 139 / 28 12.9% 0.79x 0.71x 27.3% · 11 checked +4.35% -6.77%
5D momentum v2 >= 20 + Technical >= 16 + Dollar volume >= $1B 305 244 / 61 16.8% 1.02x 0.99x 26.7% · 15 checked +5.52% -7.18%
5D momentum v2 >= 20 + Dollar volume >= $1B + Risk not High 305 244 / 61 16.8% 1.02x 0.99x 26.7% · 15 checked +5.57% -7.12%
5D momentum v2 >= 20 + Dollar volume >= $1B 306 245 / 61 16.7% 1.02x 0.98x 26.7% · 15 checked +5.53% -7.17%
Money flow >= 12 + Technical >= 16 + Dollar volume >= $5B 150 103 / 47 23.3% 1.42x 1.42x 23.1% · 13 checked +6.65% -7.42%
Money flow >= 12 + Dollar volume >= $5B 152 105 / 47 22.9% 1.4x 1.39x 23.1% · 13 checked +6.62% -7.41%
Money flow >= 12 + Dollar volume >= $5B + Risk not High 152 105 / 47 22.9% 1.4x 1.39x 23.1% · 13 checked +6.62% -7.41%
Money flow >= 14 + Dollar volume >= $1B 498 417 / 81 15.8% 0.96x 0.93x 22.2% · 36 checked +5.11% -5.72%
Money flow >= 14 + Dollar volume >= $1B + Risk not High 497 417 / 80 15.8% 0.96x 0.93x 22.2% · 36 checked +5.11% -5.72%
Money flow >= 14 + Technical >= 16 + Dollar volume >= $1B 495 414 / 81 15.9% 0.97x 0.93x 22.2% · 36 checked +5.11% -5.74%
Dollar volume >= $1B 2586 1956 / 630 26.7% 1.63x 1.66x 21.7% · 189 checked +7.64% -5.70%

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 119 107 / 12 22 20.6% 1.26x 25% · 8 checked +5.52% -7.16%
5D momentum v2 >= 30 289 267 / 22 40 15% 0.91x 16.7% · 12 checked +5.28% -6.52%
Technical >= 20 + money flow >= 12 2904 2650 / 254 321 12.1% 0.74x 7% · 172 checked +4.82% -5.29%
Money flow >= 14 + momentum v2 >= 30 159 144 / 15 16 11.1% 0.68x 25% · 8 checked +4.53% -6.73%

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.AMD Advanced Micro Devices B 64.4 92.9 61.9/110 · 31/50 Elevated
Money flow S · lift 1.26x · Elevated risk n=107 · validation watch
Momentum v2 >= 30 + dollar volume >= $1B
US.MPC Marathon Petroleum B 64.5 92.3 60.3/110 · 32/50 Medium
Technical A · lift 1.26x · Validation not confirmed n=107 · 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 13657 10664 / 2993 1769 16.6% 1.01x +5.61% -5.02%
Score 90-109 362 338 / 24 39 11.5% 0.7x +4.76% -6.04%

5D momentum v2 bucket

Bucket Total Checked / Pending Boom Boom rate Lift Avg runup Avg drawdown
5D momentum v2 >= 40 72 68 / 4 15 22.1% 1.35x +5.89% -5.91%
5D momentum v2 < 20 13130 10208 / 2922 1711 16.8% 1.02x +5.64% -4.96%
5D momentum v2 30-39 217 199 / 18 25 12.6% 0.77x +5.07% -6.73%
5D momentum v2 20-29 613 540 / 73 59 10.9% 0.66x +4.76% -6.02%

Dollar volume bucket

Bucket Total Checked / Pending Boom Boom rate Lift Avg runup Avg drawdown
Dollar volume >= $5B 438 330 / 108 131 39.7% 2.42x +9.61% -6.60%
Dollar volume $1B-$5B 2148 1626 / 522 391 24% 1.46x +7.24% -5.52%
Dollar volume $250M-$1B 6870 5376 / 1494 808 15% 0.91x +5.42% -4.94%
Dollar volume < $250M 4576 3683 / 893 480 13% 0.79x +4.75% -4.88%

Risk level

Bucket Total Checked / Pending Boom Boom rate Lift Avg runup Avg drawdown
High 492 429 / 63 156 36.4% 2.22x +10.96% -7.32%
Elevated 4181 3441 / 740 1050 30.5% 1.86x +8.30% -5.89%
Medium 8978 6904 / 2074 604 8.7% 0.53x +4.02% -4.54%
Low 381 241 / 140 0 0% 0x +2.07% -3.75%

Sector

Bucket Total Checked / Pending Boom Boom rate Lift Avg runup Avg drawdown
Information Technology 2072 1628 / 444 643 39.5% 2.41x +10.15% -7.30%
Communication Services 616 478 / 138 101 21.1% 1.29x +6.34% -4.59%
Energy 588 462 / 126 81 17.5% 1.07x +5.96% -3.87%
Materials 728 572 / 156 99 17.3% 1.05x +5.73% -4.98%
Health Care 1651 1297 / 354 214 16.5% 1.01x +6.43% -4.12%
Consumer Discretionary 1316 1034 / 282 169 16.3% 0.99x +5.22% -5.46%
Industrials 2240 1760 / 480 252 14.3% 0.87x +4.78% -5.37%
Consumer Staples 979 769 / 210 65 8.5% 0.52x +4.45% -5.12%
Financials 2128 1672 / 456 141 8.4% 0.51x +4.11% -3.74%
Real Estate 846 661 / 185 28 4.2% 0.26x +2.90% -4.73%
Utilities 868 682 / 186 17 2.5% 0.15x +2.36% -4.71%

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