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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

2026-09-21 · 60D window · 10D outcome

twelvedata 9511 checked / 13027 total Boom = max runup ≥ +10% Validation: last 20D

Baseline boom rate 14.4%
Boom count 1366
Avg max runup +5.20%
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 B 107 89 / 18 19 21.3% 1.48x +5.76% -6.36%
Grade D 3611 3127 / 484 303 9.7% 0.67x +4.18% -5.39%
Grade F 9292 6281 / 3011 1042 16.6% 1.15x +5.71% -4.78%

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 58

Combination Total Checked / Pending Boom rate Lift Train lift Validation Avg runup Avg drawdown
Best Dollar volume >= $5B 413 290 / 123 40.7% 2.83x 2.85x 33.3% · 15 checked +9.78% -5.53%
Dollar volume >= $5B + Risk not High 413 290 / 123 40.7% 2.83x 2.85x 33.3% · 15 checked +9.78% -5.53%
Technical >= 16 + Dollar volume >= $5B 274 164 / 110 26.8% 1.86x 1.83x 33.3% · 12 checked +6.97% -6.49%
Technical >= 16 + Dollar volume >= $5B + Risk not High 274 164 / 110 26.8% 1.86x 1.83x 33.3% · 12 checked +6.97% -6.49%
5D momentum v2 >= 20 + Technical >= 16 + Dollar volume >= $250M 751 638 / 113 13% 0.9x 0.89x 27.3% · 11 checked +4.95% -6.27%
5D momentum v2 >= 20 + Dollar volume >= $250M 757 642 / 115 12.9% 0.9x 0.88x 27.3% · 11 checked +4.96% -6.26%
5D momentum v2 >= 20 + Dollar volume >= $250M + Risk not High 742 629 / 113 12.9% 0.9x 0.88x 27.3% · 11 checked +4.93% -6.21%
Dollar volume >= $1B 2434 1718 / 716 26.3% 1.83x 1.83x 25.3% · 79 checked +7.60% -5.25%
Dollar volume >= $1B + Risk not High 2422 1707 / 715 26.1% 1.81x 1.82x 24.4% · 78 checked +7.58% -5.24%
5D momentum v2 >= 20 873 752 / 121 12.8% 0.89x 0.88x 20% · 15 checked +4.91% -6.19%
5D momentum v2 >= 20 + Technical >= 16 867 748 / 119 12.8% 0.89x 0.88x 20% · 15 checked +4.91% -6.20%
5D momentum v2 >= 20 + Risk not High 857 738 / 119 12.7% 0.88x 0.88x 20% · 15 checked +4.89% -6.15%
5D momentum v2 >= 20 + Technical >= 16 + Risk not High 853 735 / 118 12.8% 0.89x 0.88x 20% · 15 checked +4.89% -6.15%
5D momentum v2 >= 20 + Technical >= 20 + Dollar volume >= $250M 644 538 / 106 12.8% 0.89x 0.88x 20% · 10 checked +4.97% -6.11%
Technical >= 16 + Dollar volume >= $1B 1609 1151 / 458 20.2% 1.4x 1.41x 19.6% · 51 checked +6.13% -5.53%

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 124 103 / 21 21 20.4% 1.42x 33.3% · 3 checked +5.37% -7.21%
5D momentum v2 >= 30 287 253 / 34 39 15.4% 1.07x 16.7% · 6 checked +5.22% -6.62%
Money flow >= 14 + momentum v2 >= 30 159 139 / 20 16 11.5% 0.8x 33.3% · 3 checked +4.46% -6.86%
Technical >= 20 + money flow >= 12 2679 2374 / 305 266 11.2% 0.78x 6.6% · 76 checked +4.62% -5.30%

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 72.3 111.9 67.9/110 · 44/50 Medium
Money flow S · Total A · lift 1.42x n=103 · validation watch
Momentum v2 >= 30 + dollar volume >= $1B
US.WBD Warner Bros. Discovery B 70.4 104.6 63.6/110 · 41/50 Medium
Technical S · Momentum A · lift 1.42x n=103 · validation watch
Momentum v2 >= 30 + dollar volume >= $1B
US.META Meta Platforms B 66.2 102.5 61.5/110 · 41/50 Elevated
Momentum A · Money flow A · lift 1.42x n=103 · validation watch
Momentum v2 >= 30 + dollar volume >= $1B
US.INTC Intel B 65.4 99.5 57.5/110 · 42/50 Elevated
Momentum A · Technical A · lift 1.42x n=103 · validation watch
Momentum v2 >= 30 + dollar volume >= $1B
US.COHR Coherent Corp. B 65.4 95 63/110 · 32/50 Elevated
Money flow A · Technical A · lift 1.42x n=103 · validation watch
Momentum v2 >= 30 + dollar volume >= $1B
US.MU Micron Technology B 68.1 94.9 63.9/110 · 31/50 Medium
Technical S · lift 1.42x · Validation not confirmed n=103 · validation watch
Momentum v2 >= 30 + dollar volume >= $1B
US.QCOM Qualcomm B 64.3 93.1 58.1/110 · 35/50 Elevated
Technical A · lift 1.42x · Elevated risk n=103 · validation watch
Momentum v2 >= 30 + dollar volume >= $1B
US.MRNA Moderna B 65.4 90.7 58.7/110 · 32/50 Elevated
Money flow A · Technical A · lift 1.42x n=103 · validation watch
Momentum v2 >= 30 + dollar volume >= $1B
US.MRVL Marvell Technology C 62.6 86 55/110 · 31/50 Elevated
lift 1.42x · Elevated risk n=103 · 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 12657 9179 / 3478 1326 14.4% 1x +5.22% -4.97%
Score 90-109 359 322 / 37 38 11.8% 0.82x +4.70% -6.02%

5D momentum v2 bucket

Bucket Total Checked / Pending Boom Boom rate Lift Avg runup Avg drawdown
5D momentum v2 >= 40 74 65 / 9 15 23.1% 1.6x +5.84% -6.12%
5D momentum v2 < 20 12154 8759 / 3395 1270 14.5% 1.01x +5.23% -4.91%
5D momentum v2 30-39 213 188 / 25 24 12.8% 0.89x +5.01% -6.80%
5D momentum v2 20-29 586 499 / 87 57 11.4% 0.79x +4.75% -5.97%

Dollar volume bucket

Bucket Total Checked / Pending Boom Boom rate Lift Avg runup Avg drawdown
Dollar volume >= $5B 413 290 / 123 118 40.7% 2.83x +9.78% -5.53%
Dollar volume $1B-$5B 2021 1428 / 593 334 23.4% 1.62x +7.16% -5.19%
Dollar volume $250M-$1B 6399 4657 / 1742 604 13% 0.9x +5.07% -4.96%
Dollar volume < $250M 4194 3136 / 1058 310 9.9% 0.69x +4.09% -4.95%

Risk level

Bucket Total Checked / Pending Boom Boom rate Lift Avg runup Avg drawdown
High 439 364 / 75 131 36% 2.5x +11.03% -6.83%
Elevated 3793 2926 / 867 838 28.6% 1.99x +8.06% -5.57%
Medium 8420 6002 / 2418 397 6.6% 0.46x +3.58% -4.67%
Low 375 219 / 156 0 0% 0x +1.83% -3.77%

Sector

Bucket Total Checked / Pending Boom Boom rate Lift Avg runup Avg drawdown
Information Technology 1924 1406 / 518 536 38.1% 2.65x +9.92% -6.76%
Communication Services 571 412 / 159 88 21.4% 1.49x +6.34% -4.31%
Energy 546 399 / 147 73 18.3% 1.27x +6.13% -3.74%
Materials 676 494 / 182 74 15% 1.04x +5.18% -5.07%
Health Care 1533 1120 / 413 143 12.8% 0.89x +5.94% -4.22%
Consumer Discretionary 1222 893 / 329 113 12.7% 0.88x +4.58% -5.60%
Industrials 2080 1520 / 560 169 11.1% 0.77x +4.18% -5.37%
Consumer Staples 909 664 / 245 50 7.5% 0.52x +4.16% -5.16%
Financials 1976 1444 / 532 91 6.3% 0.44x +3.74% -3.76%
Utilities 806 589 / 217 15 2.5% 0.17x +2.14% -4.70%
Real Estate 784 570 / 214 14 2.5% 0.17x +2.49% -4.96%

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