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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

2026-09-22 · 60D window · 10D outcome

twelvedata 9509 checked / 12524 total Boom = max runup ≥ +10% Validation: last 20D

Baseline boom rate 12.8%
Boom count 1219
Avg max runup +4.90%
Avg drawdown -5.07%

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 271 241 / 30 38 15.8% 1.23x +5.35% -6.57%
Grade D 3361 2978 / 383 273 9.2% 0.72x +4.07% -5.37%
Grade F 8885 6283 / 2602 906 14.4% 1.13x +5.28% -4.87%

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 93

Combination Total Checked / Pending Boom rate Lift Train lift Validation Avg runup Avg drawdown
Best 5D momentum v2 >= 20 + Technical >= 16 + Dollar volume >= $1B 295 230 / 65 20% 1.56x 1.41x 42.1% · 19 checked +5.83% -7.15%
5D momentum v2 >= 20 + Dollar volume >= $1B + Risk not High 296 230 / 66 20% 1.56x 1.41x 42.1% · 19 checked +5.88% -7.08%
5D momentum v2 >= 20 + Dollar volume >= $1B 297 231 / 66 19.9% 1.55x 1.4x 42.1% · 19 checked +5.83% -7.13%
5D momentum v2 >= 20 + Technical >= 20 + Dollar volume >= $1B 248 185 / 63 21.1% 1.65x 1.52x 37.5% · 16 checked +6.07% -6.67%
5D momentum v2 >= 20 + Money flow >= 14 + Dollar volume >= $250M 412 366 / 46 10.9% 0.85x 0.79x 36.4% · 11 checked +4.35% -6.25%
5D momentum v2 >= 20 + Technical >= 16 + Dollar volume >= $250M 729 634 / 95 14.2% 1.11x 1.03x 34.5% · 29 checked +5.10% -6.30%
5D momentum v2 >= 20 + Dollar volume >= $250M + Risk not High 720 625 / 95 14.1% 1.1x 1.02x 34.5% · 29 checked +5.09% -6.25%
5D momentum v2 >= 20 + Dollar volume >= $250M 735 639 / 96 14.1% 1.1x 1.02x 33.3% · 30 checked +5.10% -6.31%
5D momentum v2 >= 20 + Money flow >= 14 480 430 / 50 10.2% 0.8x 0.75x 33.3% · 12 checked +4.34% -6.13%
5D momentum v2 >= 20 + Money flow >= 14 + Technical >= 16 480 430 / 50 10.2% 0.8x 0.75x 33.3% · 12 checked +4.34% -6.13%
5D momentum v2 >= 20 + Money flow >= 14 + Risk not High 475 425 / 50 9.9% 0.77x 0.72x 33.3% · 12 checked +4.26% -6.14%
5D momentum v2 >= 20 + Money flow >= 14 + Technical >= 20 418 370 / 48 9.7% 0.76x 0.7x 33.3% · 12 checked +4.26% -6.17%
5D momentum v2 >= 20 + Money flow >= 12 + Dollar volume >= $250M 585 515 / 70 12.4% 0.97x 0.91x 31.6% · 19 checked +4.72% -6.33%
5D momentum v2 >= 20 + Money flow >= 12 + Technical >= 20 599 526 / 73 12.2% 0.95x 0.89x 31.6% · 19 checked +4.75% -6.20%
5D momentum v2 >= 20 + Money flow >= 12 + Dollar volume >= $1B 236 186 / 50 17.2% 1.34x 1.27x 30.8% · 13 checked +5.23% -7.23%

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 119 100 / 19 21 21% 1.64x 20% · 5 checked +5.38% -7.37%
5D momentum v2 >= 30 278 248 / 30 40 16.1% 1.26x 20% · 10 checked +5.29% -6.73%
Money flow >= 14 + momentum v2 >= 30 156 139 / 17 17 12.2% 0.95x 33.3% · 6 checked +4.60% -6.96%
Technical >= 20 + money flow >= 12 2610 2351 / 259 260 11.1% 0.87x 9.1% · 121 checked +4.61% -5.33%

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 12165 9183 / 2982 1177 12.8% 1x +4.91% -5.04%
Score 90-109 349 317 / 32 40 12.6% 0.98x +4.80% -6.10%

5D momentum v2 bucket

Bucket Total Checked / Pending Boom Boom rate Lift Avg runup Avg drawdown
5D momentum v2 >= 40 70 61 / 9 15 24.6% 1.92x +5.77% -6.42%
5D momentum v2 30-39 208 187 / 21 25 13.4% 1.05x +5.13% -6.83%
5D momentum v2 < 20 11674 8761 / 2913 1116 12.7% 0.99x +4.89% -4.97%
5D momentum v2 20-29 572 500 / 72 63 12.6% 0.98x +4.91% -5.98%

Dollar volume bucket

Bucket Total Checked / Pending Boom Boom rate Lift Avg runup Avg drawdown
Dollar volume >= $5B 400 291 / 109 117 40.2% 3.14x +9.74% -5.33%
Dollar volume $1B-$5B 1945 1431 / 514 324 22.6% 1.77x +7.02% -5.18%
Dollar volume $250M-$1B 6142 4650 / 1492 527 11.3% 0.88x +4.76% -5.04%
Dollar volume < $250M 4037 3137 / 900 251 8% 0.63x +3.70% -5.04%

Risk level

Bucket Total Checked / Pending Boom Boom rate Lift Avg runup Avg drawdown
High 415 346 / 69 118 34.1% 2.66x +10.80% -6.63%
Elevated 3618 2877 / 741 770 26.8% 2.09x +7.74% -5.63%
Medium 8121 6051 / 2070 331 5.5% 0.43x +3.34% -4.77%
Low 370 235 / 135 0 0% 0x +1.72% -3.81%

Sector

Bucket Total Checked / Pending Boom Boom rate Lift Avg runup Avg drawdown
Information Technology 1850 1406 / 444 515 36.6% 2.86x +9.63% -6.58%
Communication Services 548 411 / 137 76 18.5% 1.45x +5.99% -4.49%
Energy 525 399 / 126 71 17.8% 1.39x +6.20% -3.78%
Materials 650 494 / 156 62 12.6% 0.98x +4.72% -5.21%
Health Care 1474 1120 / 354 127 11.3% 0.88x +5.68% -4.29%
Consumer Discretionary 1175 893 / 282 88 9.9% 0.77x +4.03% -5.84%
Industrials 2000 1520 / 480 148 9.7% 0.76x +3.87% -5.38%
Consumer Staples 874 664 / 210 37 5.6% 0.44x +3.81% -5.24%
Financials 1900 1444 / 456 70 4.8% 0.37x +3.43% -3.98%
Utilities 775 589 / 186 15 2.5% 0.2x +2.06% -4.66%
Real Estate 753 569 / 184 10 1.8% 0.14x +2.23% -5.08%

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