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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

2026-09-23 · 60D window · 10D outcome

twelvedata 9008 checked / 12523 total Boom = max runup ≥ +10% Validation: last 20D

Baseline boom rate 11.8%
Boom count 1062
Avg max runup +4.71%
Avg drawdown -5.10%

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 270 236 / 34 38 16.1% 1.36x +5.35% -6.71%
Grade D 3298 2825 / 473 255 9% 0.76x +4.03% -5.36%
Grade F 8952 5944 / 3008 768 12.9% 1.09x +5.01% -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 93

Combination Total Checked / Pending Boom rate Lift Train lift Validation Avg runup Avg drawdown
Best 5D momentum v2 >= 20 + Dollar volume >= $1B 298 223 / 75 20.6% 1.75x 1.58x 42.1% · 19 checked +5.91% -7.17%
5D momentum v2 >= 20 + Technical >= 16 + Dollar volume >= $1B 296 222 / 74 20.7% 1.75x 1.58x 42.1% · 19 checked +5.91% -7.19%
5D momentum v2 >= 20 + Dollar volume >= $1B + Risk not High 297 222 / 75 20.7% 1.75x 1.58x 42.1% · 19 checked +5.96% -7.12%
5D momentum v2 >= 20 + Technical >= 20 + Dollar volume >= $1B 247 178 / 69 21.9% 1.86x 1.73x 37.5% · 16 checked +6.17% -6.71%
5D momentum v2 >= 20 + Money flow >= 14 + Dollar volume >= $250M 412 356 / 56 11% 0.93x 0.86x 36.4% · 11 checked +4.32% -6.28%
5D momentum v2 >= 20 + Technical >= 16 + Dollar volume >= $250M 721 611 / 110 14.2% 1.2x 1.12x 34.5% · 29 checked +5.10% -6.35%
5D momentum v2 >= 20 + Dollar volume >= $250M + Risk not High 712 602 / 110 14.1% 1.19x 1.11x 34.5% · 29 checked +5.08% -6.30%
5D momentum v2 >= 20 + Dollar volume >= $250M 727 616 / 111 14.1% 1.19x 1.11x 33.3% · 30 checked +5.09% -6.36%
5D momentum v2 >= 20 + Money flow >= 14 479 418 / 61 10.3% 0.87x 0.81x 33.3% · 12 checked +4.31% -6.17%
5D momentum v2 >= 20 + Money flow >= 14 + Technical >= 16 479 418 / 61 10.3% 0.87x 0.81x 33.3% · 12 checked +4.31% -6.17%
5D momentum v2 >= 20 + Money flow >= 14 + Risk not High 474 413 / 61 9.9% 0.84x 0.78x 33.3% · 12 checked +4.22% -6.17%
5D momentum v2 >= 20 + Money flow >= 14 + Technical >= 20 417 361 / 56 10% 0.85x 0.78x 33.3% · 12 checked +4.27% -6.18%
5D momentum v2 >= 20 + Money flow >= 12 + Dollar volume >= $250M 575 493 / 82 12.4% 1.05x 0.98x 31.6% · 19 checked +4.70% -6.39%
5D momentum v2 >= 20 + Money flow >= 12 + Technical >= 20 588 504 / 84 12.1% 1.03x 0.96x 31.6% · 19 checked +4.71% -6.24%
5D momentum v2 >= 20 + Money flow >= 12 + Dollar volume >= $1B 236 179 / 57 17.9% 1.52x 1.43x 30.8% · 13 checked +5.28% -7.27%

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 116 96 / 20 21 21.9% 1.86x 20% · 5 checked +5.50% -7.41%
5D momentum v2 >= 30 273 239 / 34 39 16.3% 1.38x 20% · 10 checked +5.33% -6.78%
Money flow >= 14 + momentum v2 >= 30 157 137 / 20 17 12.4% 1.05x 33.3% · 6 checked +4.63% -6.98%
Technical >= 20 + money flow >= 12 2575 2258 / 317 245 10.9% 0.92x 9.1% · 121 checked +4.58% -5.34%

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.PLTR Palantir Technologies B 72.2 96.7 63.7/110 · 33/50 Medium
Money flow S · lift 1.86x · Validation not confirmed n=96 · validation watch
5D momentum v2 >= 30 · Momentum v2 >= 30 + dollar volume >= $1B
US.KEYS Keysight Technologies B 75.9 98.4 66.4/110 · 32/50 Medium
Money flow S · Technical A · lift 1.38x n=239 · validation OK
5D momentum v2 >= 30
US.WST West Pharmaceutical Services B 73.2 93.3 63.3/110 · 30/50 Medium
Money flow A · Technical A · lift 1.38x n=239 · validation OK
5D momentum v2 >= 30
US.ZBRA Zebra Technologies B 72.8 91.4 61.4/110 · 30/50 Medium
Technical A · lift 1.38x n=239 · validation OK
5D momentum v2 >= 30

Score with momentum v2 bucket

Bucket Total Checked / Pending Boom Boom rate Lift Avg runup Avg drawdown
Score 90-109 344 306 / 38 40 13.1% 1.11x +4.85% -6.12%
Score < 90 12170 8694 / 3476 1020 11.7% 0.99x +4.70% -5.06%

5D momentum v2 bucket

Bucket Total Checked / Pending Boom Boom rate Lift Avg runup Avg drawdown
5D momentum v2 >= 40 65 56 / 9 15 26.8% 2.27x +5.97% -6.44%
5D momentum v2 30-39 208 183 / 25 24 13.1% 1.11x +5.13% -6.88%
5D momentum v2 20-29 566 481 / 85 59 12.3% 1.04x +4.83% -6.02%
5D momentum v2 < 20 11684 8288 / 3396 964 11.6% 0.98x +4.68% -4.99%

Dollar volume bucket

Bucket Total Checked / Pending Boom Boom rate Lift Avg runup Avg drawdown
Dollar volume >= $5B 400 277 / 123 110 39.7% 3.36x +9.59% -5.17%
Dollar volume $1B-$5B 1947 1359 / 588 300 22.1% 1.87x +6.91% -5.11%
Dollar volume $250M-$1B 6156 4419 / 1737 467 10.6% 0.9x +4.61% -5.08%
Dollar volume < $250M 4020 2953 / 1067 185 6.3% 0.53x +3.39% -5.11%

Risk level

Bucket Total Checked / Pending Boom Boom rate Lift Avg runup Avg drawdown
High 410 326 / 84 106 32.5% 2.75x +10.59% -6.49%
Elevated 3573 2706 / 867 673 24.9% 2.11x +7.46% -5.66%
Medium 8163 5748 / 2415 283 4.9% 0.42x +3.20% -4.80%
Low 377 228 / 149 0 0% 0x +1.68% -3.80%

Sector

Bucket Total Checked / Pending Boom Boom rate Lift Avg runup Avg drawdown
Information Technology 1850 1332 / 518 468 35.1% 2.97x +9.34% -6.50%
Energy 525 378 / 147 70 18.5% 1.57x +6.46% -3.62%
Communication Services 548 389 / 159 65 16.7% 1.42x +5.70% -4.57%
Materials 650 468 / 182 54 11.5% 0.97x +4.52% -5.25%
Health Care 1474 1061 / 413 104 9.8% 0.83x +5.46% -4.36%
Industrials 2000 1440 / 560 123 8.5% 0.72x +3.68% -5.36%
Consumer Discretionary 1175 846 / 329 67 7.9% 0.67x +3.62% -6.07%
Consumer Staples 874 629 / 245 30 4.8% 0.41x +3.63% -5.32%
Financials 1900 1368 / 532 57 4.2% 0.36x +3.26% -4.07%
Utilities 775 558 / 217 15 2.7% 0.23x +2.09% -4.48%
Real Estate 752 539 / 213 9 1.7% 0.14x +2.12% -5.12%

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