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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

2026-09-24 · 60D window · 10D outcome

twelvedata 9009 checked / 13024 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 243 206 / 37 31 15% 1.27x +5.15% -6.66%
Grade C 37 33 / 4 8 24.2% 2.05x +6.49% -7.55%
Grade D 3410 2862 / 548 255 8.9% 0.75x +4.03% -5.36%
Grade F 9334 5908 / 3426 768 13% 1.1x +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 67

Combination Total Checked / Pending Boom rate Lift Train lift Validation Avg runup Avg drawdown
Best 5D momentum v2 >= 20 + Technical >= 16 + Dollar volume >= $1B 302 222 / 80 20.7% 1.75x 1.62x 46.2% · 13 checked +5.91% -7.19%
5D momentum v2 >= 20 + Dollar volume >= $1B + Risk not High 303 222 / 81 20.7% 1.75x 1.62x 46.2% · 13 checked +5.96% -7.12%
5D momentum v2 >= 20 + Dollar volume >= $1B 304 223 / 81 20.6% 1.75x 1.61x 46.2% · 13 checked +5.91% -7.17%
5D momentum v2 >= 20 + Technical >= 20 + Dollar volume >= $1B 253 178 / 75 21.9% 1.86x 1.73x 45.5% · 11 checked +6.17% -6.71%
5D momentum v2 >= 20 + Money flow >= 12 + Technical >= 20 597 504 / 93 12.1% 1.03x 0.97x 40% · 10 checked +4.71% -6.24%
5D momentum v2 >= 20 + Technical >= 16 + Dollar volume >= $250M 733 611 / 122 14.2% 1.2x 1.14x 38.9% · 18 checked +5.10% -6.35%
5D momentum v2 >= 20 + Dollar volume >= $250M + Risk not High 724 602 / 122 14.1% 1.19x 1.14x 38.9% · 18 checked +5.08% -6.30%
5D momentum v2 >= 20 + Technical >= 16 846 715 / 131 13.7% 1.16x 1.11x 38.9% · 18 checked +5.00% -6.27%
5D momentum v2 >= 20 + Risk not High 836 705 / 131 13.6% 1.15x 1.1x 38.9% · 18 checked +4.98% -6.23%
5D momentum v2 >= 20 + Technical >= 16 + Risk not High 832 702 / 130 13.7% 1.16x 1.1x 38.9% · 18 checked +4.98% -6.23%
5D momentum v2 >= 20 + Technical >= 20 + Dollar volume >= $250M 626 516 / 110 14.1% 1.19x 1.14x 37.5% · 16 checked +5.13% -6.21%
5D momentum v2 >= 20 + Technical >= 20 725 607 / 118 13.7% 1.16x 1.1x 37.5% · 16 checked +5.03% -6.17%
5D momentum v2 >= 20 + Technical >= 20 + Risk not High 717 600 / 117 13.5% 1.14x 1.08x 37.5% · 16 checked +4.99% -6.15%
5D momentum v2 >= 20 + Dollar volume >= $250M 739 616 / 123 14.1% 1.19x 1.14x 36.8% · 19 checked +5.09% -6.36%
5D momentum v2 >= 20 852 720 / 132 13.6% 1.15x 1.1x 36.8% · 19 checked +5.00% -6.28%

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 120 96 / 24 21 21.9% 1.86x 0% · 2 checked +5.50% -7.41%
5D momentum v2 >= 30 280 239 / 41 39 16.3% 1.38x 25% · 4 checked +5.33% -6.78%
Money flow >= 14 + momentum v2 >= 30 160 137 / 23 17 12.4% 1.05x 33.3% · 3 checked +4.63% -6.98%
Technical >= 20 + money flow >= 12 2636 2258 / 378 245 10.9% 0.92x 13.3% · 45 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.META Meta Platforms B 67.4 96.3 58.3/110 · 38/50 Elevated
Technical A · lift 1.86x · Elevated risk n=96 · validation watch
5D momentum v2 >= 30 · Momentum v2 >= 30 + dollar volume >= $1B
US.AMD Advanced Micro Devices B 67.9 93.9 58.9/110 · 35/50 Elevated
Money flow A · lift 1.86x · Elevated risk n=96 · validation watch
5D momentum v2 >= 30 · Momentum v2 >= 30 + dollar volume >= $1B
US.MRNA Moderna B 69.4 92 61/110 · 31/50 Elevated
Money flow S · Technical A · lift 1.86x n=96 · validation watch
5D momentum v2 >= 30 · Momentum v2 >= 30 + dollar volume >= $1B
US.INTC Intel B 66.8 89.9 54.9/110 · 35/50 Elevated
lift 1.86x · Elevated risk n=96 · validation watch
5D momentum v2 >= 30 · Momentum v2 >= 30 + dollar volume >= $1B
US.A Agilent Technologies B 65.4 95.7 61.7/110 · 34/50 Medium
Money flow A · lift 1.38x · Validation not confirmed n=239 · validation watch
5D momentum v2 >= 30
US.GRMN Garmin B 66.2 94.6 64.6/110 · 30/50 Medium
lift 1.38x · Validation not confirmed n=239 · validation watch
5D momentum v2 >= 30
US.MTD Mettler Toledo C 62.8 87.4 57.4/110 · 30/50 Medium
lift 1.38x · Validation not confirmed n=239 · validation watch
5D momentum v2 >= 30

Score with momentum v2 bucket

Bucket Total Checked / Pending Boom Boom rate Lift Avg runup Avg drawdown
Score 90-109 351 306 / 45 40 13.1% 1.11x +4.85% -6.12%
Score < 90 12664 8695 / 3969 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 30-39 215 183 / 32 24 13.1% 1.11x +5.13% -6.88%
5D momentum v2 20-29 572 481 / 91 59 12.3% 1.04x +4.83% -6.02%
5D momentum v2 < 20 12172 8289 / 3883 964 11.6% 0.98x +4.68% -5.00%

Dollar volume bucket

Bucket Total Checked / Pending Boom Boom rate Lift Avg runup Avg drawdown
Dollar volume >= $5B 414 277 / 137 110 39.7% 3.36x +9.59% -5.17%
Dollar volume $1B-$5B 2011 1359 / 652 300 22.1% 1.87x +6.91% -5.11%
Dollar volume $250M-$1B 6409 4419 / 1990 467 10.6% 0.9x +4.61% -5.08%
Dollar volume < $250M 4190 2954 / 1236 185 6.3% 0.53x +3.39% -5.11%

Risk level

Bucket Total Checked / Pending Boom Boom rate Lift Avg runup Avg drawdown
High 424 326 / 98 106 32.5% 2.75x +10.59% -6.49%
Elevated 3703 2706 / 997 673 24.9% 2.11x +7.46% -5.66%
Medium 8503 5749 / 2754 283 4.9% 0.42x +3.20% -4.81%
Low 394 228 / 166 0 0% 0x +1.68% -3.80%

Sector

Bucket Total Checked / Pending Boom Boom rate Lift Avg runup Avg drawdown
Information Technology 1924 1332 / 592 468 35.1% 2.97x +9.34% -6.50%
Energy 546 378 / 168 70 18.5% 1.57x +6.46% -3.62%
Communication Services 570 389 / 181 65 16.7% 1.42x +5.70% -4.57%
Materials 676 468 / 208 54 11.5% 0.97x +4.52% -5.25%
Health Care 1533 1061 / 472 104 9.8% 0.83x +5.46% -4.36%
Industrials 2080 1440 / 640 123 8.5% 0.72x +3.68% -5.36%
Consumer Discretionary 1222 846 / 376 67 7.9% 0.67x +3.62% -6.07%
Consumer Staples 909 629 / 280 30 4.8% 0.41x +3.63% -5.32%
Financials 1976 1368 / 608 57 4.2% 0.36x +3.26% -4.07%
Utilities 806 558 / 248 15 2.7% 0.23x +2.09% -4.48%
Real Estate 782 540 / 242 9 1.7% 0.14x +2.11% -5.14%

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