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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

2026-09-25 · 60D window · 10D outcome

twelvedata 9510 checked / 13525 total Boom = max runup ≥ +10% Validation: last 20D

Baseline boom rate 11.6%
Boom count 1099
Avg max runup +4.67%
Avg drawdown -5.13%

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 248 210 / 38 31 14.8% 1.28x +5.13% -6.70%
Grade C 37 32 / 5 8 25% 2.16x +6.45% -7.65%
Grade D 3553 2968 / 585 264 8.9% 0.77x +4.05% -5.40%
Grade F 9687 6300 / 3387 796 12.6% 1.09x +4.93% -4.94%

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 85

Combination Total Checked / Pending Boom rate Lift Train lift Validation Avg runup Avg drawdown
Best Money flow >= 14 + Technical >= 16 + Dollar volume >= $5B 93 52 / 41 26.9% 2.32x 1.68x 54.5% · 11 checked +6.78% -8.27%
Money flow >= 14 + Dollar volume >= $5B 94 53 / 41 26.4% 2.28x 1.64x 54.5% · 11 checked +6.72% -8.17%
Money flow >= 14 + Dollar volume >= $5B + Risk not High 94 53 / 41 26.4% 2.28x 1.64x 54.5% · 11 checked +6.72% -8.17%
5D momentum v2 >= 20 + Money flow >= 14 + Dollar volume >= $250M 436 361 / 75 11.4% 0.98x 0.89x 45.5% · 11 checked +4.39% -6.33%
5D momentum v2 >= 20 + Money flow >= 14 504 423 / 81 10.6% 0.91x 0.84x 45.5% · 11 checked +4.37% -6.21%
5D momentum v2 >= 20 + Money flow >= 14 + Technical >= 16 504 423 / 81 10.6% 0.91x 0.84x 45.5% · 11 checked +4.37% -6.21%
5D momentum v2 >= 20 + Money flow >= 14 + Risk not High 499 418 / 81 10.3% 0.89x 0.8x 45.5% · 11 checked +4.28% -6.22%
5D momentum v2 >= 20 + Money flow >= 14 + Technical >= 20 437 366 / 71 10.4% 0.9x 0.8x 45.5% · 11 checked +4.34% -6.23%
Money flow >= 14 + Technical >= 16 + Dollar volume >= $1B 520 379 / 141 16.1% 1.39x 1.25x 45% · 20 checked +5.10% -5.91%
Money flow >= 14 + Dollar volume >= $1B 523 382 / 141 16% 1.38x 1.24x 45% · 20 checked +5.10% -5.89%
Money flow >= 14 + Dollar volume >= $1B + Risk not High 522 382 / 140 16% 1.38x 1.24x 45% · 20 checked +5.10% -5.89%
Money flow >= 12 + Technical >= 16 + Dollar volume >= $5B 164 98 / 66 24.5% 2.11x 1.87x 40% · 15 checked +6.67% -6.92%
Money flow >= 12 + Dollar volume >= $5B 165 99 / 66 24.2% 2.09x 1.84x 40% · 15 checked +6.63% -6.88%
Money flow >= 12 + Dollar volume >= $5B + Risk not High 165 99 / 66 24.2% 2.09x 1.84x 40% · 15 checked +6.63% -6.88%
5D momentum v2 >= 20 + Technical >= 16 + Dollar volume >= $1B 313 229 / 84 21% 1.81x 1.65x 40% · 20 checked +6.01% -7.20%

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 123 97 / 26 21 21.6% 1.86x 0% · 3 checked +5.50% -7.40%
5D momentum v2 >= 30 285 242 / 43 39 16.1% 1.39x 14.3% · 7 checked +5.30% -6.82%
Money flow >= 14 + momentum v2 >= 30 164 139 / 25 17 12.2% 1.05x 20% · 5 checked +4.59% -7.05%
Technical >= 20 + money flow >= 12 2694 2296 / 398 249 10.8% 0.93x 12% · 83 checked +4.59% -5.37%

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.SMCI Supermicro B 69.1 97.4 65.4/110 · 32/50 Elevated
Money flow A · Technical A · lift 1.86x n=97 · validation watch
5D momentum v2 >= 30 · Momentum v2 >= 30 + dollar volume >= $1B
US.QCOM Qualcomm B 68.2 96.6 59.6/110 · 37/50 Elevated
Technical A · lift 1.86x · Elevated risk n=97 · validation watch
5D momentum v2 >= 30 · Momentum v2 >= 30 + dollar volume >= $1B
US.DDOG Datadog B 67.2 94.2 58.2/110 · 36/50 Elevated
Money flow A · lift 1.86x · Elevated risk n=97 · validation watch
5D momentum v2 >= 30 · Momentum v2 >= 30 + dollar volume >= $1B
US.MCHP Microchip Technology B 66.2 93.2 60.2/110 · 33/50 Medium
Money flow A · lift 1.39x · Validation not confirmed n=242 · validation watch
5D momentum v2 >= 30
US.ON ON Semiconductor C 62.9 89.9 56.9/110 · 33/50 Elevated
Money flow A · lift 1.39x · Elevated risk n=242 · validation watch
5D momentum v2 >= 30

Score with momentum v2 bucket

Bucket Total Checked / Pending Boom Boom rate Lift Avg runup Avg drawdown
Score 90-109 358 310 / 48 40 12.9% 1.11x +4.84% -6.18%
Score < 90 13158 9192 / 3966 1057 11.5% 0.99x +4.66% -5.09%

5D momentum v2 bucket

Bucket Total Checked / Pending Boom Boom rate Lift Avg runup Avg drawdown
5D momentum v2 >= 40 65 57 / 8 15 26.3% 2.27x +5.96% -6.51%
5D momentum v2 30-39 220 185 / 35 24 13% 1.12x +5.10% -6.92%
5D momentum v2 20-29 590 489 / 101 61 12.5% 1.08x +4.88% -6.06%
5D momentum v2 < 20 12650 8779 / 3871 999 11.4% 0.98x +4.64% -5.03%

Dollar volume bucket

Bucket Total Checked / Pending Boom Boom rate Lift Avg runup Avg drawdown
Dollar volume >= $5B 426 292 / 134 115 39.4% 3.4x +9.59% -5.16%
Dollar volume $1B-$5B 2075 1420 / 655 312 22% 1.9x +6.89% -5.13%
Dollar volume $250M-$1B 6649 4644 / 2005 478 10.3% 0.89x +4.55% -5.12%
Dollar volume < $250M 4375 3154 / 1221 194 6.2% 0.53x +3.39% -5.14%

Risk level

Bucket Total Checked / Pending Boom Boom rate Lift Avg runup Avg drawdown
High 437 337 / 100 107 31.8% 2.74x +10.43% -6.56%
Elevated 3834 2826 / 1008 698 24.7% 2.13x +7.44% -5.70%
Medium 8844 6097 / 2747 294 4.8% 0.41x +3.19% -4.84%
Low 410 250 / 160 0 0% 0x +1.67% -3.90%

Sector

Bucket Total Checked / Pending Boom Boom rate Lift Avg runup Avg drawdown
Information Technology 1998 1406 / 592 488 34.7% 2.99x +9.26% -6.53%
Energy 567 399 / 168 70 17.5% 1.51x +6.29% -3.81%
Communication Services 592 411 / 181 67 16.3% 1.41x +5.67% -4.67%
Materials 702 494 / 208 54 10.9% 0.94x +4.43% -5.23%
Health Care 1592 1120 / 472 113 10.1% 0.87x +5.52% -4.26%
Industrials 2160 1520 / 640 125 8.2% 0.71x +3.65% -5.37%
Consumer Discretionary 1269 893 / 376 67 7.5% 0.65x +3.58% -6.07%
Consumer Staples 944 664 / 280 30 4.5% 0.39x +3.60% -5.25%
Financials 2052 1444 / 608 60 4.2% 0.36x +3.21% -4.21%
Utilities 837 589 / 248 15 2.5% 0.22x +2.02% -4.63%
Real Estate 812 570 / 242 10 1.8% 0.16x +2.08% -5.17%

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