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
2026-09-28 · 60D window · 10D outcome
Boom labels
Setup grade
| Bucket | Total | Checked / Pending | Boom | Boom rate | Lift | Avg runup | Avg drawdown |
|---|---|---|---|---|---|---|---|
| Grade A | 20 | 17 / 3 | 1 | 5.9% | 0.58x | +3.10% | -8.08% |
| Grade B | 161 | 124 / 37 | 23 | 18.5% | 1.81x | +5.22% | -6.48% |
| Grade D | 3395 | 2758 / 637 | 234 | 8.5% | 0.83x | +4.01% | -5.34% |
| Grade F | 9438 | 6103 / 3335 | 663 | 10.9% | 1.07x | +4.51% | -5.06% |
Best combinations
Auto-searches 1–3 factor AND rules from bucket cut-points. Ranked by validation lift, then train lift, then sample size.
| Combination | Total | Checked / Pending | Boom rate | Lift | Train lift | Validation | Avg runup | Avg drawdown |
|---|---|---|---|---|---|---|---|---|
| Best Money flow >= 14 + Technical >= 16 + Dollar volume >= $5B | 97 | 54 / 43 | 31.5% | 3.09x | 2.01x | 60% · 15 checked | +8.03% | -7.59% |
| Money flow >= 14 + Dollar volume >= $5B | 98 | 55 / 43 | 30.9% | 3.03x | 1.96x | 60% · 15 checked | +7.95% | -7.50% |
| Money flow >= 14 + Dollar volume >= $5B + Risk not High | 98 | 55 / 43 | 30.9% | 3.03x | 1.96x | 60% · 15 checked | +7.95% | -7.50% |
| 5D momentum v2 >= 20 + Money flow >= 14 + Dollar volume >= $250M | 357 | 280 / 77 | 15% | 1.47x | 1.26x | 47.1% · 17 checked | +4.94% | -6.27% |
| Money flow >= 14 + Technical >= 16 + Dollar volume >= $1B | 501 | 345 / 156 | 19.4% | 1.9x | 1.63x | 46.9% · 32 checked | +5.60% | -5.91% |
| Money flow >= 14 + Dollar volume >= $1B | 504 | 348 / 156 | 19.3% | 1.89x | 1.62x | 46.9% · 32 checked | +5.60% | -5.88% |
| Money flow >= 14 + Dollar volume >= $1B + Risk not High | 503 | 348 / 155 | 19.3% | 1.89x | 1.62x | 46.9% · 32 checked | +5.60% | -5.88% |
| 5D momentum v2 >= 20 + Money flow >= 14 | 412 | 329 / 83 | 13.1% | 1.28x | 1.11x | 44.4% · 18 checked | +4.72% | -6.14% |
| 5D momentum v2 >= 20 + Money flow >= 14 + Technical >= 16 | 412 | 329 / 83 | 13.1% | 1.28x | 1.11x | 44.4% · 18 checked | +4.72% | -6.14% |
| 5D momentum v2 >= 20 + Money flow >= 14 + Risk not High | 407 | 324 / 83 | 12.7% | 1.25x | 1.06x | 44.4% · 18 checked | +4.61% | -6.15% |
| 5D momentum v2 >= 20 + Money flow >= 12 + Dollar volume >= $1B | 213 | 147 / 66 | 23.1% | 2.26x | 2.02x | 43.8% · 16 checked | +5.93% | -7.58% |
| Money flow >= 12 + Technical >= 16 + Dollar volume >= $5B | 170 | 102 / 68 | 26.5% | 2.6x | 2.18x | 42.9% · 21 checked | +7.28% | -6.52% |
| Money flow >= 12 + Dollar volume >= $5B | 171 | 103 / 68 | 26.2% | 2.57x | 2.16x | 42.9% · 21 checked | +7.25% | -6.49% |
| Money flow >= 12 + Dollar volume >= $5B + Risk not High | 171 | 103 / 68 | 26.2% | 2.57x | 2.16x | 42.9% · 21 checked | +7.25% | -6.49% |
| Money flow >= 14 + Technical >= 20 + Dollar volume >= $1B | 352 | 240 / 112 | 20% | 1.96x | 1.75x | 42.9% · 21 checked | +5.44% | -5.95% |
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 | 95 | 70 / 25 | 18 | 25.7% | 2.52x | 25% · 4 checked | +5.38% | -7.95% |
| 5D momentum v2 >= 30 | 188 | 146 / 42 | 24 | 16.4% | 1.61x | 22.2% · 9 checked | +4.86% | -6.74% |
| Money flow >= 14 + momentum v2 >= 30 | 118 | 93 / 25 | 15 | 16.1% | 1.58x | 16.7% · 6 checked | +4.74% | -7.20% |
| Technical >= 20 + money flow >= 12 | 2437 | 2016 / 421 | 224 | 11.1% | 1.09x | 12.5% · 120 checked | +4.67% | -5.24% |
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.VTRS Viatris | B 70.2 | 96.4 63.4/110 · 33/50 | Medium | 5D momentum v2 >= 30 · Money flow >= 14 + momentum v2 >= 30 |
Score with momentum v2 bucket
| Bucket | Total | Checked / Pending | Boom | Boom rate | Lift | Avg runup | Avg drawdown |
|---|---|---|---|---|---|---|---|
| Score 90-109 | 264 | 216 / 48 | 27 | 12.5% | 1.23x | +4.63% | -5.92% |
| Score < 90 | 12751 | 8786 / 3965 | 892 | 10.2% | 1x | +4.35% | -5.15% |
5D momentum v2 bucket
| Bucket | Total | Checked / Pending | Boom | Boom rate | Lift | Avg runup | Avg drawdown |
|---|---|---|---|---|---|---|---|
| 5D momentum v2 >= 40 | 47 | 40 / 7 | 13 | 32.5% | 3.19x | +6.44% | -6.37% |
| 5D momentum v2 20-29 | 484 | 387 / 97 | 52 | 13.4% | 1.31x | +5.16% | -6.16% |
| 5D momentum v2 30-39 | 141 | 106 / 35 | 11 | 10.4% | 1.02x | +4.27% | -6.88% |
| 5D momentum v2 < 20 | 12349 | 8474 / 3875 | 845 | 10% | 0.98x | +4.32% | -5.10% |
Dollar volume bucket
| Bucket | Total | Checked / Pending | Boom | Boom rate | Lift | Avg runup | Avg drawdown |
|---|---|---|---|---|---|---|---|
| Dollar volume >= $5B | 407 | 277 / 130 | 97 | 35% | 3.43x | +8.56% | -5.34% |
| Dollar volume $1B-$5B | 1943 | 1282 / 661 | 264 | 20.6% | 2.02x | +6.33% | -5.29% |
| Dollar volume $250M-$1B | 6339 | 4335 / 2004 | 390 | 9% | 0.88x | +4.32% | -5.16% |
| Dollar volume < $250M | 4332 | 3113 / 1219 | 170 | 5.5% | 0.54x | +3.23% | -5.13% |
Risk level
| Bucket | Total | Checked / Pending | Boom | Boom rate | Lift | Avg runup | Avg drawdown |
|---|---|---|---|---|---|---|---|
| High | 423 | 323 / 100 | 95 | 29.4% | 2.88x | +10.05% | -6.68% |
| Elevated | 3622 | 2613 / 1009 | 590 | 22.6% | 2.22x | +6.88% | -5.83% |
| Medium | 8567 | 5817 / 2750 | 236 | 4.1% | 0.4x | +3.04% | -4.84% |
| Low | 409 | 254 / 155 | 0 | 0% | 0x | +1.51% | -4.05% |
Sector
| Bucket | Total | Checked / Pending | Boom | Boom rate | Lift | Avg runup | Avg drawdown |
|---|---|---|---|---|---|---|---|
| Information Technology | 1924 | 1332 / 592 | 429 | 32.2% | 3.16x | +8.38% | -6.71% |
| Energy | 546 | 378 / 168 | 61 | 16.1% | 1.58x | +6.07% | -3.99% |
| Communication Services | 569 | 390 / 179 | 59 | 15.1% | 1.48x | +5.34% | -4.76% |
| Health Care | 1533 | 1061 / 472 | 98 | 9.2% | 0.9x | +5.41% | -4.11% |
| Materials | 676 | 468 / 208 | 43 | 9.2% | 0.9x | +4.16% | -5.18% |
| Industrials | 2080 | 1440 / 640 | 80 | 5.6% | 0.55x | +3.26% | -5.45% |
| Consumer Discretionary | 1222 | 846 / 376 | 47 | 5.6% | 0.55x | +3.20% | -6.20% |
| Consumer Staples | 909 | 629 / 280 | 30 | 4.8% | 0.47x | +3.64% | -5.03% |
| Financials | 1976 | 1368 / 608 | 51 | 3.7% | 0.36x | +3.02% | -4.39% |
| Utilities | 806 | 558 / 248 | 12 | 2.2% | 0.22x | +1.98% | -4.56% |
| Real Estate | 780 | 537 / 243 | 11 | 2% | 0.2x | +2.09% | -5.04% |
Factor study is observational and uses archived market data only. It helps evaluate model quality, not predict or recommend trades.