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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

2026-09-29 · 60D window · 10D outcome

twelvedata 8507 checked / 12519 total Boom = max runup ≥ +10% Validation: last 20D

Baseline boom rate 9.4%
Boom count 796
Avg max runup +4.18%
Avg drawdown -5.25%

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 159 121 / 38 21 17.4% 1.85x +5.04% -6.74%
Grade D 3264 2611 / 653 205 7.9% 0.84x +3.85% -5.41%
Grade F 9079 5762 / 3317 570 9.9% 1.05x +4.32% -5.13%

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 78

Combination Total Checked / Pending Boom rate Lift Train lift Validation Avg runup Avg drawdown
Best Money flow >= 14 + Technical >= 16 + Dollar volume >= $1B 480 324 / 156 18.8% 2x 1.71x 60% · 20 checked +5.57% -6.09%
Money flow >= 14 + Dollar volume >= $1B 483 327 / 156 18.7% 1.99x 1.7x 60% · 20 checked +5.57% -6.06%
Money flow >= 14 + Dollar volume >= $1B + Risk not High 482 327 / 155 18.7% 1.99x 1.7x 60% · 20 checked +5.57% -6.06%
Money flow >= 14 + Technical >= 20 + Dollar volume >= $1B 337 225 / 112 19.1% 2.03x 1.8x 58.3% · 12 checked +5.42% -6.11%
Money flow >= 12 + Technical >= 16 + Dollar volume >= $5B 168 100 / 68 26% 2.77x 2.22x 57.1% · 14 checked +7.34% -6.55%
Money flow >= 12 + Dollar volume >= $5B 169 101 / 68 25.7% 2.73x 2.2x 57.1% · 14 checked +7.30% -6.51%
Money flow >= 12 + Dollar volume >= $5B + Risk not High 169 101 / 68 25.7% 2.73x 2.2x 57.1% · 14 checked +7.30% -6.51%
Technical >= 16 + Dollar volume >= $5B 299 182 / 117 28% 2.98x 2.63x 46.4% · 28 checked +7.44% -5.93%
Technical >= 16 + Dollar volume >= $5B + Risk not High 299 182 / 117 28% 2.98x 2.63x 46.4% · 28 checked +7.44% -5.93%
5D momentum v2 >= 20 + Money flow >= 14 + Dollar volume >= $250M 341 264 / 77 14% 1.49x 1.34x 45.5% · 11 checked +4.87% -6.42%
Dollar volume >= $5B 389 259 / 130 31.7% 3.37x 3.22x 41.9% · 31 checked +8.13% -5.47%
Dollar volume >= $5B + Risk not High 389 259 / 130 31.7% 3.37x 3.22x 41.9% · 31 checked +8.13% -5.47%
5D momentum v2 >= 20 + Money flow >= 14 394 311 / 83 11.9% 1.27x 1.14x 41.7% · 12 checked +4.54% -6.24%
5D momentum v2 >= 20 + Money flow >= 14 + Technical >= 16 394 311 / 83 11.9% 1.27x 1.14x 41.7% · 12 checked +4.54% -6.24%
5D momentum v2 >= 20 + Money flow >= 14 + Risk not High 389 306 / 83 11.4% 1.21x 1.09x 41.7% · 12 checked +4.43% -6.25%

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 90 65 / 25 16 24.6% 2.62x 50% · 2 checked +5.41% -8.11%
Money flow >= 14 + momentum v2 >= 30 111 86 / 25 14 16.3% 1.73x 0% · 3 checked +4.85% -7.43%
5D momentum v2 >= 30 176 134 / 42 21 15.7% 1.67x 20% · 5 checked +4.85% -6.92%
Technical >= 20 + money flow >= 12 2279 1860 / 419 196 10.5% 1.12x 11.8% · 76 checked +4.55% -5.32%

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 90-109 248 201 / 47 23 11.4% 1.21x +4.53% -6.10%
Score < 90 12267 8303 / 3964 771 9.3% 0.99x +4.17% -5.23%

5D momentum v2 bucket

Bucket Total Checked / Pending Boom Boom rate Lift Avg runup Avg drawdown
5D momentum v2 >= 40 39 32 / 7 10 31.3% 3.33x +6.31% -6.93%
5D momentum v2 20-29 464 368 / 96 43 11.7% 1.24x +4.80% -6.24%
5D momentum v2 30-39 137 102 / 35 11 10.8% 1.15x +4.40% -6.92%
5D momentum v2 < 20 11879 8005 / 3874 732 9.1% 0.97x +4.14% -5.17%

Dollar volume bucket

Bucket Total Checked / Pending Boom Boom rate Lift Avg runup Avg drawdown
Dollar volume >= $5B 389 259 / 130 82 31.7% 3.37x +8.13% -5.47%
Dollar volume $1B-$5B 1852 1191 / 661 233 19.6% 2.09x +6.00% -5.43%
Dollar volume $250M-$1B 6073 4069 / 2004 329 8.1% 0.86x +4.17% -5.25%
Dollar volume < $250M 4205 2988 / 1217 152 5.1% 0.54x +3.13% -5.15%

Risk level

Bucket Total Checked / Pending Boom Boom rate Lift Avg runup Avg drawdown
High 403 303 / 100 81 26.7% 2.84x +9.82% -6.82%
Elevated 3431 2423 / 1008 505 20.8% 2.21x +6.52% -5.99%
Medium 8286 5537 / 2749 210 3.8% 0.4x +2.97% -4.89%
Low 399 244 / 155 0 0% 0x +1.54% -4.03%

Sector

Bucket Total Checked / Pending Boom Boom rate Lift Avg runup Avg drawdown
Information Technology 1850 1258 / 592 379 30.1% 3.2x +7.93% -6.82%
Energy 525 357 / 168 56 15.7% 1.67x +6.07% -3.94%
Communication Services 547 370 / 177 48 13% 1.38x +5.06% -4.83%
Materials 650 442 / 208 39 8.8% 0.94x +4.04% -5.21%
Health Care 1474 1002 / 472 85 8.5% 0.9x +5.30% -4.11%
Consumer Staples 874 594 / 280 29 4.9% 0.52x +3.65% -5.01%
Consumer Discretionary 1175 799 / 376 37 4.6% 0.49x +2.99% -6.31%
Industrials 2000 1360 / 640 60 4.4% 0.47x +2.97% -5.65%
Financials 1900 1292 / 608 42 3.3% 0.35x +2.92% -4.48%
Utilities 775 527 / 248 12 2.3% 0.24x +2.03% -4.53%
Real Estate 749 506 / 243 9 1.8% 0.19x +2.06% -5.06%

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