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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

2026-09-30 · 60D window · 10D outcome

twelvedata 8505 checked / 12517 total Boom = max runup ≥ +10% Validation: last 20D

Baseline boom rate 8.5%
Boom count 721
Avg max runup +3.99%
Avg drawdown -5.34%

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 151 114 / 37 18 15.8% 1.86x +4.78% -7.13%
Grade D 3176 2508 / 668 172 6.9% 0.81x +3.60% -5.60%
Grade F 9174 5871 / 3303 531 9% 1.06x +4.14% -5.18%

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 83

Combination Total Checked / Pending Boom rate Lift Train lift Validation Avg runup Avg drawdown
Best Money flow >= 14 + Technical >= 16 + Dollar volume >= $5B 100 57 / 43 33.3% 3.92x 2.19x 78.6% · 14 checked +8.85% -7.09%
Money flow >= 14 + Dollar volume >= $5B 101 58 / 43 32.8% 3.86x 2.14x 78.6% · 14 checked +8.76% -7.02%
Money flow >= 14 + Dollar volume >= $5B + Risk not High 101 58 / 43 32.8% 3.86x 2.14x 78.6% · 14 checked +8.76% -7.02%
Money flow >= 12 + Technical >= 16 + Dollar volume >= $5B 173 104 / 69 26% 3.06x 2.24x 55% · 20 checked +7.64% -6.32%
Money flow >= 12 + Dollar volume >= $5B 174 105 / 69 25.7% 3.02x 2.21x 55% · 20 checked +7.60% -6.29%
Money flow >= 12 + Dollar volume >= $5B + Risk not High 174 105 / 69 25.7% 3.02x 2.21x 55% · 20 checked +7.60% -6.29%
Money flow >= 14 + Technical >= 16 + Dollar volume >= $1B 488 324 / 164 19.8% 2.33x 1.87x 52.9% · 34 checked +5.74% -6.14%
Money flow >= 14 + Dollar volume >= $1B 490 326 / 164 19.6% 2.31x 1.86x 52.9% · 34 checked +5.72% -6.13%
Money flow >= 14 + Dollar volume >= $1B + Risk not High 489 325 / 164 19.4% 2.28x 1.86x 51.5% · 33 checked +5.68% -6.15%
Money flow >= 14 + Technical >= 20 + Dollar volume >= $1B 338 226 / 112 19.5% 2.29x 1.95x 47.6% · 21 checked +5.52% -6.16%
Technical >= 16 + Dollar volume >= $5B 303 186 / 117 29% 3.41x 2.88x 46.2% · 39 checked +7.83% -5.61%
Technical >= 16 + Dollar volume >= $5B + Risk not High 303 186 / 117 29% 3.41x 2.88x 46.2% · 39 checked +7.83% -5.61%
Dollar volume >= $5B 385 256 / 129 29.3% 3.45x 3.18x 40% · 45 checked +8.04% -5.13%
Dollar volume >= $5B + Risk not High 385 256 / 129 29.3% 3.45x 3.18x 40% · 45 checked +8.04% -5.13%
5D momentum v2 >= 20 + Money flow >= 12 + Dollar volume >= $1B 206 143 / 63 19.6% 2.31x 2.08x 38.5% · 13 checked +5.44% -7.84%

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 87 62 / 25 15 24.2% 2.85x 50% · 2 checked +5.37% -8.35%
5D momentum v2 >= 30 167 126 / 41 18 14.3% 1.68x 16.7% · 6 checked +4.64% -7.16%
Money flow >= 14 + momentum v2 >= 30 106 82 / 24 11 13.4% 1.58x 0% · 4 checked +4.47% -7.68%
Technical >= 20 + money flow >= 12 2180 1762 / 418 167 9.5% 1.12x 10.5% · 114 checked +4.34% -5.56%

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 90-109 236 191 / 45 21 11% 1.29x +4.41% -6.27%
Score < 90 12278 8312 / 3966 699 8.4% 0.99x +3.97% -5.32%

5D momentum v2 bucket

Bucket Total Checked / Pending Boom Boom rate Lift Avg runup Avg drawdown
5D momentum v2 >= 40 37 31 / 6 9 29% 3.41x +6.28% -7.11%
5D momentum v2 20-29 455 361 / 94 43 11.9% 1.4x +4.72% -6.36%
5D momentum v2 30-39 130 95 / 35 9 9.5% 1.12x +4.10% -7.18%
5D momentum v2 < 20 11895 8018 / 3877 660 8.2% 0.96x +3.94% -5.26%

Dollar volume bucket

Bucket Total Checked / Pending Boom Boom rate Lift Avg runup Avg drawdown
Dollar volume >= $5B 385 256 / 129 75 29.3% 3.45x +8.04% -5.13%
Dollar volume $1B-$5B 1857 1192 / 665 229 19.2% 2.26x +5.80% -5.49%
Dollar volume $250M-$1B 6039 4028 / 2011 284 7.1% 0.84x +3.96% -5.35%
Dollar volume < $250M 4236 3029 / 1207 133 4.4% 0.52x +2.96% -5.27%

Risk level

Bucket Total Checked / Pending Boom Boom rate Lift Avg runup Avg drawdown
High 384 287 / 97 67 23.3% 2.74x +9.08% -7.24%
Elevated 3358 2372 / 986 464 19.6% 2.31x +6.26% -6.14%
Medium 8363 5592 / 2771 190 3.4% 0.4x +2.87% -4.96%
Low 412 254 / 158 0 0% 0x +1.48% -4.03%

Sector

Bucket Total Checked / Pending Boom Boom rate Lift Avg runup Avg drawdown
Information Technology 1850 1258 / 592 366 29.1% 3.42x +7.62% -6.80%
Energy 525 357 / 168 52 14.6% 1.72x +5.89% -3.94%
Communication Services 546 370 / 176 39 10.5% 1.24x +4.56% -5.11%
Materials 650 442 / 208 35 7.9% 0.93x +3.78% -5.37%
Health Care 1474 1002 / 472 78 7.8% 0.92x +5.13% -4.12%
Consumer Staples 874 594 / 280 27 4.5% 0.53x +3.52% -5.04%
Industrials 2000 1360 / 640 43 3.2% 0.38x +2.75% -5.78%
Consumer Discretionary 1175 799 / 376 25 3.1% 0.36x +2.84% -6.41%
Financials 1900 1292 / 608 36 2.8% 0.33x +2.76% -4.67%
Utilities 775 527 / 248 12 2.3% 0.27x +2.00% -4.63%
Real Estate 748 504 / 244 8 1.6% 0.19x +1.98% -5.12%

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