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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

2026-10-01 · 60D window · 10D outcome

twelvedata 9004 checked / 13016 total Boom = max runup ≥ +10% Validation: last 20D

Baseline boom rate 8.5%
Boom count 762
Avg max runup +3.96%
Avg drawdown -5.35%

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 A 28 23 / 5 1 4.3% 0.51x +3.55% -7.03%
Grade B 140 110 / 30 19 17.3% 2.04x +5.07% -7.07%
Grade D 3324 2597 / 727 179 6.9% 0.81x +3.61% -5.58%
Grade F 9522 6272 / 3250 563 9% 1.06x +4.09% -5.22%

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 104

Combination Total Checked / Pending Boom rate Lift Train lift Validation Avg runup Avg drawdown
Best Money flow >= 14 + Technical >= 16 + Dollar volume >= $5B 106 60 / 46 35% 4.12x 2.19x 76.5% · 17 checked +9.06% -6.84%
Money flow >= 14 + Dollar volume >= $5B 107 61 / 46 34.4% 4.05x 2.14x 76.5% · 17 checked +8.97% -6.77%
Money flow >= 14 + Dollar volume >= $5B + Risk not High 107 61 / 46 34.4% 4.05x 2.14x 76.5% · 17 checked +8.97% -6.77%
Money flow >= 12 + Technical >= 16 + Dollar volume >= $5B 183 110 / 73 27.3% 3.21x 2.24x 53.8% · 26 checked +7.74% -6.17%
Money flow >= 12 + Dollar volume >= $5B 184 111 / 73 27% 3.18x 2.21x 53.8% · 26 checked +7.70% -6.14%
Money flow >= 12 + Dollar volume >= $5B + Risk not High 184 111 / 73 27% 3.18x 2.21x 53.8% · 26 checked +7.70% -6.14%
5D momentum v2 >= 20 + Money flow >= 14 + Dollar volume >= $1B 157 111 / 46 20.7% 2.44x 1.96x 46.7% · 15 checked +5.49% -7.30%
Technical >= 16 + Dollar volume >= $5B 314 200 / 114 30% 3.53x 2.88x 45.3% · 53 checked +7.91% -5.41%
Technical >= 16 + Dollar volume >= $5B + Risk not High 314 200 / 114 30% 3.53x 2.88x 45.3% · 53 checked +7.91% -5.41%
Money flow >= 14 + Technical >= 16 + Dollar volume >= $1B 512 336 / 176 19.6% 2.31x 1.87x 43.5% · 46 checked +5.78% -6.07%
Money flow >= 14 + Dollar volume >= $1B 514 338 / 176 19.5% 2.29x 1.86x 43.5% · 46 checked +5.77% -6.07%
Money flow >= 14 + Dollar volume >= $1B + Risk not High 513 337 / 176 19.3% 2.27x 1.86x 42.2% · 45 checked +5.73% -6.09%
Dollar volume >= $5B 400 271 / 129 29.9% 3.52x 3.18x 40% · 60 checked +8.08% -4.99%
Dollar volume >= $5B + Risk not High 400 271 / 129 29.9% 3.52x 3.18x 40% · 60 checked +8.08% -4.99%
Money flow >= 14 + Technical >= 20 + Dollar volume >= $1B 352 235 / 117 19.6% 2.31x 1.95x 40% · 30 checked +5.64% -6.08%

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 68 / 22 17 25% 2.94x 37.5% · 8 checked +5.67% -8.03%
5D momentum v2 >= 30 170 135 / 35 20 14.8% 1.74x 20% · 15 checked +4.75% -7.16%
Money flow >= 14 + momentum v2 >= 30 107 89 / 18 13 14.6% 1.72x 18.2% · 11 checked +4.70% -7.60%
Technical >= 20 + money flow >= 12 2230 1806 / 424 170 9.4% 1.11x 9.5% · 158 checked +4.34% -5.57%

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.SNPS Synopsys A 80.5 110.3 64.3/110 · 46/50 Medium
Momentum S · Technical S · lift 2.94x n=68 · validation watch
5D momentum v2 >= 30 · Momentum v2 >= 30 + dollar volume >= $1B · Money flow >= 14 + momentum v2 >= 30
US.ACN Accenture B 77.9 114.1 68.1/110 · 46/50 Medium
Momentum S · Total A · lift 2.94x n=68 · validation watch
5D momentum v2 >= 30 · Momentum v2 >= 30 + dollar volume >= $1B
US.LITE Lumentum B 74.7 106.4 63.4/110 · 43/50 Elevated
Technical S · Momentum A · lift 2.94x n=68 · validation watch
5D momentum v2 >= 30 · Momentum v2 >= 30 + dollar volume >= $1B

Score with momentum v2 bucket

Bucket Total Checked / Pending Boom Boom rate Lift Avg runup Avg drawdown
Score 90-109 240 199 / 41 23 11.6% 1.36x +4.51% -6.27%
Score < 90 12771 8803 / 3968 738 8.4% 0.99x +3.95% -5.33%

5D momentum v2 bucket

Bucket Total Checked / Pending Boom Boom rate Lift Avg runup Avg drawdown
5D momentum v2 >= 40 40 32 / 8 9 28.1% 3.31x +6.13% -7.48%
5D momentum v2 20-29 478 370 / 108 44 11.9% 1.4x +4.73% -6.34%
5D momentum v2 30-39 130 103 / 27 11 10.7% 1.26x +4.31% -7.06%
5D momentum v2 < 20 12368 8499 / 3869 698 8.2% 0.96x +3.92% -5.28%

Dollar volume bucket

Bucket Total Checked / Pending Boom Boom rate Lift Avg runup Avg drawdown
Dollar volume >= $5B 400 271 / 129 81 29.9% 3.52x +8.08% -4.99%
Dollar volume $1B-$5B 1933 1268 / 665 246 19.4% 2.28x +5.84% -5.41%
Dollar volume $250M-$1B 6297 4265 / 2032 300 7% 0.82x +3.92% -5.38%
Dollar volume < $250M 4386 3200 / 1186 135 4.2% 0.49x +2.92% -5.32%

Risk level

Bucket Total Checked / Pending Boom Boom rate Lift Avg runup Avg drawdown
High 394 297 / 97 68 22.9% 2.69x +8.90% -7.34%
Elevated 3469 2506 / 963 494 19.7% 2.32x +6.27% -6.13%
Medium 8726 5928 / 2798 200 3.4% 0.4x +2.85% -4.99%
Low 427 273 / 154 0 0% 0x +1.46% -4.02%

Sector

Bucket Total Checked / Pending Boom Boom rate Lift Avg runup Avg drawdown
Information Technology 1924 1332 / 592 398 29.9% 3.52x +7.71% -6.71%
Energy 546 378 / 168 52 13.8% 1.62x +5.66% -4.11%
Communication Services 567 391 / 176 40 10.2% 1.2x +4.45% -5.21%
Health Care 1533 1061 / 472 83 7.8% 0.92x +5.08% -4.10%
Materials 675 468 / 207 35 7.5% 0.88x +3.68% -5.63%
Consumer Staples 909 629 / 280 27 4.3% 0.51x +3.40% -5.11%
Consumer Discretionary 1222 846 / 376 26 3.1% 0.36x +2.89% -6.37%
Industrials 2080 1440 / 640 43 3% 0.35x +2.78% -5.68%
Financials 1976 1368 / 608 38 2.8% 0.33x +2.72% -4.76%
Utilities 806 558 / 248 12 2.2% 0.26x +1.89% -4.73%
Real Estate 778 533 / 245 8 1.5% 0.18x +1.95% -5.18%

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