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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

2026-10-05 · 60D window · 10D outcome

twelvedata 9004 checked / 13013 total Boom = max runup ≥ +10% Validation: last 20D

Baseline boom rate 7.8%
Boom count 698
Avg max runup +3.76%
Avg drawdown -5.47%

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 99 77 / 22 13 16.9% 2.17x +5.15% -6.93%
Grade B 40 32 / 8 1 3.1% 0.4x +4.39% -7.49%
Grade D 3333 2491 / 842 151 6.1% 0.78x +3.41% -5.68%
Grade F 9540 6403 / 3137 533 8.3% 1.06x +3.88% -5.36%

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 138

Combination Total Checked / Pending Boom rate Lift Train lift Validation Avg runup Avg drawdown
Best 5D momentum v2 >= 30 + Money flow >= 14 + Dollar volume >= $1B 52 43 / 9 25.6% 3.28x 2.72x 40% · 10 checked +5.94% -8.10%
Money flow >= 14 + Technical >= 16 + Dollar volume >= $5B 107 71 / 36 32.4% 4.15x 3.82x 37.5% · 24 checked +8.49% -5.91%
Money flow >= 14 + Dollar volume >= $5B 108 72 / 36 31.9% 4.09x 3.74x 37.5% · 24 checked +8.43% -5.87%
Money flow >= 14 + Dollar volume >= $5B + Risk not High 108 72 / 36 31.9% 4.09x 3.74x 37.5% · 24 checked +8.43% -5.87%
Money flow >= 12 + Technical >= 16 + Dollar volume >= $5B 184 122 / 62 28.7% 3.68x 3.28x 36.1% · 36 checked +7.92% -5.44%
Money flow >= 12 + Dollar volume >= $5B 185 123 / 62 28.5% 3.65x 3.24x 36.1% · 36 checked +7.88% -5.42%
Money flow >= 12 + Dollar volume >= $5B + Risk not High 185 123 / 62 28.5% 3.65x 3.24x 36.1% · 36 checked +7.88% -5.42%
5D momentum v2 >= 20 + Money flow >= 12 + Dollar volume >= $5B 48 37 / 11 27% 3.46x 2.78x 35.7% · 14 checked +6.34% -7.70%
5D momentum v2 >= 20 + Money flow >= 14 + Dollar volume >= $1B 151 111 / 40 23.4% 3x 2.56x 34.6% · 26 checked +5.92% -6.98%
5D momentum v2 >= 20 + Money flow >= 14 + Dollar volume >= $250M 307 225 / 82 14.7% 1.88x 1.47x 32.4% · 34 checked +4.96% -6.34%
5D momentum v2 >= 20 + Technical >= 16 + Dollar volume >= $5B 57 42 / 15 31% 3.97x 3.95x 31.3% · 16 checked +7.16% -7.50%
5D momentum v2 >= 20 + Dollar volume >= $5B 57 42 / 15 31% 3.97x 3.95x 31.3% · 16 checked +7.16% -7.50%
5D momentum v2 >= 20 + Dollar volume >= $5B + Risk not High 57 42 / 15 31% 3.97x 3.95x 31.3% · 16 checked +7.16% -7.50%
5D momentum v2 >= 30 + Money flow >= 14 + Dollar volume >= $250M 87 71 / 16 16.9% 2.17x 1.77x 30.8% · 13 checked +5.38% -7.31%
5D momentum v2 >= 20 + Money flow >= 14 + Technical >= 20 292 231 / 61 13% 1.67x 1.24x 30.6% · 36 checked +4.64% -6.21%

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 80 62 / 18 13 21% 2.69x 23.5% · 17 checked +5.54% -7.69%
Money flow >= 14 + momentum v2 >= 30 93 76 / 17 12 15.8% 2.03x 28.6% · 14 checked +5.16% -7.41%
5D momentum v2 >= 30 140 110 / 30 14 12.7% 1.63x 16% · 25 checked +4.85% -7.21%
Technical >= 20 + money flow >= 12 1975 1572 / 403 138 8.8% 1.13x 15.1% · 179 checked +4.19% -5.72%

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.LITE Lumentum A 79.4 93.9 60.9/110 · 33/50 Elevated
Money flow A · lift 2.69x · Elevated risk n=62 · validation OK
5D momentum v2 >= 30 · Momentum v2 >= 30 + dollar volume >= $1B · Money flow >= 14 + momentum v2 >= 30
US.PTC PTC Inc. A 79.2 102.7 61.7/110 · 41/50 Elevated
Momentum A · lift 2.69x · Elevated risk n=62 · validation OK
5D momentum v2 >= 30 · Momentum v2 >= 30 + dollar volume >= $1B
US.CRL Charles River Laboratories B 75.8 90.2 60.2/110 · 30/50 Elevated
Money flow A · Technical A · lift 2.03x n=76 · validation OK
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 90-109 197 156 / 41 19 12.2% 1.56x +4.56% -6.34%
Score < 90 12813 8847 / 3966 679 7.7% 0.99x +3.75% -5.46%

5D momentum v2 bucket

Bucket Total Checked / Pending Boom Boom rate Lift Avg runup Avg drawdown
5D momentum v2 >= 40 33 29 / 4 5 17.2% 2.21x +5.52% -7.52%
5D momentum v2 20-29 405 297 / 108 40 13.5% 1.73x +4.66% -6.43%
5D momentum v2 30-39 107 81 / 26 9 11.1% 1.42x +4.61% -7.10%
5D momentum v2 < 20 12468 8597 / 3871 644 7.5% 0.96x +3.72% -5.42%

Dollar volume bucket

Bucket Total Checked / Pending Boom Boom rate Lift Avg runup Avg drawdown
Dollar volume >= $5B 396 284 / 112 84 29.6% 3.79x +7.91% -4.48%
Dollar volume $1B-$5B 1897 1325 / 572 241 18.2% 2.33x +5.62% -5.46%
Dollar volume $250M-$1B 6260 4271 / 1989 256 6% 0.77x +3.60% -5.58%
Dollar volume < $250M 4460 3124 / 1336 117 3.7% 0.47x +2.82% -5.42%

Risk level

Bucket Total Checked / Pending Boom Boom rate Lift Avg runup Avg drawdown
High 369 273 / 96 55 20.1% 2.58x +8.00% -7.82%
Elevated 3274 2346 / 928 468 19.9% 2.55x +6.26% -6.37%
Medium 8916 6069 / 2847 175 2.9% 0.37x +2.72% -5.09%
Low 454 316 / 138 0 0% 0x +1.43% -4.06%

Sector

Bucket Total Checked / Pending Boom Boom rate Lift Avg runup Avg drawdown
Information Technology 1924 1332 / 592 401 30.1% 3.86x +7.77% -6.57%
Communication Services 567 392 / 175 33 8.4% 1.08x +3.87% -5.40%
Energy 546 378 / 168 31 8.2% 1.05x +4.62% -4.54%
Health Care 1534 1062 / 472 73 6.9% 0.88x +4.67% -4.13%
Materials 673 468 / 205 29 6.2% 0.79x +3.57% -6.10%
Consumer Staples 909 629 / 280 23 3.7% 0.47x +2.93% -5.31%
Financials 1976 1368 / 608 34 2.5% 0.32x +2.49% -5.14%
Consumer Discretionary 1222 846 / 376 21 2.5% 0.32x +2.88% -6.45%
Industrials 2080 1440 / 640 35 2.4% 0.31x +2.75% -5.65%
Utilities 806 558 / 248 12 2.2% 0.28x +1.71% -4.96%
Real Estate 776 531 / 245 6 1.1% 0.14x +1.89% -5.11%

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