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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

2026-10-07 · 60D window · 10D outcome

twelvedata 9503 checked / 13508 total Boom = max runup ≥ +10% Validation: last 20D

Baseline boom rate 7.8%
Boom count 739
Avg max runup +3.76%
Avg drawdown -5.44%

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 114 84 / 30 14 16.7% 2.14x +5.07% -6.88%
Grade B 37 29 / 8 1 3.4% 0.44x +4.48% -7.16%
Grade D 3474 2608 / 866 169 6.5% 0.83x +3.50% -5.61%
Grade F 9882 6781 / 3101 555 8.2% 1.05x +3.83% -5.35%

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 144

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 57 44 / 13 25% 3.21x 2.72x 36.4% · 11 checked +5.84% -8.00%
5D momentum v2 >= 20 + Money flow >= 14 + Dollar volume >= $1B 162 116 / 46 23.3% 2.99x 2.59x 33.3% · 27 checked +5.93% -6.93%
5D momentum v2 >= 30 + Money flow >= 14 + Dollar volume >= $250M 94 74 / 20 17.6% 2.26x 1.74x 33.3% · 15 checked +5.35% -7.14%
5D momentum v2 >= 20 + Money flow >= 14 + Dollar volume >= $250M 324 234 / 90 15% 1.92x 1.5x 31.6% · 38 checked +4.97% -6.27%
5D momentum v2 >= 20 + Money flow >= 12 + Dollar volume >= $5B 50 39 / 11 25.6% 3.28x 2.78x 31.3% · 16 checked +6.05% -7.68%
5D momentum v2 >= 30 + Money flow >= 14 100 79 / 21 16.5% 2.12x 1.63x 31.3% · 16 checked +5.14% -7.25%
5D momentum v2 >= 30 + Money flow >= 14 + Technical >= 16 100 79 / 21 16.5% 2.12x 1.63x 31.3% · 16 checked +5.14% -7.25%
5D momentum v2 >= 30 + Money flow >= 14 + Risk not High 100 79 / 21 16.5% 2.12x 1.63x 31.3% · 16 checked +5.14% -7.25%
5D momentum v2 >= 30 + Money flow >= 14 + Technical >= 20 91 74 / 17 16.2% 2.08x 1.55x 31.3% · 16 checked +5.28% -6.87%
5D momentum v2 >= 30 + Money flow >= 12 + Dollar volume >= $5B 31 24 / 7 25% 3.21x 2.74x 30% · 10 checked +5.66% -7.47%
5D momentum v2 >= 20 + Money flow >= 14 371 273 / 98 12.8% 1.64x 1.27x 29.3% · 41 checked +4.61% -6.28%
5D momentum v2 >= 20 + Money flow >= 14 + Technical >= 16 371 273 / 98 12.8% 1.64x 1.27x 29.3% · 41 checked +4.61% -6.28%
5D momentum v2 >= 20 + Money flow >= 14 + Risk not High 367 269 / 98 12.3% 1.58x 1.18x 29.3% · 41 checked +4.48% -6.29%
5D momentum v2 >= 20 + Money flow >= 14 + Technical >= 20 302 238 / 64 13% 1.67x 1.28x 28.9% · 38 checked +4.62% -6.18%
Money flow >= 14 + Technical >= 16 + Dollar volume >= $1B 515 343 / 172 22.2% 2.85x 2.62x 28.8% · 73 checked +6.18% -5.99%

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 89 63 / 26 13 20.6% 2.64x 22.2% · 18 checked +5.48% -7.63%
Money flow >= 14 + momentum v2 >= 30 100 79 / 21 13 16.5% 2.12x 31.3% · 16 checked +5.14% -7.25%
5D momentum v2 >= 30 152 114 / 38 15 13.2% 1.69x 17.9% · 28 checked +4.85% -7.07%
Technical >= 20 + money flow >= 12 2018 1629 / 389 150 9.2% 1.18x 18.2% · 198 checked +4.27% -5.66%

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 90-109 212 162 / 50 20 12.3% 1.58x +4.51% -6.26%
Score < 90 13293 9340 / 3953 719 7.7% 0.99x +3.74% -5.43%

5D momentum v2 bucket

Bucket Total Checked / Pending Boom Boom rate Lift Avg runup Avg drawdown
5D momentum v2 >= 40 35 29 / 6 5 17.2% 2.21x +5.52% -7.52%
5D momentum v2 20-29 431 309 / 122 42 13.6% 1.74x +4.72% -6.39%
5D momentum v2 30-39 117 85 / 32 10 11.8% 1.51x +4.62% -6.91%
5D momentum v2 < 20 12925 9080 / 3845 682 7.5% 0.96x +3.71% -5.39%

Dollar volume bucket

Bucket Total Checked / Pending Boom Boom rate Lift Avg runup Avg drawdown
Dollar volume >= $5B 411 298 / 113 84 28.2% 3.62x +7.74% -4.47%
Dollar volume $1B-$5B 1966 1398 / 568 257 18.4% 2.36x +5.62% -5.43%
Dollar volume $250M-$1B 6493 4520 / 1973 278 6.2% 0.79x +3.62% -5.54%
Dollar volume < $250M 4638 3287 / 1351 120 3.7% 0.47x +2.79% -5.40%

Risk level

Bucket Total Checked / Pending Boom Boom rate Lift Avg runup Avg drawdown
High 375 287 / 88 60 20.9% 2.68x +7.95% -7.83%
Elevated 3373 2472 / 901 493 19.9% 2.55x +6.22% -6.37%
Medium 9283 6414 / 2869 186 2.9% 0.37x +2.74% -5.05%
Low 477 330 / 147 0 0% 0x +1.44% -4.00%

Sector

Bucket Total Checked / Pending Boom Boom rate Lift Avg runup Avg drawdown
Information Technology 1998 1406 / 592 425 30.2% 3.87x +7.80% -6.54%
Energy 567 399 / 168 33 8.3% 1.06x +4.59% -4.53%
Communication Services 584 412 / 172 33 8% 1.03x +3.79% -5.35%
Health Care 1593 1121 / 472 77 6.9% 0.88x +4.64% -4.10%
Materials 698 494 / 204 29 5.9% 0.76x +3.46% -6.29%
Consumer Staples 944 664 / 280 23 3.5% 0.45x +2.88% -5.29%
Consumer Discretionary 1269 893 / 376 25 2.8% 0.36x +2.94% -6.37%
Industrials 2160 1520 / 640 40 2.6% 0.33x +2.76% -5.59%
Financials 2052 1444 / 608 34 2.4% 0.31x +2.46% -5.11%
Utilities 837 589 / 248 14 2.4% 0.31x +1.85% -4.84%
Real Estate 806 561 / 245 6 1.1% 0.14x +1.85% -5.11%

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