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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

2026-10-21 · 60D window · 10D outcome

twelvedata 10991 checked / 15486 total Boom = max runup ≥ +10% Validation: last 20D

Baseline boom rate 10.5%
Boom count 1149
Avg max runup +4.26%
Avg drawdown -5.18%

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 1809 1039 / 770 105 10.1% 0.96x +4.04% -6.35%
Grade C 560 402 / 158 77 19.2% 1.83x +5.96% -6.43%
Grade D 2582 1169 / 1413 113 9.7% 0.92x +4.09% -5.54%
Grade F 10535 8381 / 2154 854 10.2% 0.97x +4.23% -4.93%

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 133

Combination Total Checked / Pending Boom rate Lift Train lift Validation Avg runup Avg drawdown
Best Dollar volume >= $250M 10173 7267 / 2906 12.6% 1.2x 1.06x 19.6% · 1319 checked +4.71% -5.29%
Dollar volume >= $250M + Risk not High 9902 7065 / 2837 12.3% 1.17x 1.02x 19.4% · 1295 checked +4.66% -5.18%
Risk not High 15165 10748 / 4417 10.1% 0.96x 0.77x 19.2% · 1956 checked +4.20% -5.10%
Dollar volume >= $1B 2779 1955 / 824 21.3% 2.03x 2.08x 19.1% · 341 checked +6.26% -5.51%
Dollar volume >= $1B + Risk not High 2773 1950 / 823 21.2% 2.02x 2.07x 18.9% · 339 checked +6.24% -5.52%
Technical >= 20 + Dollar volume >= $250M 2337 1478 / 859 14.6% 1.39x 1.32x 18.7% · 214 checked +4.92% -6.43%
Technical >= 20 + Dollar volume >= $1B 797 536 / 261 20.9% 1.99x 2.04x 18.2% · 88 checked +6.13% -7.29%
Technical >= 20 3238 1998 / 1240 12.4% 1.18x 1.1x 18.1% · 277 checked +4.44% -6.26%
Technical >= 16 + Dollar volume >= $1B 1837 1271 / 566 22.9% 2.18x 2.3x 17.3% · 226 checked +6.62% -6.08%
Technical >= 20 + Dollar volume >= $1B + Risk not High 796 535 / 261 20.7% 1.97x 2.04x 17.2% · 87 checked +6.10% -7.31%
Technical >= 20 + Dollar volume >= $250M + Risk not High 2316 1459 / 857 14.1% 1.34x 1.3x 17.2% · 209 checked +4.82% -6.41%
Technical >= 16 + Dollar volume >= $250M 6044 3830 / 2214 14.5% 1.38x 1.32x 17.1% · 674 checked +5.07% -5.73%
Technical >= 16 9000 5522 / 3478 12.1% 1.15x 1.05x 17.1% · 960 checked +4.53% -5.66%
Technical >= 16 + Dollar volume >= $1B + Risk not High 1834 1268 / 566 22.8% 2.17x 2.29x 17% · 224 checked +6.60% -6.09%
Technical >= 16 + Dollar volume >= $250M + Risk not High 5968 3771 / 2197 14.1% 1.34x 1.29x 16.7% · 666 checked +4.99% -5.68%

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
Money flow >= 14 + momentum v2 >= 30 129 68 / 61 10 14.7% 1.4x 0% · 13 checked +4.73% -9.12%
Technical >= 20 + money flow >= 12 2350 1437 / 913 182 12.7% 1.21x 15.4% · 169 checked +4.58% -6.35%
Momentum v2 >= 30 + dollar volume >= $1B 92 65 / 27 8 12.3% 1.17x 0% · 19 checked +4.70% -10.38%
5D momentum v2 >= 30 188 105 / 83 11 10.5% 1x 0% · 25 checked +4.33% -9.27%

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 90-109 280 139 / 141 16 11.5% 1.1x +4.36% -8.38%
Score < 90 15202 10849 / 4353 1133 10.4% 0.99x +4.26% -5.14%

5D momentum v2 bucket

Bucket Total Checked / Pending Boom Boom rate Lift Avg runup Avg drawdown
5D momentum v2 20-29 676 308 / 368 56 18.2% 1.73x +5.35% -7.49%
5D momentum v2 >= 40 32 23 / 9 3 13% 1.24x +5.08% -9.21%
5D momentum v2 < 20 14622 10578 / 4044 1082 10.2% 0.97x +4.23% -5.07%
5D momentum v2 30-39 156 82 / 74 8 9.8% 0.93x +4.11% -9.29%

Dollar volume bucket

Bucket Total Checked / Pending Boom Boom rate Lift Avg runup Avg drawdown
Dollar volume >= $5B 471 334 / 137 75 22.5% 2.14x +7.18% -5.30%
Dollar volume $1B-$5B 2308 1621 / 687 342 21.1% 2.01x +6.08% -5.56%
Dollar volume $250M-$1B 7394 5312 / 2082 500 9.4% 0.9x +4.14% -5.21%
Dollar volume < $250M 5313 3724 / 1589 232 6.2% 0.59x +3.37% -4.97%

Risk level

Bucket Total Checked / Pending Boom Boom rate Lift Avg runup Avg drawdown
High 321 243 / 78 62 25.5% 2.43x +6.79% -8.98%
Elevated 3415 2568 / 847 609 23.7% 2.26x +6.70% -6.69%
Medium 11073 7747 / 3326 463 6% 0.57x +3.44% -4.67%
Low 677 433 / 244 15 3.5% 0.33x +2.98% -3.20%

Sector

Bucket Total Checked / Pending Boom Boom rate Lift Avg runup Avg drawdown
Information Technology 2294 1628 / 666 515 31.6% 3.01x +8.10% -6.76%
Energy 651 462 / 189 72 15.6% 1.49x +5.64% -4.01%
Health Care 1829 1298 / 531 149 11.5% 1.1x +4.80% -4.12%
Consumer Staples 1085 770 / 315 76 9.9% 0.94x +3.78% -4.60%
Communication Services 660 468 / 192 34 7.3% 0.7x +3.59% -5.90%
Consumer Discretionary 1457 1034 / 423 65 6.3% 0.6x +3.79% -5.69%
Utilities 961 682 / 279 40 5.9% 0.56x +3.45% -3.61%
Real Estate 920 649 / 271 31 4.8% 0.46x +2.50% -4.73%
Industrials 2480 1760 / 720 80 4.5% 0.43x +3.33% -5.01%
Financials 2356 1672 / 684 69 4.1% 0.39x +2.80% -5.06%
Materials 793 568 / 225 18 3.2% 0.3x +3.07% -6.62%

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