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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

2026-10-23 · 60D window · 10D outcome

twelvedata 11987 checked / 15985 total Boom = max runup ≥ +10% Validation: last 20D

Baseline boom rate 11.6%
Boom count 1386
Avg max runup +4.48%
Avg drawdown -5.11%

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 223 103 / 120 15 14.6% 1.26x +4.66% -9.77%
Grade D 4704 2659 / 2045 340 12.8% 1.1x +4.66% -5.48%
Grade F 11058 9225 / 1833 1031 11.2% 0.97x +4.43% -4.95%

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 129

Combination Total Checked / Pending Boom rate Lift Train lift Validation Avg runup Avg drawdown
Best Technical >= 24 99 78 / 21 12.8% 1.1x 0.78x 36.4% · 11 checked +4.60% -7.40%
Technical >= 24 + Risk not High 99 78 / 21 12.8% 1.1x 0.78x 36.4% · 11 checked +4.60% -7.40%
Technical >= 24 + Dollar volume >= $250M 85 66 / 19 13.6% 1.17x 0.92x 30% · 10 checked +4.84% -7.54%
Technical >= 24 + Dollar volume >= $250M + Risk not High 85 66 / 19 13.6% 1.17x 0.92x 30% · 10 checked +4.84% -7.54%
5D momentum v2 >= 20 + Money flow >= 12 + Technical >= 20 604 306 / 298 16.7% 1.44x 1.25x 26.3% · 57 checked +5.21% -7.69%
Technical >= 20 + Dollar volume >= $250M 2485 1660 / 825 15.7% 1.35x 1.22x 22.2% · 306 checked +5.10% -6.45%
5D momentum v2 >= 30 + Money flow >= 12 + Technical >= 20 183 94 / 89 14.9% 1.28x 1.14x 22.2% · 18 checked +4.89% -9.46%
Technical >= 20 3437 2240 / 1197 13.8% 1.19x 1.03x 22% · 400 checked +4.70% -6.19%
Technical >= 16 9409 6241 / 3168 13.7% 1.18x 0.99x 22% · 1261 checked +4.83% -5.52%
Technical >= 16 + Risk not High 9316 6166 / 3150 13.3% 1.15x 0.96x 22% · 1252 checked +4.77% -5.48%
Technical >= 20 + Dollar volume >= $250M + Risk not High 2464 1641 / 823 15.2% 1.31x 1.19x 21.8% · 303 checked +5.01% -6.44%
Technical >= 20 + Risk not High 3411 2216 / 1195 13.3% 1.15x 0.98x 21.7% · 397 checked +4.62% -6.18%
5D momentum v2 >= 20 + Technical >= 20 706 380 / 326 16.8% 1.45x 1.35x 21.6% · 74 checked +5.33% -7.71%
5D momentum v2 >= 20 + Technical >= 20 + Risk not High 703 377 / 326 16.4% 1.41x 1.31x 21.6% · 74 checked +5.26% -7.68%
Technical >= 16 + Dollar volume >= $250M 6333 4305 / 2028 15.6% 1.34x 1.22x 21.5% · 852 checked +5.24% -5.73%

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 >= 30 181 75 / 106 12 16% 1.38x 12.5% · 16 checked +4.80% -9.44%
Momentum v2 >= 30 + dollar volume >= $1B 106 73 / 33 11 15.1% 1.3x 15.8% · 19 checked +4.87% -10.61%
Technical >= 20 + money flow >= 12 2519 1591 / 928 213 13.4% 1.16x 18.5% · 238 checked +4.74% -6.35%
5D momentum v2 >= 30 262 116 / 146 15 12.9% 1.11x 15.4% · 26 checked +4.56% -9.32%

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 90-109 352 160 / 192 24 15% 1.29x +4.76% -8.23%
Score < 90 15624 11824 / 3800 1362 11.5% 0.99x +4.47% -5.07%

5D momentum v2 bucket

Bucket Total Checked / Pending Boom Boom rate Lift Avg runup Avg drawdown
5D momentum v2 >= 40 42 28 / 14 6 21.4% 1.84x +5.73% -9.15%
5D momentum v2 20-29 820 348 / 472 65 18.7% 1.61x +5.58% -7.20%
5D momentum v2 < 20 14903 11523 / 3380 1306 11.3% 0.97x +4.45% -5.01%
5D momentum v2 30-39 220 88 / 132 9 10.2% 0.88x +4.19% -9.37%

Dollar volume bucket

Bucket Total Checked / Pending Boom Boom rate Lift Avg runup Avg drawdown
Dollar volume >= $5B 487 367 / 120 78 21.3% 1.84x +6.88% -5.92%
Dollar volume $1B-$5B 2408 1771 / 637 369 20.8% 1.79x +6.04% -5.79%
Dollar volume $250M-$1B 7645 5775 / 1870 617 10.7% 0.92x +4.38% -5.11%
Dollar volume < $250M 5445 4074 / 1371 322 7.9% 0.68x +3.72% -4.74%

Risk level

Bucket Total Checked / Pending Boom Boom rate Lift Avg runup Avg drawdown
High 330 253 / 77 65 25.7% 2.22x +6.84% -8.91%
Elevated 3522 2755 / 767 651 23.6% 2.03x +6.66% -6.95%
Medium 11431 8497 / 2934 645 7.6% 0.66x +3.76% -4.52%
Low 702 482 / 220 25 5.2% 0.45x +3.43% -2.96%

Sector

Bucket Total Checked / Pending Boom Boom rate Lift Avg runup Avg drawdown
Information Technology 2368 1776 / 592 545 30.7% 2.65x +7.89% -7.16%
Energy 672 504 / 168 77 15.3% 1.32x +5.73% -3.84%
Health Care 1888 1416 / 472 191 13.5% 1.16x +5.15% -3.91%
Consumer Staples 1120 840 / 280 112 13.3% 1.15x +4.27% -4.34%
Consumer Discretionary 1504 1128 / 376 92 8.2% 0.71x +4.11% -5.52%
Communication Services 680 508 / 172 37 7.3% 0.63x +3.72% -5.84%
Industrials 2560 1920 / 640 115 6% 0.52x +3.58% -5.01%
Financials 2432 1824 / 608 103 5.6% 0.48x +3.11% -4.89%
Utilities 992 744 / 248 42 5.6% 0.48x +3.66% -3.49%
Real Estate 950 709 / 241 40 5.6% 0.48x +2.83% -4.51%
Materials 819 618 / 201 32 5.2% 0.45x +3.42% -6.32%

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