MES STRATEGY

Screening Filters

1. market_cap_category: large, mega

   • Purpose: Focus on highly liquid, institutionally followed U.S. equities.
   • Rationale: A “strategy” screen usually works better on names that trade cleanly and have enough depth to support entries, exits, and repeatable technical signals. Large- and mega-cap stocks are generally less erratic than smaller names, which makes them more suitable for a structured trading approach.

2. relative_vol: min 1.5

   • Purpose: Find stocks trading with above-normal activity.
   • Rationale: Strategy setups are more actionable when there is enough participation. Relative volume above 1.5 suggests current interest is meaningfully higher than usual, which can help confirm momentum, breakdowns, rebounds, or trend continuation.

3. monthly_average_dollar_volume: min 50,000,000

   • Purpose: Ensure strong liquidity.
   • Rationale: This filter helps avoid thinly traded names and reduces slippage. For a trading strategy, especially one based on technical signals, liquid stocks are preferable because price levels and indicators tend to be more reliable.

4. rsi_category: moderate

   • Purpose: Target stocks that are neither extremely overbought nor deeply oversold.
   • Rationale: A moderate RSI helps capture names that still have room to move without being too extended. This is useful for strategy-driven entries because it avoids chasing overheated stocks and avoids catching falling knives.

5. moving_average_relationship: PriceAboveMA20, PriceCrossDownMA5

   • Purpose: Capture stocks with a short-term technical shift while maintaining broader trend context.
   • Rationale: Price above the 20-day moving average suggests the stock is still in an overall constructive trend. At the same time, a cross down below the 5-day MA can signal a short-term pullback, pause, or tactical entry opportunity. Together, these conditions help identify stocks that may be setting up for a trade rather than those already fully stretched.

6. support_resistance_relationship: PriceAroundResistance, PriceFallBelowSupport

   • Purpose: Detect stocks at important technical inflection points.
   • Rationale: Strategy trading often depends on breakout or breakdown decisions. A stock near resistance may be preparing for a breakout, while one falling below support may be signaling downside continuation. These are classic levels where traders look for confirmation.

7. macd: bearish, negative

   • Purpose: Identify weakening momentum or downside pressure.
   • Rationale: MACD turning bearish or negative can confirm that a stock’s momentum is fading. That is useful when combined with price action around moving averages or support/resistance, because it helps distinguish a real shift from random noise.

8. is_index_component: GSPC

   • Purpose: Restrict the universe to S&P 500 constituents.
   • Rationale: S&P 500 stocks are generally large, liquid, and widely analyzed, which improves the reliability of technical signals. If the user is looking for a tradable strategy setup, this keeps the screen focused on higher-quality names.

9. list_exchange: XNYS, XNAS, XASE

   • Purpose: Limit results to major U.S. exchanges.
   • Rationale: This helps ensure the stocks are exchange-listed, accessible, and generally more liquid. It also improves consistency in technical screening and execution quality.

10. is_optionable: True

• Purpose: Keep only stocks with options availability.
• Rationale: If the user wants a “strategy,” options access expands possible trade structures such as calls, puts, spreads, hedges, and defined-risk setups. Even if the immediate screen is based on equities, optionability makes the names more useful for tactical strategy implementation.

Why Results Match:

• The filters combine liquidity, tradability, and technical setup quality, which is ideal for a strategy-oriented search.
• The screen is looking for stocks that are large, liquid, and actively traded, so technical signals are more trustworthy and execution is cleaner.
• The technical filters together suggest a stock that is still in a broader uptrend but showing short-term weakness or a key level test, which is exactly the kind of condition many trading strategies try to exploit.
• By focusing on S&P 500 optionable names, the screen returns candidates that are not only technically relevant but also practical for real-world trading and strategy execution.