Screening Filters
Market Cap ≥ $2,000,000,000
- Purpose: Focus on mid- to large-cap companies.
- Rationale: For an “Alpha Pick” style screen, you typically want companies that are more established and liquid than small-caps or micro-caps. A $2B+ market cap threshold:
- Reduces the risk and volatility associated with very small companies.
- Increases the likelihood of better disclosure, analyst coverage, and institutional interest.
- Targets companies where “alpha” can come from fundamentals and execution, not just speculative hype.
Price Above 200-Day Moving Average (PriceAboveMA200)
- Purpose: Ensure positive or constructive long-term price trend.
- Rationale: Being above the 200-day moving average is a common technical signal that:
- The stock is in a longer-term uptrend or has at least recovered from prior downtrends.
- Market participants are generally voting “yes” with their capital, which supports the idea of relative strength and upside momentum—core ideas when seeking “alpha” candidates.
- Filters out many structurally weak or downtrending names where fundamentals may not yet be reflected positively in price.
Region: United States
- Purpose: Restrict the universe to U.S.-based listings.
- Rationale: For an Alpha Pick universe, limiting to one major region:
- Keeps accounting, regulation, and disclosure standards more uniform.
- Aligns with many investors’ home-bias or mandate to focus on U.S. equities.
- Reduces currency and geopolitical complexities so you’re isolating more “stock-specific” alpha rather than macro noise.
Exchange: XNYS (NYSE), XNAS (NASDAQ), XASE (AMEX)
- Purpose: Include only major U.S. exchanges.
- Rationale: These exchanges:
- Are highly regulated and tend to list more established companies.
- Offer better liquidity, tighter spreads, and more reliable price discovery—important for any “alpha” strategy actually executable at scale.
- Avoid the risks of OTC or pink-sheet securities, which can be illiquid and more prone to manipulation.
Return on Equity (ROE) ≥ 15%
- Purpose: Target companies with strong profitability and capital efficiency.
- Rationale: High ROE is a classic quality factor:
- Indicates management is generating robust profits relative to shareholder equity.
- Tends to be associated with competitive advantages (moats), strong business models, or superior execution.
- For “alpha,” you’re looking for businesses that compound value effectively; high ROE is one of the most common markers of that.
Quarterly Revenue YoY Growth ≥ 15%
- Purpose: Ensure meaningful top-line growth.
- Rationale: For an alpha-oriented pick list, you usually want not just quality but growth:
- ≥15% year-over-year revenue growth signals companies expanding their market, product adoption, or pricing power.
- Growth + quality (high ROE) is a powerful combination historically associated with market outperformance.
- Helps filter out mature, slow-growth firms that may be solid but less likely to generate outsized returns.
P/E (TTM) between 10 and 40
- Purpose: Control valuation—avoid both extremely cheap (potential value traps) and extremely expensive (hype-driven) names.
- Rationale:
- Lower bound (≥10): Excludes ultra-low P/Es that often reflect distressed or structurally declining businesses, which can be “value traps” rather than true alpha opportunities.
- Upper bound (≤40): Excludes the highest-flying, speculative names that may be priced for perfection and vulnerable to sharp drawdowns.
- Keeps the focus on reasonably valued growth/quality companies where fundamentals can still drive upside without needing unrealistic expectations.
Why Results Match “QuantAI Alpha Pick”
- The screen combines quality (ROE ≥ 15%), growth (revenue YoY ≥ 15%), and reasonable valuation (P/E 10–40)—a classic framework for finding potential alpha: strong businesses growing at a healthy pace, not absurdly priced.
- The technical filter (PriceAboveMA200) ensures the market is already confirming the story via positive price action, improving the odds of aligning with existing or emerging trends.
- Size and listing filters (market cap ≥ $2B, U.S. region, major exchanges only) focus on liquid, investable names where any alpha thesis is more practical to implement and less dependent on speculative illiquidity.
Together, these filters approximate a systematic way to surface stocks that have a higher probability of delivering excess returns (alpha) based on a blend of quality, growth, valuation, and trend.
This list is generated based on data from one or more third party data providers. It is provided for informational purposes only by Intellectia.AI, and is not investment advice or a recommendation. Intellectia does not make any warranty or guarantee relating to the accuracy, timeliness or completeness of any third-party information, and the provision of this information does not constitute a recommendation.