Screening Filters
Market Cap ≥ $2B (market_cap: {'min': '2000000000'})
- Purpose: Focus on established, institutionally investable companies (mid/large caps).
- Rationale: An “alpha pick” concept typically prefers businesses with real scale, better disclosure, and more stable business models than micro/small caps. A $2B+ threshold reduces highly speculative names and focuses on companies where fundamentals and institutional flows can drive more predictable performance.
Monthly Avg Dollar Volume ≥ $500K (monthly_average_dollar_volume: {'min': '500000'})
- Purpose: Ensure sufficient liquidity to enter/exit positions without large slippage.
- Rationale: For any systematic or AI-driven “alpha” strategy, tradability matters. This filter avoids illiquid names where prices can be easily manipulated or where transaction costs overwhelm any alpha edge.
3-Month Price Change +10% to +60% (quarter_price_change_pct: {'min': '10', 'max': '60'})
- Purpose: Capture positive momentum without chasing extreme, potentially unsustainable spikes.
- Rationale:
- Minimum +10%: Focuses on stocks already exhibiting positive price trend—often a sign that fundamentals and sentiment are aligned.
- Maximum +60%: Excludes names that may have gone “parabolic” and could be at higher risk of sharp reversals. For an “alpha pick,” you want strong but not exhausted momentum.
Region: United States (region: ['United States'])
- Purpose: Limit to U.S.-listed companies.
- Rationale: U.S. markets have consistent reporting standards, deep liquidity, and broad institutional coverage—ideal for systematic alpha and fundamental-based selection. It also keeps the universe homogeneous from a regulatory and accounting standpoint.
Exchange: NYSE, NASDAQ, AMEX (list_exchange: ['XNYS', 'XNAS', 'XASE'])
- Purpose: Restrict the universe to major U.S. exchanges.
- Rationale: These exchanges host the bulk of high-quality, institutionally traded securities. This filter excludes OTC and lightly regulated venues that often carry higher risk, lower transparency, and less reliable liquidity.
Return on Equity ≥ 12% (return_on_equity: {'min': '12'})
- Purpose: Emphasize companies generating strong profitability relative to shareholder equity.
- Rationale: High ROE is a classic “quality” factor—companies that allocate capital efficiently and generate attractive returns tend to be more resilient. Alpha-oriented strategies often combine momentum with quality to improve risk-adjusted returns.
Quarterly EPS YoY Growth ≥ 25% (quarter_eps_yoy_growth: {'min': '25'})
- Purpose: Screen for strong earnings growth.
- Rationale: Sustained alpha is frequently associated with companies growing earnings faster than the market. A 25%+ year-over-year EPS growth threshold is aggressive enough to target genuine growth leaders rather than slow, mature businesses.
Earnings Surprise: Beat on Both Metrics (earnings_surprise: ['BothBeat'])
- Purpose: Require companies to have recently beaten analyst expectations (typically both EPS and revenue).
- Rationale: Positive earnings surprises are a powerful short- to medium-term return driver. Stocks that beat expectations often see upward revisions, improved sentiment, and continued outperformance—ideal characteristics for an “alpha pick” universe.
Why Results Match “QuantAI Alpha Pick”
- The screen combines quality (high ROE), growth (strong EPS YoY), and positive surprises (BothBeat)—core ingredients of fundamentally driven alpha.
- Adding moderate-to-strong recent momentum (+10–60% in 3 months) aligns with quantitative evidence that winners tend to keep winning in the near term.
- Liquidity and size filters (≥$2B market cap, ≥$500K dollar volume, major U.S. exchanges) ensure the resulting stocks are practical to trade and institutionally relevant.
Together, these filters are designed to surface a curated set of U.S. stocks that quantitatively and fundamentally resemble what many professional investors would consider “alpha candidates”: scalable, liquid, growing, profitable companies that are already being rewarded by the market.
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.