QuantAI Alpha Pick

Screening Filters

1. 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.

2. 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. 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.

4. 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.

5. 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.

6. 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.

7. 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.

8. 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.