Screening
3.3 Screening Layer
Before applying the breakout model, the equity universe is reduced using predefined screening filters. The screener narrows the U.S. equity universe to liquid securities exhibiting directional alignment and elevated trading participation.
The screener does not generate entry signals; it restricts the set of instruments evaluated by the execution model.
The screener described below applies only to equities. Other instrument classes require different filtering criteria.
3.3.1 Long Screening Criteria
| Category | Condition |
|---|---|
| Country | United States |
| Price | > $10 |
| Market Cap | > $2B |
| Avg Volume (10D) | > 500K |
| Current Volume | > 500K |
| Relative Volume | > 1.5 |
| 1-Week Performance | > 5% |
| 3-Month Performance | > 5% |
| Relative Strength Index (RSI, 14) | > 65 |
| Daily Change | > 3% |
| Price vs Exponential Moving Average (EMA, 20) | Price > EMA(20) |
| Price vs EMA(50) | Price > EMA(50) |
3.3.2 Short Screening Criteria
| Category | Condition |
|---|---|
| Country | United States |
| Price | > $10 |
| Market Cap | > $2B |
| Avg Volume (10D) | > 500K |
| Current Volume | > 500K |
| Relative Volume | > 1.5 |
| 1-Week Performance | < 0% |
| 3-Month Performance | < −5% |
| RSI (14) | < 50 |
| Daily Change | < 0% |
| Price vs EMA(20) | Price < EMA(20) |
| Price vs EMA(50) | Price < EMA(50) |
3.3.3 Design Considerations
The screener emphasizes:
- Liquidity thresholds to reduce execution risk
- Multi-timeframe directional alignment
- Momentum confirmation
- Elevated participation through relative volume
Multiple filters confirm trend strength. This redundancy is intentional and narrows the candidate set before applying the breakout model.
3.3.4 Limitations
The screener:
- Does not incorporate fundamental analysis
- Does not optimize thresholds statistically
- Is not designed for mean-reversion or range-trading regimes
Thresholds are heuristic and aligned with the breakout model.
3.3.5 Integration with Breakout Model
Instruments passing the screener are subsequently evaluated using the breakout execution logic defined in Section 3.4.