1. Executive Summary: Core Objectives & Pipeline Architecture
High-throughput vectorized signal generation, multi-timeframe confirmation, and multi-factor candidate ranking.
Key Takeaways for Investors & Traders
Processes thousands of symbols and hundreds of rolling indicators in seconds using SIMD-accelerated columnar operations.
Enforces strict mathematical entry, exit, and stop-loss criteria without subjective discretion.
Calculates composite Promising Scores combining raw strategy conviction, intraday trend alignment, and liquidity metrics.
Filters candidate assets through minimum dollar volume hurdles, delisting checks, and price thresholds.
Executive Summary
The Selected Stocks engine automates the daily transformation of raw financial market data into high-conviction, risk-adjusted trading candidates. Operating across liquid US equity universes, the system evaluates six production strategy families across 35 parametric scenarios, applies multi-timeframe technical confirmation, and compiles interactive diagnostic dashboards.
Key Business Objectives
The daily signal pipeline addresses five core quantitative objectives:
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Systematic Alpha Extraction Across 6 Strategies: Executes daily signal scans across six distinct systematic strategies (Mean Reversion, Momentum, Momentum Omega, Statistical Arbitrage, Trend Following, Volatility Breakout), eliminating manual chart inspection.
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Multi-Horizon Parameter Robustness: Eliminates single-parameter curve-fitting by sweeping 5 distinct lookback and sensitivity tiers across every strategy family.
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Liquidity-Aware Capital Deployment: Segregates the equity universe into 7 dollar-volume tranches (Tranches A through G), matching order execution assumptions to realistic market depth and institutional absorption capacity.
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Multi-Timeframe Regime Confirmation: Cross-references daily signals against intraday 15-minute Exponential Moving Averages ($EMA_{50}$, $EMA_{200}$, $EMA_{800}$), ensuring that long positions are entered only when intraday momentum is expanding.
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Multi-Factor Candidate Prioritization (Promising Score): Synthesizes historical simulation performance (Gain %), cross-scenario consensus (Signal Score), and market sentiment into a composite 3-factor Promising Score, enriched with real-time fundamental valuations and Wall Street consensus ratings via Financial Modeling Prep (FMP) APIs.
Core Pipeline Performance Benchmarks
| Operational Metric | Standard Target | Performance Benchmark |
|---|---|---|
| Analyzed Universe | All liquid US equities meeting minimum volume bounds | ~1,200 to 2,500 active tickers daily |
| Pipeline Execution Time | End-to-end cron execution post-close | < 90 seconds total run time |
| Evaluated Scenarios | 35 scenarios per strategy (Tranches A1 to G5) | 210 scenario sweeps daily |
| Output Formats | CSV, Parquet, and standalone HTML dashboards | Generated automatically at market close |
| Audit Trails | Structured JSON and rotating logfiles | Full execution history archived in logs/ |