Build the investable equity universe from S&P 500, Russell 1000, and NASDAQ-100 with liquidity filters
Defines the investable stock universe the other equity screeners draw from. It pulls constituents from the S&P 500, Russell 1000, and NASDAQ-100, drops delisted names, and keeps only stocks above configurable market-cap and average-dollar-volume thresholds. Survivors get a score weighted toward liquidity, size, and recent relative strength versus the market, and are returned as a ranked candidate list with clear exclusion reasons. It shows which names pass the eligibility and liquidity filters that the momentum, breakout, and sector screens start from.
The equity investable set - built from index membership, which brings its own selection.
WHAT IT DOES. Pulls constituents from the S&P 500, Russell 1000 and NASDAQ-100, drops delisted names, and keeps stocks above configurable market-cap and average-dollar-volume thresholds, scoring the survivors.
STARTING FROM INDICES IS A REAL CHOICE, not a neutral one. Index membership is itself a filter applied by a committee or a rules engine: the S&P 500 requires US domicile, a minimum float and liquidity, and PROFITABILITY - positive earnings in the most recent quarter and in the sum of the trailing four. Russell reconstitution is rules-based on market capitalisation. So a universe seeded from these indices has already excluded unprofitable companies, small companies, and recent listings, before any of our thresholds apply. That is a defensible investable set and it is not the market.
NOTE THE OVERLAP. These three indices intersect heavily - a large US technology company sits in all of them - so a union is not three independent sources of names and the combined set is far smaller than the sum.
DROPPING DELISTED NAMES IS CORRECT HERE AND FATAL ELSEWHERE, which is the distinction to carry. For a FORWARD-LOOKING investable set, excluding delisted companies is right - you cannot buy them. For a HISTORICAL study, removing them is textbook survivorship bias: the failures are gone from the sample, so measured performance is biased upward. The same operation is sound or ruinous depending on which question is being asked, and knowing which you are asking is the skill.
AVERAGE DOLLAR VOLUME rather than share volume is the right liquidity measure, because a share count means nothing without a price - a million shares of a two-dollar stock and of a two-hundred-dollar stock are entirely different quantities of tradable value.
WHY A UNIVERSE FILTER IS ALSO A RISK CONTROL. Screening out illiquid names removes exactly the securities where a screener's ranking is least reliable - thin trading makes returns noisy, spreads wide, and prices stale - so a liquidity floor improves the quality of everything computed downstream, not merely the tradability of the result.
The thresholds, the index selection and the scoring weights are our own convention, and every equity screener inherits them.
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