| Ticker | Company | Sector | Score | Conviction | Strategies | Rationale |
|---|---|---|---|---|---|---|
| Rank | Ticker | Company | Sector | Momentum | Quality | Value | Earnings | Low Vol | Growth | Composite |
|---|---|---|---|---|---|---|---|---|---|---|
The Alpha Factor Suite ranks 50 liquid US stocks across 6 academic factor families (Momentum, Quality, Value, Earnings, Volatility, Growth) using cross-sectional percentile ranking. Factor weights dynamically adjust based on the current market regime (VIX, yield curve, dollar index, SPY trend). In bear/high-vol markets, defensive factors (Quality, Low Vol) are overweighted. In bull/goldilocks markets, offensive factors (Momentum, Growth) get more weight. 9 strategies generate picks daily, and a Consensus strategy highlights stocks appearing in 3+ strategies. All data refreshes automatically via GitHub Actions after market close.
| Ticker | Company | Sector | Momentum | Quality | Value | Earnings | Low Vol | Growth | Composite | Regime Adj |
|---|---|---|---|---|---|---|---|---|---|---|
| Ticker | Company | Sector | Score | Conviction | Horizon | Risk | Size % | SL % | TP % | Top Factors |
|---|---|---|---|---|---|---|---|---|---|---|
| Date | VIX | S&P 500 | 10Y | Spread | DXY | Regime | Score |
|---|
| Regime | Momentum | Quality | Value | Earnings | Low Vol | Growth |
|---|---|---|---|---|---|---|
| Goldilocks (VIX<16, SPY up) | 30% | 15% | 15% | 20% | 5% | 15% |
| Calm Bull (VIX 16-20, SPY up) | 30% | 18% | 15% | 17% | 5% | 15% |
| Moderate (baseline) | 25% | 20% | 20% | 15% | 10% | 10% |
| Bear (SPY below SMA50) | 10% | 30% | 25% | 10% | 20% | 5% |
| High Volatility (VIX >25) | 10% | 25% | 20% | 10% | 25% | 10% |
| Extreme (VIX >35) | 5% | 30% | 20% | 5% | 35% | 5% |
| Ticker | Company | Sector | Industry | Tier | Price | Mkt Cap | P/E | Div Yield |
|---|---|---|---|---|---|---|---|---|
| Endpoint | Description |
|---|---|
alpha_data.php?type=status | System status, timestamps, counts |
alpha_data.php?type=picks | Latest strategy picks (add &strategy=X to filter) |
alpha_data.php?type=factors | Factor scores heatmap (add &sort=momentum etc) |
alpha_data.php?type=regime | Current regime + 30-day history |
alpha_data.php?type=universe | Stock universe with fundamentals |
alpha_data.php?type=ticker&symbol=AAPL | Single ticker deep dive |
alpha_data.php?type=strategies | Strategy summary |
Factor families: Momentum (12M/6M/3M returns), Quality (ROE, margins, FCF yield, debt), Value (P/E, P/B, P/S, dividend yield), Earnings (surprise consistency, beat rate, growth), Volatility (realized vol, beta, drawdown), Growth (revenue + earnings growth). All scored as cross-sectional percentiles (0-100) within the universe.