📖 How It Works
🔍 The Alpha Pipeline
The alpha pipeline is a systematic stock selection system for the Russell 2000 universe. It screens, scores, and ranks stocks using a multi-factor model, then sizes positions using the Kelly criterion. The Doubler-First strategy gives priority to stocks that have already doubled — momentum begets momentum.
📊 Screening Funnel
Universe (Russell 2000)
~1,557 small-cap stocks. Start with everything, then filter.
Price/Volume/Vol Filter
Remove stocks with price < $3, volume < 100K/day, or extreme volatility. Keeps the tradable universe.
Top 100 Preliminary Screen
Score by momentum (6m, 3m returns), RSI, and volume ratio. Top 100 advance to deep analysis.
Top 20 Deep Analysis
Fundamental scoring, options flow, technical patterns, mean reversion checks, and relative strength vs sector ETFs.
Final Picks (5-8 stocks)
Kelly criterion position sizing, regime adjustments, quality filters. Only the best survive.
⚖️ Scoring Factors & Weights
Each stock's alpha score is a weighted sum of 10 factors. The default weights are:
🚀 Doubler Bonus: Stocks that have doubled in price receive an additional +20 points. This reflects the "doubler-first" strategy — strong momentum tends to continue.
📐 Kelly Criterion
Position sizing uses the Kelly criterion to determine optimal bet size:
f* = optimal fraction of bankroll to risk
p = estimated win probability (from regime + analysis)
b = ratio of average win to average loss
q = 1 - p (loss probability)
Half-Kelly: We always use half-Kelly for safety. Full Kelly is mathematically optimal but assumes perfect probability estimates — which we don't have. Half-Kelly still captures ~75% of the growth rate while dramatically reducing the chance of large drawdowns.
The Kelly is further capped at 10% per position based on confidence tier:
- HIGH confidence: Full half-Kelly up to 10%
- MEDIUM confidence: Half-Kelly capped at 10%
- LOW confidence: Quarter-Kelly capped at 5%
🌍 Regime Adjustments
The pipeline adjusts position sizes and win probabilities based on the current market regime:
- • No adjustments — full position sizes
- • Standard win probabilities
- • Look for pullback entries
- • Reduce positions by 50%
- • Lower win probability estimates
- • No new longs unless strong conviction
- • Reduce positions by 25%
- • Slightly lower win probabilities
- • Wait for stabilization
- • Standard position sizes
- • Standard win probabilities
- • Be selective with entries
📊 Entry Signals
PULLBACK
Stock is in an uptrend but has pulled back to a support zone. Best entry for existing momentum plays.
BREAKOUT
Stock is breaking above a key resistance level with volume confirmation.
REVERSAL
Stock showing signs of reversing a downtrend — oversold with bullish divergence.
⚠️ Disclaimers
- • This is a research tool, not financial advice
- • Past performance does not guarantee future results
- • Win probability estimates are models, not certainties
- • Always do your own due diligence before investing
- • Kelly criterion assumes you know the true probabilities — you don't