Scanning thousands of small-cap names requires robust quantitative filters. Here are the exact criteria MicroStocks uses to keep the universe investable while preserving alpha.
Filter #1: Minimum Average Daily Turnover
We require a minimum 30-day average daily turnover of ₹4Cr for stocks below ₹2,500Cr market cap. This ensures the stock can absorb a normal position size without extreme slippage.
Filter #2: Free Float Value Threshold
Free float matters more than market cap. Our rule is minimum free float market value of ₹75Cr, with stronger conviction for stocks above ₹150Cr free float.
Filter #3: Promoter Pledge & Ownership Risk
Stocks with promoter pledging above 25% of promoter holdings are automatically flagged for review. We also downgrade names where pledged shares exceed 15% of the free float.
Filter #4: Price Momentum Quality
Instead of pure price returns, we screen for quality momentum: a stock should be above its 20-day average, have positive volume momentum, and not be in an overbought RSI region (>85) absent strong fundamentals.
Filter #5: Surveillance Signal Exclusion
Any stock under ASM/GSM, or showing suspicious volume patterns flagged by our surveillance engine, is removed from the default quant universe until the signal clears.