How Fillipio Scores Every Stock
Every trading day, our pipeline runs before market open. Here's exactly what happens, step by step — no black boxes.
The Daily Pipeline
Data Collection
Fresh OHLCV (Open, High, Low, Close, Volume) data is pulled for all 4,949 eligible US stocks and ETFs. We filter for: average 20-day volume > 100K, price > $1, and 200+ trading days of history. This excludes penny stocks and illiquid securities that produce unreliable signals.
Technical Indicators (25+)
For each stock, we compute: RSI (14-day), MACD & histogram, Bollinger Bands (20,2), ADX (trend strength), SMA 50 & 200, EMA 12 & 26, ATR (volatility), On-Balance Volume, Stochastic oscillator, Williams %R, Rate of Change, volume ratio vs 20-day average, distance from 52-week high, and multi-timeframe returns (1d, 5d, 20d).
ML Prediction (51 Features)
A LightGBM gradient boosted tree model processes 51 features per stock — including all technical indicators plus cross-sectional ranks (how a stock's RSI compares to all other stocks), day-of-week, and statistical features. It predicts 5-day forward returns and direction probability. The model is retrained monthly using walk-forward validation.
Composite Scoring
Each stock gets a composite score 0-100. The formula: Technical × 0.35 + ML × 0.35 + Fundamental × 0.30 (when fundamental data exists). Without fundamentals: Technical × 0.50 + ML × 0.50. Scores map to signals: ≥80 STRONG_BUY, 65-79 BUY, 40-64 HOLD, 25-39 SELL, <25 STRONG_SELL.
Risk Radar & Signals
The bottom 20 ML-scored stocks are flagged for Risk Radar — these average -3.2% loss over 5 days. Three strategies (Momentum, Value Hunter, Quality Growth) evaluate their entry/exit rules and execute paper trades with stop-losses and take-profit targets.
Data Published
All scores, signals, predictions, and portfolio updates are synced to the frontend database. By the time European markets open, everything is fresh. US investors see the data before their morning coffee.
ML Model Performance
Our model is validated rigorously. Here are the key metrics:
Top ML Features (by importance)
- 1MACD momentum (rate of change of MACD)
- 2On-Balance Volume (OBV)
- 320-day price change
- 4Momentum rank (cross-sectional)
- 5RSI rank (cross-sectional)
- 6ATR as % of price (volatility)
- 7Bollinger Band width
- 8Distance from 52-week high
- 9Volume
- 10Day of week