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From my learners viewpoint it is 'generally' the high turnover blue chips that meet the liquidity filter of above 150k. What needs to be considered is the look back period for this sum. A small cap. 'generally' has a rush of higher turnover then a lean period as opposed to a large cap. that meets the liquidity filter all the time.

In stock selection using position score (see position score in documents) I use the correlation function which is supposed to rank stocks correlated to the All Ordinaries. Notice how I have incorporated a linear regression slope above 0 for 20 periods on the All Ords. to rank stocks accordingly. These parameters can be altered and ultimately when testing history, the period look back has a significant bearing. Also I have a shorter period on the liquidity filter so those initial rushes for less traded stocks have a chance at selection.

Index  = LinRegSlope(Foreign("^AORD", "C", True), 20) > 0;

PositionScore = Correlation(Index, C, 10);

Turnover = MA(C*V, 10) > 50000;