For those of you who trade equities with automated systems, how many equities does your system scan/trade? I have been working on a system which will probably monitor all the stocks in Russell 3000. I am only looking to make about 10 trades per day. My filter that I run prior to the open will filter it down to a couple hundred stocks that will be scanned during market hours.
Interesting question. I did some backtesting, and it seems that 20 stocks will be ok, diversified enough to protect against bad news.