Fundamental filters and technical genetic algorithms for stock investing The system developed invested in S&P 500 securities employing an hybrid strategy consisting of fundamental and technical analysis. Volatility and fundamental factor filtering were implemented to choose the portfolio stocks along with a technical strategy optimized with a genetic algorithm. Fundamental growth filters with spending and earnings factors showed good performance. This was further improved by choosing only the middle volatility quintiles of companies. Overall the fundamental strategy revealed good potential returns (216% total ROI, or 13,6% annually, with a sharpe ratio of 2.64) in the period from 2011 to 2018, adding the GA resulted in a slightly lower performance of (164% total ROI, or 11,4% annually, sharpe ratio of 2.48), both with substantially higher returns than the S&P 500 index (95% total ROI, 7,7% annually, sharpe ratio of 1.81).
%% Wonder how its done past 50 years +more, so few actually meet or beat SPY benchmark?? Interesting ,with about 50 minutes to close, looks some markets price in a USA debt deal + possible USa debt downgrade , even with a deal.[Bloomberg, May26]