Associated backtest:

Going to create a long only strategy as well.

Full long only strategy.

Great start!

Based on my experience, adjusting for volatility really improves the strategy. I made some modifications on your long only strategy

• Removed revenue growth, and just kept roic (I generally do this because roic is a much stronger indicator alone)
  
• Changed month_end to month_start (I like the beginning :P)
  
• Selected low annualized volatility based on last 21 days
  
• Increase number of buys (100)

Let me know what you think!
A next step might be to add value or momentum into the mix.

Thank you for that Cheng! That made a substantial difference. Working on a momentum factor right now and I'll post it once its finished.

Thanks for the share, the source code is crystal clear and I will definitely run some tests, let you know how it goes.

I modified it to consider sentiment as well. Seems like it performs a little bit better but didn't make a huge difference.

Please see my comments on your other tread Jared as they apply to this one as well. If you want to actually beat the SPY, then I'd suggest just doing some algos over 10 years with one paramater to find which fundamental ratios have best predictive value, then work on combining them. In my experience, you should try P/B or P/FCF for example. ROIC, Revenue Growth, ROA, ROE, Current Ratio, and many others barely, if at all, beat the SPY when used for predicting future price appreciation re-balanced on a month to month basis.

If you look for long only, fundamentals based strategies you can look the book:

"Warren Buffett and the Interpretation of Financial Statements: The Search for the Company with a Durable Competitive Advantage"

https://www.amazon.com/gp/product/B007MXBEXK/ref=as_li_qf_sp_asin_il_tl?ie=UTF8&tag=oldschval-20&linkCode=as2&camp=1789&creative=9325&creativeASIN=B007MXBEXK

As we all know the strategy of Warren Buffet is purely long and quite successful. :-)

Warren Buffett is my idol as far as investing goes. I don't think anyone can claim as good returns for such a long time as he has had with the help of Charlie Munger through their success at Berkshire. I've read the Warren Buffet way and a few others but had not heard of the "Interpretation of Financial Statements". I shall give it a look, thanks for sharing. Presently my better algos revolve around a mix of what I have learned from Berkshire and the work by O'Shaughnessy. For some reason or another I can't seem to get any strategies to be as profitable as my fundamental based ones once liquidity and slippage are accounted for.

@Darth. Now I am trying some purely statistical strategies, but including some fundamentals like the WB's favorite ROI is in my list of endeavors.

Hi Darth, Kalin & friends who are also Buffett-Munger fans!

The reason that I love these sort of strategies is that they are robust and continue to stand the test of time.
They don't rely on fancy data mining that finds an apparent alpha which may or may not even be real and, if it is, then it will probably get arbitraged away soon as more people discover it. In contrast, everyone already knows the good fundamental stuff, but it just keeps on working, like trend following (TF). My personal favorite strategies are all combinations of Fundamentals & TF.

In addition to the Berkshire Hathaway letters & O'Shaughnessy (which have been on my shelf for years), a book that I read recently was "Buffett and Beyond" by Joseph Belmonte. It provides a very nice and easy-to-read perspective on Clean Surplus Accounting. Strongly recommended for all real WB fans!

Best wishes, safe & happy trading & investing.
Tony