Quote from subes:
Hi all,
this is my idea, which I have written my master thesis about (which is pretty much print-ready, but not final). I am currently in the process of implementing it and plan to use it primarily on the forex market, sometime later maybe also for stocks. The thesis talks about value investing because this was agreed upon with my teachers. Let me know what you think. This was started more than three years ago when my interest in automated trading began. I could think about working on this in a team, though not open sourcing it.
See: http://invesdwin.de/public/Thesis.pdf
Feedback might help me to further improve the text. I am open for discussion. 
Best regards,
Edwin
Subes,
I have begun reading the document and also page one of this thread.
At some point you may have said that this will also serve as a launching pad to make other systems and familiarize your self.
Maybe I miss read,
You mention allot of issues with the fundamental screening. Data is only for past 3 years and some aspects are not quantifiable such as the legal battle....
If I may give my suggestions here. Firstly you could use 3 years of data to pre screen, once the pre screen is done you can go and get get previous 7 years data.
As I am sure you are aware, it is important to make sure the data has not been corrected. Also, keep an eye out for companies that may have been de listed. When we look back we tend to not look at recently de listed companies. But a true back test must look at those. I am sure you can see why.
AS for the lawsuits and such, you may want to try a company that uses twitter like data as their raw data. Even a search engine may do. searching a company and certain default words can some times pop up a red flag. Instead of alerting one about the issue, just drop the stock.
Now you can back test a bit more easily. Instead of relying on what you think you or a client would have done, you can simple see if the words ABAT and fraud popped up before the entry date.
It does not need to perfect, more on this later. If you are looking for good ideas what you can do is find a rating agency, or a company that feels the urge to express their opinions.
If you respect warren buffets ideas, you may want to simply choose from his current holdings.
Theres alot of data you can add. The nature of data these days is such that at a point they actually stop helping.
I have not read the whole article Like most that respond,I have not read the whole article. So excuse me if this was covered.
Filtering for good ideas seems to be plagued with issues. I prefer the Waren buffet and analyst combo. But you could instead weed out bad companies. This may take out alot of the headaches. Hopefully you are left with companies that are for the most part OK. But you will have more of them. (Instead of few good companies)
Less may not be better especially seeing as you have another stage.
Instead of having 3-10 fundamentally good companies you will have 30-100. It sounds worse but think of it as you have the favourites and some medium long shots. Long shots pay off as much as favourites at the horse track. My Favorited was the sloppy track trifecta on the small tracks. no one saw that the nature of breeding made this a good bet. At times I was more in to it and missed going to the winner circle.
Not only this, now you havent limited your other part of the system. Your more technical ideas can choose from a bigger universe. Let them have some say too. Actually, simply by pre screening with the TA and then using fundamentals you may be able to wipe out some of your competition.
Fundmentaly it need not be perfect, remember you up against lines on charts arrows and what not. Take a look around the forum they are not magic. Nothing really is.
You can also try to play with industry's and limit your self to what is hot.
The under valued bit is good, let the analyst handle that. You should be able to find an analyst that has historical recommendations. Dont try to get the right stock (unless back testing proves the fundamentals perform twice as good.)
A good goal to have is to have a trader us technicals on stocks that are not about to crash cause they have law suits or what not.
You want good buy and hold stocks so that a trader can enjoy trading in an environment where he has a 5% advantage.Maybe get your picks from mutual funds?
The idea is great and it need not be perfect , it just needs to be consistent. if it is off and not exactly what you want it is still consistent.
The writing is peculiar to me. It is hard to understand the line of study. It is geared towards a study in markets and programming and commerce. I wonder what you are in.
If it is more on the business side, there are other ideas that you can use. I find that a good free or add based back testing platform is lacking.
As for this site. relax, you assume you need peoples help cause they seem smarter then you. You are here for reason, you post cause you want help. You do not post to help people. So your in the clear. I saw a few posts where you did some research to prove some one wrong, It may of been good for you. But it is not why you came here. 75% of a brain is a big chunk. What is left ? One must breath eat digest pulsate move fingers to type. Wow . Now words are formulated that put mine to shame. Not only that but a phd student is being corrected. So what is missing ? Maybe the 25% have been optimized. Or maybe me and you are running a bit low. (Your degree should balance us out to above 25%)
If you stay on track you will find you will be on track. If you vear off course you will be on anothers course. Once that happens new ideas are taken away from me. and future new members
P.S don't forget looking at volume during your screening. If you can program maybe you can get some ways to compare price and volume without having to give up a "seat in your living room".
P.S.S. There is no evidence that academics are any worse that I have seen. The possibility of a bias here is huge. We like to say that the high school drop out has the most chances. I assume alot of trades are high school drop outs. maybe study's back up the claim. Typically a phd student is also less likely to lie on a survey.
P.S.S You will find many here make the assumption that models that use information form the broker have a better advantage. you are adding in some thing that is related, but very distant on a intra day or week bases. There s a possibility that that unconnected inputs have a big advantage over the connected variables. Protect your 10,000 hours, go down your path.
