This algorithm can be used as a template for fundamental factor stock picking strategies. You can build your own version by changing the factors, ranking rule, rebalance frequency, weight etc.

The Idea comes from AQR white book. This paper talks about a long only strategy which uses more than one measures of value, momentum and quality. I used the simple version but rebalanced more frequently(once per month).

Please find the fundamental data available here. If you discover some powerful factors, it's a good thing to share to the thread so that we can generate more interesting ideas :)