This strategy based on stocks of S&P 500 Index. The characteristics are:
- undervalued stocks estimation;
- long-only trades;
- capital scalability;
- no leveraged;
- returns reinvested.
The algorithm strongly outperforms the market over 14 years and able to operate within wide range of initial capital. Commission and slippage included. This strategy had a low drawdown even in crisis of 2007-2009 years.