v1.0.0 - S&P 500 Selection System & Backtesting
First major release of Financial-ML, a complete system for equity selection and backtesting using Random Forest and SEC EDGAR data.
Key Performance (vs SPY)
| Metric | Value |
|---|---|
| Sharpe Ratio | 0.93 |
| Annual Return | 20.2% |
| Max Drawdown | -22.9% |
| Alpha vs Random | 1.72% |
| Win Rate | 69.8% |
Features
- 100% Long-Only Strategy: Top 10% stocks, equal-weighted, monthly rebalancing
- Transaction costs included: 10 bps per trade, ~0.5% annual drag from 42% turnover
- Regime awareness: VIX-based features improve downside protection during volatile periods
Full Documentation: README.md