Subject: Re: ML for MI question
For ML I've been putting in 60 to 100 financial and momentum features
Am curious about the features you used, do they include "fundamental ratios" e.g. P/B, P/S, etc often used in screens?

There are about 100 standard zoo factors widely used. For example, "Empirical Asset Pricing via Machine Learning" uses:
"a large collection of stock-level predictive characteristics based on the cross-section of stock returns literature. These include 94 characteristics (61 of which are updated annually, 13 are updated quarterly, and 20 are updated monthly). In addition, we include 74 industry dummies corresponding to the first two digits of Standard Industrial Classification (SIC) codes. Table A.6 in the Internet Appendix provides the details of these characteristics. We also construct eight macroeconomic predictors"

No. Acronym Firm characteristic Paper’s author(s) Year, Journal Data Source Frequency
1 absacc Absolute accruals Bandyopadhyay, Huang & Wirjanto 2010, WP Compustat Annual
2 acc Working capital accruals Sloan 1996, TAR Compustat Annual
3 aeavol Abnormal earnings announcement volume Lerman, Livnat & Mendenhall 2007, WP Compustat+CRSP Quarterly
4 age # years since first Compustat coverage Jiang, Lee & Zhang 2005, RAS Compustat Annual
5 agr Asset growth Cooper, Gulen & Schill 2008, JF Compustat Annual
6 baspread Bid-ask spread Amihud & Mendelson 1989, JF CRSP Monthly
7 beta Beta Fama & MacBeth 1973, JPE CRSP Monthly
8 betasq Beta squared Fama & MacBeth 1973, JPE CRSP Monthly
9 bm Book-to-market Rosenberg, Reid & Lanstein 1985, JPM Compustat+CRSP Annual
10 bm ia Industry-adjusted book to market Asness, Porter & Stevens 2000, WP Compustat+CRSP Annual
11 cash Cash holdings Palazzo 2012, JFE Compustat Quarterly
12 cashdebt Cash flow to debt Ou & Penman 1989, JAE Compustat Annual
13 cashpr Cash productivity Chandrashekar & Rao 2009, WP Compustat Annual
14 cfp Cash flow to price ratio Desai, Rajgopal & Venkatachalam 2004, TAR Compustat Annual
15 cfp ia Industry-adjusted cash flow to price ratio Asness, Porter & Stevens 2000, WP Compustat Annual
16 chatoia Industry-adjusted change in asset turnover Soliman 2008, TAR Compustat Annual
17 chcsho Change in shares outstanding Pontiff & Woodgate 2008, JF Compustat Annual
18 chempia Industry-adjusted change in employees Asness, Porter & Stevens 1994, WP Compustat Annual
19 chinv Change in inventory Thomas & Zhang 2002, RAS Compustat Annual
20 chmom Change in 6-month momentum Gettleman & Marks 2006, WP CRSP Monthly
21 chpmia Industry-adjusted change in profit margin Soliman 2008, TAR Compustat Annual
22 chtx Change in tax expense Thomas & Zhang 2011, JAR Compustat Quarterly
23 cinvest Corporate investment Titman, Wei & Xie 2004, JFQA Compustat Quarterly
24 convind Convertible debt indicator Valta 2016, JFQA Compustat Annual
25 currat Current ratio Ou & Penman 1989, JAE Compustat Annual
26 depr Depreciation / PP&E Holthausen & Larcker 1992, JAE Compustat Annual
27 divi Dividend initiation Michaely, Thaler & Womack 1995, JF Compustat Annual
28 divo Dividend omission Michaely, Thaler & Womack 1995, JF Compustat Annual
29 dolvol Dollar trading volume Chordia, Subrahmanyam & Anshuman 2001, JFE CRSP Monthly
30 dy Dividend to price Litzenberger & Ramaswamy 1982, JF Compustat Annual
31 ear Earnings announcement return Kishore, Brandt, Santa-Clara & Venkatachalam 2008, WP Compustat+CRSP Quarterly
32 egr Growth in common shareholder equity Richardson, Sloan, Soliman & Tuna 2005, JAE Compustat Annual
33 ep Earnings to price Basu 1977, JF Compustat Annual
34 gma Gross profitability Novy-Marx 2013, JFE Compustat Annual
35 grCAPX Growth in capital expenditures Anderson & Garcia-Feijoo 2006, JF Compustat Annual
36 grltnoa Growth in long term net operating assets Fairfield, Whisenant & Yohn 2003, TAR Compustat Annual
37 herf Industry sales concentration Hou & Robinson 2006, JF Compustat Annual
38 hire Employee growth rate Bazdresch, Belo & Lin 2014, JPE Compustat Annual
39 idiovol Idiosyncratic return volatility Ali, Hwang & Trombley 2003, JFE CRSP Monthly
40 ill Illiquidity Amihud 2002, JFM CRSP Monthly
41 indmom Industry momentum Moskowitz & Grinblatt 1999, JF CRSP Monthly
42 invest Capital expenditures and inventory Chen & Zhang 2010, JF Compustat Annual
43 lev Leverage Bhandari 1988, JF Compustat Annual
44 lgr Growth in long-term debt Richardson, Sloan, Soliman & Tuna 2005, JAE Compustat Annual
45 maxret Maximum daily return Bali, Cakici & Whitelaw 2011, JFE CRSP Monthly
46 mom12m 12-month momentum Jegadeesh 1990, JF CRSP Monthly
47 mom1m 1-month momentum Jegadeesh & Titman 1993, JF CRSP Monthly
48 mom36m 36-month momentum Jegadeesh & Titman 1993, JF CRSP Monthly
49 mom6m 6-month momentum Jegadeesh & Titman 1993, JF CRSP Monthly
50 ms Financial statement score Mohanram 2005, RAS Compustat Quarterly
51 mvel1 Size Banz 1981, JFE CRSP Monthly
52 mve ia Industry-adjusted size Asness, Porter & Stevens 2000, WP Compustat Annual
53 nincr Number of earnings increases Barth, Elliott & Finn 1999, JAR Compustat Quarterly
54 operprof Operating profitability Fama & French 2015, JFE Compustat Annual
55 orgcap Organizational capital Eisfeldt & Papanikolaou 2013, JF Compustat Annual
56 pchcapx ia Industry adjusted % change in capital expenditures Abarbanell & Bushee 1998, TAR Compustat Annual
57 pchcurrat % change in current ratio Ou & Penman 1989, JAE Compustat Annual
58 pchdepr % change in depreciation Holthausen & Larcker 1992, JAE Compustat Annual
59 pchgm pchsale % change in gross margin - % change in sales Abarbanell & Bushee 1998, TAR Compustat Annual
60 pchquick % change in quick ratio Ou & Penman 1989, JAE Compustat Annual
61 pchsale pchinvt % change in sales - % change in inventory Abarbanell & Bushee 1998, TAR Compustat Annual
62 pchsale pchrect % change in sales - % change in A/R Abarbanell & Bushee 1998, TAR Compustat Annual
63 pchsale pchxsga % change in sales - % change in SG&A Abarbanell & Bushee 1998, TAR Compustat Annual
64 pchsaleinv % change sales-to-inventory Ou & Penman 1989, JAE Compustat Annual
65 pctacc Percent accruals Hafzalla, Lundholm & Van Winkle 2011, TAR Compustat Annual
66 pricedelay Price delay Hou & Moskowitz 2005, RFS CRSP Monthly
67 ps Financial statements score Piotroski 2000, JAR Compustat Annual
68 quick Quick ratio Ou & Penman 1989, JAE Compustat Annual
69 rd R&D increase Eberhart, Maxwell & Siddique 2004, JF Compustat Annual
70 rd mve R&D to market capitalization Guo, Lev & Shi 2006, JBFA Compustat Annual
71 rd sale R&D to sales Guo, Lev & Shi 2006, JBFA Compustat Annual
72 realestate Real estate holdings Tuzel 2010, RFS Compustat Annual
73 retvol Return volatility Ang, Hodrick, Xing & Zhang 2006, JF CRSP Monthly
74 roaq Return on assets Balakrishnan, Bartov & Faurel 2010, JAE Compustat Quarterly
75 roavol Earnings volatility Francis, LaFond, Olsson & Schipper 2004, TAR Compustat Quarterly
76 roeq Return on equity Hou, Xue & Zhang 2015, RFS Compustat Quarterly
77 roic Return on invested capital Brown & Rowe 2007, WP Compustat Annual
78 rsup Revenue surprise Kama 2009, JBFA Compustat Quarterly
79 salecash Sales to cash Ou & Penman 1989, JAE Compustat Annual
80 saleinv Sales to inventory Ou & Penman 1989, JAE Compustat Annual
81 salerec Sales to receivables Ou & Penman 1989, JAE Compustat Annual
82 secured Secured debt Valta 2016, JFQA Compustat Annual
83 securedind Secured debt indicator Valta 2016, JFQA Compustat Annual
84 sgr Sales growth Lakonishok, Shleifer & Vishny 1994, JF Compustat Annual
85 sin Sin stocks Hong & Kacperczyk 2009, JFE Compustat Annual
86 sp Sales to price Barbee, Mukherji, & Raines 1996, FAJ Compustat Annual
87 std dolvol Volatility of liquidity (dollar trading volume) Chordia, Subrahmanyam & Anshuman 2001, JFE CRSP Monthly
88 std turn Volatility of liquidity (share turnover) Chordia, Subrahmanyam, &Anshuman 2001, JFE CRSP Monthly
89 stdacc Accrual volatility Bandyopadhyay, Huang & Wirjanto 2010, WP Compustat Quarterly
90 stdcf Cash flow volatility Huang 2009, JEF Compustat Quarterly
91 tang Debt capacity/firm tangibility Almeida & Campello 2007, RFS Compustat Annual
92 tb Tax income to book income Lev & Nissim 2004, TAR Compustat Annual
93 turn Share turnover Datar, Naik & Radcliffe 1998, JFM CRSP Monthly
94 zerotrade Zero trading days Liu 2006, JFE CRSP Monthly


I asked chatbot arena for a good stock screen using ROE, and got the following responses:

{ROE_Gemini202407}
ROE above 20%
EPS growth above 10%
Debt-to-equity ratio below 0.5
Price above the 50-day moving average
RSI below 70

{ROE_llama-3.1-70b-instruct202407}
ROE Greater than 15%
PE Less than 25
Debt-to-Equity Ratio Less than 0.5
Dividend Yield Greater than 2%
50-Day Moving Average Above 200-Day Moving Average
RSI Between 30 and 70

{ROE_llama-3.1-8b-instruct202407}
ROE Greater than 15%
PE Less than 20
Debt-to-Equity Ratio Less than 1
Dividend Yield Greater than 2%
50-Day Moving Average Above 200-Day Moving Average

These all look reasonable, but they do not outperform the market. General purpose LLM (plagiarism) is not useful yet for stock screens. Other ML methods (curve-fitting) might be, but the recent AI excitement is due to the LLM surprises (works better than expected).