I want to write a quantitative stock trading program based on fundamental analysis. It would crunch through prices, financial reports to look for value stocks. It can support backtesting of strategy with historical data to maximize annual return and sharpe ratio.
All the studies, libraries or codes on quantitative trading that I can find are based on some form of technical analysis or arbitrage. Why isn't there any fundamental analysis trading algorithm? given that it is a cornerstone of investing.
If you know any example of such algorithm, please share with me.