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I believe what you are looking for is called Seasonal pattern. Here is a good source - http://signalfinancialgroup.com/Seasonal/SeasonalOverview.php


I know this is a really old question but here is something I ran into while trying to do essentially the same thing. One of the problems that you face when trying to detect patterns using (say) k means clustering is how do you encapsulate a pattern. For example, suppose on a certain day the index goes up 2% over a minute and then goes down 1% over the next ...


There are no "fundamental algos" analogous to "technical algos". Instead, quantitative useof fundamental data assumes applying multifactor models to predicting returns and other intrument parameters. That models vary from "academical" (like Fama-French 3-factor or Chen, Roll, Ross) to proprietary models of guys from industry: MSCI Barra, Bloomberg, CSFB, ...


Most of what you see on the web is done by amateurs. Many professionals do use 10K and 10Q information in so-called "quant" strategies, but electronic stores of this information don't come free. As a consequence, you don't see a lot on the web about using fundamentals in model-driven investment strategies. Compustat/CapitalIQ is the most well-known ...

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