Pure Graham-rule Random Forest delivered 232.13% return with 1.38 Calmar ratio while AutoGluon suffered a 39.78% drawdown; combined features gave the smallest maximum drop.
Belanche, and Luis Fábregues
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Quant Convergence: Bridging Classical Value Investing and Modern Factor Models for Systematic Equity Selection
Pure Graham-rule Random Forest delivered 232.13% return with 1.38 Calmar ratio while AutoGluon suffered a 39.78% drawdown; combined features gave the smallest maximum drop.