The project attempts to capitalize on stock selection strategies generated by machine learning learners and then test the strategy. The use of mathematical models to replace the traditional quantitative trading main point of view, based on the strategy of computer technology, but it is still rare, the application of machine learning in the field of quantitative transactions. In hence, this project is also an exploration in this area. Now, the machine learning process, there will always be good results, the test of future investment, there is no such a satisfactory result.