This book offers a new investment strategy that involves identifying “Outperforming” and “Underperforming” stocks from the S &P 500 index based on an ensemble of machine learning algorithms. This strategy uses financial indicators derived from companies’ financial statements and includes a Risk-Off filter that decreases exposure under market uncertainties. This chapter outlines the objectives of the study, its unique contributions to the fields of finance, and machine learning and sets the stage for the methodology and analysis that follow.