In recent years, due to the development and progress of the financial sector, people have proposed a general idea that both wealth management and investing become part of our daily life, consequently, financial investing is now an issue that cannot be neglected. Among the financial derivatives, the stock market is still favored by most of the people, moreover, the market was filled with an assortment of stocks, as a result, how to select the best portfolio has become a crucial issue, therefor, in this study, we hope to establish a logical and reasonable strategy for stock selection. This study applies genetic algorithm to construct stock investing strategies. We select stock sample by considering five stock-picking criteria including fundamental, financial, technical and market analysis as well as institutional holdings and ownership analysis. We further construct and determine the optimal portfolio, holding period, and market timing. Our findings show larger positive returns in genetic algorithm portfolios than the market. Thus, our results provide more valuable insights on investment strategies.