The Evolving Returns optimisation System EROS is created in a novel form to address multiple aspects of the modern portfolio theory: i) the investor behavior, ii) the incorporation of the behavior to the stochastic differential equations to describe the price efficiently under the new trends of Chaotic Dynamics described by Tsallis Statistics on entropy in the frame of Fractal Market Hypothesis, iii) the selection of the optimal classifier between 60 Self Organized Features Maps and 70 Generalized Feed Forward models of plain and hybrid form and v) the production of the integrated model EROS to perform financial intelligence allocating optimal portfolia.