Several years ago Jim (mungofitch) talked about a monthly screen that went something like this:

1) Take the Russell 1000 (and top half by market cap of Russell 2000)[*] stocks that are also in the VL 1500.
2) Take only the 90% of the stocks closest to their 52-week high.(Drop the lowest 10%)
3)Take the top 100 by ROE ...
and those with earnings >0 and book value is < 0. (Because these are strong companies where the stats come out weird.)
4) Of those, top 25 by 5 Yr sales Growth.
4a) Hold any that are still in the top 30, but only 25 total. [**] (25HTD30)


I began this screen Jan 1, 2021. It is now almost 4 years later.
Thje average turnover has been 4-8 stocks a month. No rebalancing; the losers tend to get tossed out quickly.

My screen is up 56.2%
The S&P500 is up 57.0%

This screen has essentially matched the S&P500 with few stocks in common.
About 80% of the time (of days) or 91% (of months) it has been above SPY.

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[*] My addition. I do not know what difference these make. That market cap is 950M and above. It might be better to take just the top 500, which is well into the mid-cap range. The lowest mkt-cap in the VL1500 is about 300M.
The lowest mktcap in the Russell 1000 is 1,773M. Only about 1300 of the VL1500 are above that.

[**] I am not sure if this makes sense in a tax advantaged account. You would keep any stocks in positions 26-30 in favor of the last N stocks in positions 25 downward.