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The standard MI SIP screens have underperformed recently. As a group, they underperformed since 2009. Average annual return (where excess return = average CAGR of 51 long screens - all_SIP):

                      1988     2009
avg annual return   to 2008  to 2023
  excess_return       23%      -2%
 
avg_51_SIP_screens    35%      11%
  S&P_1500_eq_wgt     12%      15%
      all_SIP         11%      13%

The screen {all_SIP} includes most SIP stocks (about 4000). After 2009, the standard SIP screens have been close to average, with underperformance because of friction (average AT of 8 times 0.4 friction = 3.2 lost to friction). The change was sudden: with no underperforming years before 2009, 16% excess return in 2008, and -13% excess return in 2009.

Each year's CAGR for the 51 standard long SIP screens (21 day hold, 0.4% friction, 5 deep) :

        year         1988  1989  1990  1991  1992  1993  1994  1995  1996  1997  1998  1999  2000  2001  2002  2003  2004  2005  2006  2007  2008  2009  2010  2011  2012  2013  2014  2015  2016  2017  2018  2019  2020  2021  2022  2023
   excess_return      2%    5%   17%   14%   19%   21%   20%   23%   21%   24%   21%   37%   49%   40%   25%   58%   20%   22%   14%   25%   16%   -13%  -1%    0%    2%   10%   -4%   -1%   -5%   -1%   -3%   -17%  -16%  15%   10%   -5%
 
avg_51_SIP_screens   25%   26%    3%   62%   32%   35%   16%   54%   38%   45%   19%   67%   41%   47%    7%   110%  41%   29%   33%   25%   -24%  25%   25%   -7%   19%   50%    1%   -7%   13%   17%   -15%   7%    2%   31%   -10%  11%
  S&P_1500_eq_wgt    20%   26%   -12%  35%   15%   15%    1%   28%   21%   27%    6%   11%   14%   10%   -15%  44%   19%    8%   16%   -1%   -36%  46%   26%   -1%   18%   39%    9%   -5%   24%   14%   -10%  25%   14%   31%   -13%  15%
      all_SIP        23%   21%   -13%  48%   13%   14%   -4%   31%   17%   21%   -2%   30%   -9%    7%   -18%  52%   20%    7%   19%    0%   -40%  38%   26%   -7%   17%   40%    5%   -6%   18%   18%   -12%  24%   17%   15%   -20%  16%
 
3pt_Relative_Value   21%   16%    7%   35%   30%   30%   10%   57%   33%   32%   18%   23%   86%   50%   54%   140%  79%   21%   58%    7%   -15%  30%   19%   -13%  33%   65%   29%   -10%  15%   -10%   0%   -1%   -19%  12%   -15%  46%
       78RPM         25%    4%   -3%   83%   23%   40%   77%   86%   87%   82%   43%   73%   21%   35%   -13%  67%   81%    3%   28%   60%   -2%   -30%  27%   -30%   1%   16%   -13%  -13%  -7%    3%   -22%  -19%  10%   51%    6%   -27%
      Advanced       38%   32%   20%   88%   71%   43%   19%   61%   79%   55%   11%   180%  31%   68%   41%   101%  34%   37%   33%   23%   26%   12%   20%   -5%   38%   57%    6%   -16%   7%    8%   -2%   13%    9%   25%   -16%  -11%
  AdvancedHelper     48%   15%    4%   109%  56%   40%   15%   107%  11%   77%    2%   477%  68%   90%   -31%  219%  -4%   36%   38%   50%   -24%  119%  12%   -8%   67%   44%   -13%  -7%    4%   30%   -24%  -19%  -9%   27%   -24%  -18%
        ARS                                                                      22%   -10%  21%    5%    1%   26%   40%   22%   36%   20%   -19%   7%   23%   12%   14%   16%   -6%   -11%  -2%    8%   -19%  13%    3%   19%    2%    5%
        BI           17%   22%    6%   36%    7%   15%    4%   71%   44%   25%   13%   30%   74%   78%   19%   111%  64%   37%   24%    2%   -6%    8%   27%   -1%   27%   52%   -2%   -12%  14%    3%   -7%   14%   -30%  14%   -6%   14%
    Blue_Skies       10%   12%   34%   97%   63%   37%   56%   58%   36%   26%   19%   81%   61%   109%  31%   248%  60%   47%   65%   51%    2%   17%   16%   -17%  -3%   78%    5%    4%   23%   23%   -17%  -18%  -29%  46%   -3%   20%
        Bob                                                                                        77%   14%   62%   39%   47%   58%   20%   -41%  14%   23%    5%   13%   39%   27%   -7%   36%   28%   -17%  18%   -7%   15%   -20%  35%
    CANSLIM_26                                                                    1%   113%  23%   -7%   -18%  17%    0%    8%   11%   16%   -44%  23%   15%   -5%   -9%   23%   -19%   5%    5%   47%   -21%   8%   11%   -1%   -25%   5%
      Dipstick       24%   39%   -18%  25%    3%   24%   13%   32%   46%   24%   -35%  36%   75%    2%   15%   54%   64%   53%   12%   20%   -55%  50%   20%   -12%  -7%    1%   -43%  -30%  28%   -11%  -25%  -17%  -31%  36%   54%   14%
       FCF26         16%   35%   -30%  34%   29%   23%    6%   58%   21%   44%   81%   69%   14%   -4%   -38%  69%   25%   24%   28%   37%   -44%   8%    9%   -22%   3%   27%    4%   13%    7%   20%   -1%   12%   57%   41%   -5%   26%
     Fried_500       57%   27%   -7%   37%   23%   -1%   -10%  24%   11%   55%   24%    8%   26%   67%   -4%   30%    6%   31%   20%   -23%  -43%  103%  19%   -8%   31%   88%   14%   27%    5%   17%   -13%  18%   -3%   44%   25%   35%
  Gentle_Screamers   14%   33%    1%   75%   64%   51%   29%   59%   48%   28%   24%   156%  16%   62%   -9%   124%  22%   39%   30%    8%   -12%   3%   53%   -22%  28%   63%   -7%   -35%  14%   16%   -23%  -9%   -8%   30%   -25%  17%
        GSX          15%    6%    5%   37%   15%   11%    5%   85%   55%   28%    6%   44%   92%   78%   11%   95%   67%   18%   22%    3%   -2%   16%   22%   -6%   17%   54%   12%   -21%   9%   -8%   -21%  14%   -10%  -10%  -21%  26%
        GSX2                                                                      3%   61%   35%   98%   19%   145%  59%    5%   43%   17%   -21%   9%   29%   -6%    7%   66%   11%   -18%  18%    5%   -20%  -2%   -34%  14%   -18%  -6%
      GS_Mungo       19%   43%   10%   34%   22%   22%    7%   45%   40%   61%   19%   42%   32%   13%   -9%   53%   19%   15%    7%    7%   -17%   7%   17%   -14%  24%   29%    5%   -8%    4%   16%   -11%   6%   -17%  31%   -18%  12%
   GS_Mungo_Voom     16%   43%   11%   32%   22%   21%    5%   45%   39%   63%   17%   44%   29%   13%   -9%   50%   21%   18%    6%    7%   -17%   4%   15%   -13%  20%   26%    5%   -10%   3%   15%   -12%   8%   -13%  32%   -20%  10%
      GS_PCF         20%   29%    2%   53%   30%   34%    4%   57%   43%   58%   18%   39%   32%   33%   -15%  76%   45%   43%   62%   21%   -7%    5%   45%   -18%  32%   75%   26%   -13%   0%   18%   -12%   1%   -30%  46%   -30%   4%
    HighOnVolume     33%   30%   25%   78%   44%   67%   34%   54%   64%   55%   28%   126%  30%   77%   10%   113%  65%   46%   27%   46%   -15%  21%   17%   -25%  40%   38%   -7%   -40%  13%   15%   -8%   -23%  33%    8%   -10%  12%
High_Relative_Value   4%   24%   -3%   30%   18%   12%   -5%   55%   21%   31%   25%   88%   67%   37%   26%   124%  26%    8%   48%   10%   -29%   9%   46%    1%   26%   61%   17%    3%   31%   12%   -13%   8%   -19%  15%   -5%   20%
   Incoming_Cash                                                                  1%   147%  44%   26%   -13%  83%   17%   25%   26%   -12%  -23%  15%   52%   -12%  41%   41%    5%   -12%  17%   27%   -34%  -1%   -13%  33%   -24%  11%
     LowPSplus       58%   14%    5%   119%  62%   55%   19%   92%   83%   87%    6%   50%   39%   39%   29%   158%  31%   48%   16%   35%   -19%  62%   33%   -24%  34%   68%   12%   -6%   25%   18%   -2%   -5%   -3%   74%   -17%  -1%
      LowPSvol       26%   37%    8%   31%   33%   37%   23%   34%   36%   26%   19%   30%   46%   46%   20%   83%   44%   14%   37%    8%   -16%  24%   25%   -5%   13%   67%    5%   -5%   12%   10%   -13%   1%    6%    8%   -13%   2%
      Low_Mult       24%   37%    0%   78%   33%   36%   13%   31%   36%   47%   -3%   42%   36%   46%   36%   187%  77%   41%   44%   22%   -20%  24%    9%   -8%   31%   76%   30%   -12%  13%    6%    0%   11%   23%   60%   -23%   9%
      Melange              18%   -3%   66%   25%   33%    9%   64%   48%   41%   -14%  121%   2%   43%   -20%  106%  -4%   31%   36%   77%   -46%  -3%    1%   -23%  -15%  33%   -20%   9%   21%   54%   -17%  14%   58%   -2%   -26%  -3%
 Microcap_Momentum                                                                                        6%   235%   9%   -8%   -5%   -24%  -22%  160%  27%    2%   11%   111%  -3%   -30%  -15%  26%   -9%   23%   12%   32%   -14%  -3%
    Money_Flow                                                                    3%   28%   71%   32%    8%   106%  21%    4%   38%   49%   -23%  13%   10%   -16%   4%   33%   -6%   -7%    5%   12%   -13%  18%   -1%   39%   -24%  -8%
NetNetsGrahamified   15%   -6%   -3%   27%   54%   -3%   76%   62%   38%   44%   54%   127%  -7%   38%   16%   144%  84%   -33%  49%    5%   -29%  218%  66%   -6%   -28%  23%   -19%  -37%  -23%  94%   -31%  11%   142%   2%   -56%  -2%
      OptiMan                                                                     4%    2%   34%   28%   10%   23%   20%   -2%   13%   -9%   -38%  47%   28%   13%   -4%   22%    4%   -17%  28%    7%   -8%   29%   -16%  42%   -1%    2%
     PIH_Naked                                                                    6%   245%  -4%   18%   -22%  54%   10%   32%    3%   32%   -9%   31%   -8%   -11%  26%   39%   13%   -7%    9%   10%   13%   -20%  -1%   -9%   -51%  -26%
        POG                                                                      115%  129%  21%   38%   -16%  132%  12%   10%   28%   18%   -7%   -25%  -6%    1%    9%   56%   -19%  -34%  14%   34%   -23%  18%   12%    7%   -25%  28%
        POI          20%   19%   -5%   36%    3%   32%    6%   57%   35%   73%   16%    8%   37%   88%   29%   178%  66%   10%   31%   31%   -16%  -23%  33%   -27%  43%   26%    0%   -16%  19%   48%   -12%  -4%   -13%  91%    0%   14%
   PS_ILoveYou__     41%   47%    2%   83%   47%   49%   -5%   78%   41%   46%   -11%   9%   98%   44%   36%   110%  44%   10%   25%   -21%  -27%  31%    6%    5%   35%   29%    3%   17%   10%    3%   -27%   1%   -15%  57%    2%    1%
  Quality_Earnings    9%   21%    2%   47%   17%   85%   -11%  50%   30%   36%   45%   17%   29%   54%   -3%   182%  52%   17%   78%   54%   -27%  -16%  18%   -1%   19%   41%   26%    0%   14%   -14%  -10%  25%    9%   14%   -12%  38%
      Rabbitt                                                                    46%   29%   66%   38%    8%   181%  36%   63%   27%   35%   -19%  12%   80%   -9%   26%   79%   -15%  -3%   26%    8%   -27%  -5%   10%   50%   -17%  17%
      RS_100         21%   18%   14%   76%   45%   54%   19%   52%   28%   44%   27%   93%    5%   91%   21%   116%  56%   59%   20%   23%   -9%   22%   46%   -17%  39%   83%   -9%   -15%  46%   21%   -19%   6%   19%   49%   -22%   1%
     Shrinkage       78%   29%   -10%  14%    8%   27%    8%   43%   23%   53%   10%   16%   13%   18%   16%   49%   13%    6%   27%   10%   -46%  29%   24%   13%   -18%  91%   -12%   0%   -1%   31%   -3%   36%   40%   28%   -32%   7%
  Silver_Parachute   13%   38%   -2%   78%   54%   59%    2%   21%   30%   14%    2%   11%   24%   67%   22%   116%  104%  13%   28%   66%   -29%  29%   70%   -11%   9%    3%   -3%    9%   13%    4%   -13%  -6%   -40%  65%   45%    6%
    Small_Value      11%   50%    3%   52%   16%   51%    5%   28%   17%   20%   15%   71%   45%   81%   53%   75%   23%   -5%   48%   42%   -37%  19%   -3%   -12%  31%   46%   -17%   4%    5%   22%   -25%  12%   -8%   81%   33%    7%
      SP_Peg                                                                     -11%  28%   39%   -1%    2%   63%   36%   31%   11%    3%   -53%  13%   17%   -13%   4%   67%   18%   -1%    8%   20%   -35%  -1%   -17%  12%   -7%   -4%
   Steady_Growth                                                                 31%   -1%   84%   -18%  -6%   58%   11%    3%   10%   14%   -24%  -5%   21%   -9%   -9%   18%    7%   13%   -1%   21%   -18%  56%   -23%  -2%   -22%  26%
    Turnarounds      33%   13%   -27%  85%   33%   28%   17%   50%   38%   41%    9%   25%    1%   48%   -29%  63%   37%   35%   30%   17%   -55%  30%   33%   -23%  38%   11%   13%   -11%  43%    7%   -38%   4%   29%    1%   -4%   15%
      Up5pct                                                                     21%   71%   44%   -30%   7%   61%   39%   55%   12%   33%   -38%   4%   34%   -14%  20%   75%   -1%   -9%   30%   42%   -30%   5%   -4%   62%    1%   22%
       Up5X3                                                                     18%   26%   96%   11%    1%   109%  51%   64%   20%   23%   -34%  23%   48%   -1%   28%   69%   -1%   -8%   44%   13%   -3%   13%   -6%   50%   -8%   40%
  Value_at_the_Top   10%   45%   -12%  35%   23%   37%   -12%  40%   13%   41%   -2%   23%   57%   12%   -7%   71%   14%   26%   76%    3%   -21%  -2%   18%   -10%  22%   45%   12%    3%   16%    7%   -1%   14%   -6%   28%   -20%  12%
      VG_Horse       20%   42%   34%   89%   31%   36%   40%   53%   46%   61%   73%   48%   57%   123%  21%   276%  48%   99%   107%  99%   -4%   22%   40%    5%   24%   78%    1%   -2%   20%   32%   -18%   7%    6%   26%   -5%   42%
      VG_Zebra       21%   27%   40%   92%   51%   25%   41%   63%   18%   43%   45%   40%   38%   61%    4%   233%  58%   72%   75%   42%   11%   43%   24%    4%    6%   81%   -9%   -8%    6%   10%   -7%    3%   -1%   36%   -13%  37%
      WK_Voom        24%   23%    6%   106%  15%   34%   10%   36%   22%   60%   17%   37%    6%   163%  34%   151%  152%  37%   37%   46%   -29%  35%   24%   15%   52%   65%   14%   16%   33%   24%   -8%   19%   -11%  73%    5%   -6%
  YldEarnYear_SI     26%    9%   -5%   111%  26%   40%   14%   41%   22%   10%   25%    0%   52%   62%   51%   99%   29%   47%   53%   151%  -25%   9%   46%   20%   54%   60%    6%   18%    2%   -6%   -19%  27%   -11%  51%   13%    2%
      Z26saTA                                                                                            -16%  86%   27%   49%   34%   15%   -44%  22%   -3%   -6%   10%   61%   -19%  -6%   -19%   3%   -11%  14%   41%    6%   -7%    4%
      Zweig_26                                                                                           -14%  83%   43%   58%    4%    3%   -49%  -2%    5%   18%   -2%   22%   -7%    9%   -2%   15%   -17%  22%    8%   17%   -18%  20%

=== links ===

Define {allSIP}
Create [Shares]: [[CPiT (d) Com Shares Outstanding Q1; lag=1 days] 19870302 to 19970829; [SI Shares Average Q1; lag=1 days] 19970902 to 20240111]
step0: [Security Type; lag=1 days] == 0,10,11,12,18,30,31,48,71,72
step1: [Mkt Days Since Security Opened; lag=1 days] >= 10
step2: [[Average g-volume over 10 days; lag=1 days]/[g-price to Actual Price multiplier; lag=1 days]] > 10000
step3: [Actual closing Price; share_lag=1 days; quote_lag=1 days] > 1
step4: [Shares] > 0; Cash When None
Holding period = 63 mkt days
Equally weight new positions, fully rebalancing all liquid positions to equal weight every 1 holding periods
https://gtr1.net/2013/?~allSIP:h63::styp.a:et0!10!...

definitions of 60 standard SIPro screens:
51 long screens, 5 short screens, 4 index screens.
http://www.datahelper.com/mi/search.phtml?nofool=y...

Post-Discovery Performance of the SI Pro screens, January 20, 2007
"many SI Pro screens do significantly outperform the Russell 2000, while not a single SI Pro screen significantly underperformed the Russell 2000."
http://www.datahelper.com/mi/search.phtml?nofool=y...

Post-Discovery Performance of the SI Pro screens, August 21, 2010
"about half of the 42 screens presented here outperform the general market"
http://www.datahelper.com/mi/search.phtml?nofool=y...

Many of these screens worked for several years. LastGood10y is the most recent date that the screen (10 deep, 21 day hold, 0.4% friction) 10-year average total return was higher than a S&P 1500 equal weight benchmark. Discovery is the date the screen was first posted. Life is LastGood10y minus Discovery.

For example, from 20081003 to 20181005 {NetNetsGrahamified} average total return was 266, and {SP1500ew} average total return was 272. (There is significant start date variability, with {NetNetsGrahamified} total return ranging from 57 to 640 for the 21 different start dates.)

      Screen          Discovery   LastGood10y  Life
     Shrinkage       22-Feb-2003  4-Dec-2023    21
       FCF26         16-Mar-2004  11-Jan-2024   20
        POI          22-Jan-2005  11-Jan-2024   19
      Up_5pct        18-Mar-2004  21-Oct-2022   19
     Fried_500       19-Nov-2005  4-Jan-2024    18
      WK_Voom        12-Feb-2006  11-Jan-2024   18
       Up5X3         28-Apr-2006  11-Jan-2024   18
      Low_Mult       12-Feb-2006  3-Jul-2023    17
     LowPSplus       12-Jun-2006  2-Oct-2023    17
NetNetsGrahamified   6-Dec-2001   5-Oct-2018    17
      RS_100         20-May-2006  16-Jun-2022   16
High_Relative_Value  24-Jun-2004  15-May-2020   16
 Microcap_Momentum   10-Nov-2003  29-Mar-2019   15
  AdvancedHelper     11-Apr-2006  30-Jun-2021   15
        Bob          11-Apr-2006  1-Feb-2021    15
      Advanced       11-Apr-2006  22-Apr-2020   14
    PS_ILoveYou      27-Dec-2004  24-Sep-2018   14
  Value_at_the_Top   18-Oct-2002  5-Apr-2016    13
  Silver_Parachute   17-Jan-2004  18-Apr-2017   13
3pt_Relative_Value   15-Aug-2004  18-Oct-2017   13
   Incoming_Cash     20-Dec-2006  22-Jan-2020   13
  Gentle_Screamers   28-Jul-2003  29-Feb-2016   13
        ARS          16-Nov-2003  14-Jan-2016   12
     PIH_Naked       26-Feb-2004  18-Dec-2015   12
    Small_Value      20-Nov-2001  3-Dec-2012    11
  Quality_Earnings   17-Feb-2005  22-Jan-2016   11
    Turnarounds      27-Jan-2004  5-Nov-2014    11
       78RPM         12-Feb-2004  6-Oct-2014    11
        BI           29-May-2006  2-Aug-2016    10
      GS_PCF         23-Jul-2007  6-Sep-2017    10
        GSX          12-Feb-2006  17-Mar-2016   10
        GSX2         24-Apr-2006  2-May-2016    10
      Zweig_26       20-Jul-2002  27-Jun-2012   10
      OptiMan        7-Mar-2001   1-Dec-2010    10
      VG_Horse       5-May-2013   12-Oct-2022    9
      LowPSvol       19-Nov-2007  27-Mar-2017    9
      Melange        10-Feb-2004  24-Jan-2013    9
    Blue_Skies       27-Apr-2010  2-May-2018     8
    Money_Flow       24-Jan-2007  9-Sep-2014     8
        POG          15-Apr-2004  30-Nov-2011    8
  YLDEARNYEAR_SI     21-May-2015  2-Dec-2022     8
      SP_Peg         26-Jul-2003  29-Jul-2010    7
    CANSLIM_26       2-Feb-2003   30-Nov-2009    7
   Steady_Growth     19-Sep-2002  13-Jul-2009    7
      GS_Mungo       29-Nov-2005  26-Apr-2012    6
   GS_Mungo_Voom     29-Nov-2005  13-Mar-2012    6
      Z26saTA        12-Apr-2006  26-Jan-2012    6
      Rabbitt        10-Oct-2012  1-Jun-2018     6
    HighOnVolume     3-Jan-2011   10-Nov-2015    5
      Dipstick       12-Jan-2009  11-Nov-2013    5
      VG_Zebra       25-Jan-2013  6-Apr-2017     4

lizgdal, Thanks for posting postmortem of our declining performance of the screens.
Way back in time I used a what’s working lately methods of selecting which screens
to use. Just to torture myself I loaded your results into an excel spread sheet and:
Each year selected the 4 screens the had the average weighted gains over the last three
Years weighted by 4*last year,+3*the year beforeand 2* 3years before.
10 years 1994 thru 2003 CAGR = 52%
10 years 2004 thru 2013 CAGR = 38.5%
10 years 2014 thru 2023 CAGR = 4.6%
The screens are dead replaced by more sophisticated analysists with better techniques.

RAM

LastGood10y is the most recent date that the screen (10 deep, 21 day hold, 0.4% friction) 10-year average total return was higher than a S&P 1500 equal weight benchmark.

If you test using Top 5 picks rather than Top 10, and if you use the standard S&P 500 as a benchmark rather than S&P 1500 Equal Weight (which itself has underperformed the S&P 500 over the past 10 years), the results are quite different.

For example, the Shrinkage screen (Top 5) only delivered a CAGR of 5% over the past 10 years, whereas the S&P 500 return in the same period was over 12%. See https://discussion.fool.com/t/10-yr-backtests-on-s...

Returns of other well-known SI Pro screens (Top 5) over the past 10 years are given at https://discussion.fool.com/t/10-yr-backtests-on-s...

According to the post linked below, there were 7 SI Pro screens that did beat the market during this most recent 10-year period:

https://discussion.fool.com/t/curated-screens-2024...

Outstanding analysis! Thank you lizgdal! Reflecting the general relative weakness of smallcaps over the last several years as the dominance of the Magnificent 7 has increased and taken over.

Brings to mind the tag line from Talladega Nights: "if you ain't first, you're last!"

Stats 101:

Median  Median  STDEV   STDEV
pre-10	post-10	pre-10  post-10
21%	-1%	15.0%	8.9%	excess_return
				
33%	9%	26.2%	17.9%	avg_51_SIP_screens
15%	15%	18.9%	15.7%	S&P_1500_eq_wgt

* Huge drop in median excess return of screens
* Huge drop in median return of screens
* 30-40% less volatility combined with the above means less chance of an outperforming outlier screen

Yeesh.

FC

I thought that Jim's ideas of taking a very simple screen with better fundamentals and holding 40 stocks would have a good chance of beating the s and p.

The change in performance happened quickly with these 51 screens, and so maybe conclusions can be found after only a few years of post-discovery.

             year      excess_return
average  1988 to 2007       24%
             2008           16%
             2009          -13%
             2010           -1%
             2011            0%

Elan wrote (in a separate thread): "If you start with a list of 100 screens, let's say, and rank them by 10 year performance, and the average screen lags the market by 5%, then you will randomly get a few screens that beat the market by a few points and a lot more screens that lag the market by more than 5%. You are virtually guaranteed that, all else being equal, a different set of screens will beat the market over the next ten years."

To test if I am being fooled by randomness, I picked 22 screens to follow. I then used WWL to pick 5 of these. This is only a paper test, with no real money, as I expect randomness to win.

These are the 12 standard SIP screens I would pick today (I would use depth 10):
FCF26
Fried_500
HighRelativeValue
LowMult
LowPSplus
Quality_Earnings
RS_100
Up5pct
Up5X3
VG_Horse
WK_Voom
YldEarnYear_SI

I would add the following 7 screens that have been posted on MI:
DivIncrease2019b
Nas100Momentum (depth 5)
Profitable2021
SP100EG (depth 5)
SP1500Fscore
SurpriseEstimates
TinyTitans2022c2

And I would add 3 ETF's that have gtr1 backtests:
zgCOWZ2023 (depth 100)
zgQUAL_2018 (depth 20)
zgSCHD2023a (depth 100)

Based on WWL, I would pick the following 5 screens to use in 2024:
Nas100Momentum
SP100EG
SP1500Fscore
SurpriseEstimates
TinyTitans2022c2

Thanks again! Would someone post links to those non-SI newer screen defs above? I’m really wary of retrenchment risk in NAz100Mo. The rest are of potential interest.

The 5 WWL picks are outperforming so far this year (results from 20240122 to 20240708):

      Screen        TR   MDD  Beta  AT  Depth
      FCF26         27   -8   1.2   5     10
    Fried_500       15   -8   0.5   1     10
HighRelativeValue    2   -10  0.8   12    10
      LowMult        5   -11  0.7   8     10
    LowPSplus       20   -17  1.9   11    10
 Quality_Earnings    6   -8   0.5   7     10
      RS_100        -1   -12  0.3   10    10
      Up5pct         1   -11  0.8   11    10
      Up5X3         -8   -14  0.4   12    10
     VG_Horse        5   -15  0.8   6     10
      WK_Voom        6   -9   -0.2  6     10
  YldEarnYear_SI     2   -11  0.2   7     10
      SP100EG       13   -8   1.2   2     5
 TinyTitans2022c2    4   -13  0.8   3     10
  Nas100Momentum    27   -13  2.1   3     5
SurpriseEstimatesi   6   -17  0.3   16    10
 DivIncrease2019b    4   -8   0.9   2     10
   SP1500Fscore     -7   -11  0.6   4     10
  Profitable2021     1   -8   0.8   0     20
    zgCOWZ2023      10   -7   0.6   1    100
    zgQUAL_2018      8   -7   1.1   0     20
    zgSCHD2023a     11   -5   0.7   1    100
 
  avg_WWL_5_picks   8.7  -12  1.0   6     8
average_22_screens  7.1  -10  0.8   6     19
SP1500EqualWeight   2.1  -7   0.8   0   1499

https://gtr1.net/2013/?~FCF26:h21f0.4::styp.a:et0!...(1,ord(1),-1,Q1End)am252:linear(1,Q1End,-252,1,1,dsio(1),-1,ord(1))al0:FCFPS12m:nenull:product(FCFPS12m,SHRAQ1)tn100:dspo(1)al126:trp(1,126)tn10:Q1End:pref(perendq1.s,ordq1.c):FCFPS12m:pref(fcfps12m.s,fcfps12mq1d.c):SHRAQ1:pref(shraq1.s,cshprq1d.c)
https://gtr1.net/2013/?~Fried_500:h21f0.4::sp500.a...(ratio(shraq1.s,shraq5.s),ratio(cshoq1d.c,cshoq5d.c)):PS:pref(ratio(product(sprc,shraq1.s),sales12m.s),ratio(product(cprc,cshoq1d.c),sale12mq1d.c))
https://gtr1.net/2013/?~HighRelativeValue:h21f0.4:...
https://gtr1.net/2013/?~LowMult:h21f0.4::styp.a:et...(1,MktCap,-1,cpiadj(100))gt0:dspo(1)al10:ratio(agv(1,10),gtoa.a)gt10000:dspo(1)al252:ratio(gprc(1),hgprc(1,252))gt0.90:PE:nenull:PE:gt0:PCF:nenull:PCF:gt0:PS:nenull:PS:gt0:ratio(PE,MedianPE)lt.9:PCFInd:nenull:ratio(PCF,PCFInd)lt.9:PSInd:nenull:ratio(PS,PSInd)lt.9:trp(1,63)gt10:ratio(product(trp(1,126),agv(1,10)),product(agv(1,63),aprc))tn10:MedianPE:tpcut(PE,1,step13,50):MktCap:pref(product(csoq1d.s,sprc),product(cshoq1d.c,cprc),linear(0.000001,product(sho.a,aprc))):PE:importf(0,PE,-1):PCF:importf(1,PCF,-1):PS:importf(2,PS,-1):PCFInd:importf(1,PCFInd,-1):PSInd:importf(2,PSInd,-1)%7blf-1lp-1h1::styp.a:et0!10!11!12!18!30!31!48!71!72:linear(1,ord(1),-1,Q1End)am252:linear(1,Q1End,-252,1,1,dsio(1),-1,ord(1))al0:PE:gt0:IndGroup:gt0:PEInd:ne-999999:pPEInd:et-999999:Q1End:pref(perendq1.s,ordq1.c):IndGroup:pref(trbc7.s,incd.s,fincd49.a):PE:pref(ifgt(epsdc12mq1d.s,0,ratio(sprc,epsdc12mq1d.s),0),ifgt(epscon12mq1d.s,0,ratio(sprc,epscon12mq1d.s),0),ifgt(epsfx12mq1d.c,0,ratio(cprc,epsfx12mq1d.c),0)):PEInd:tpcut(PE,IndGroup,step5,50):pPEInd:pcntl(PE,IndGroup,step5)%7d%7blf-1lp-1h1::styp.a:et0!10!11!12!18!30!31!48!71!72:linear(1,ord(1),-1,Q1End)am252:linear(1,Q1End,-252,1,1,dsio,-1,ord)al0:PCF:gt0:IndGroup:gt0:PCFInd:ne-999999:pPCFInd:et-999999:Q1End:pref(perendq1.s,ordq1.c):IndGroup:pref(trbc7.s,incd.s,fincd49.a):PCF:pref(ifgt(cfps12mq1d.s,0,ratio(sprc,cfps12mq1d.s),0),ifgt(cfps12mq1d.c,0,ratio(cprc,cfps12mq1d.c),0)):PCFInd:tpcut(PCF,IndGroup,step5,50):pPCFInd:pcntl(PCF,IndGroup,step5)%7d%7blf-1lp-1h1::styp.a:et0!10!11!12!18!30!31!48!71!72:linear(1,ord(1),-1,Q1End)am252:linear(1,Q1End,-252,1,1,dsio(1),-1,ord(1))al0:PS:gt0:IndGroup:gt0:PSInd:ne-999999:pPSInd:et-999999:Q1End:pref(perendq1.s,ordq1.c):IndGroup:pref(trbc7.s,incd.s,fincd49.a):PS:pref(ifgt(shraq1.s,0,ratio(product(sprc,shraq1.s),sales12m.s),0),ifgt(cshoq1d.c,0,ratio(product(cprc,cshoq1d.c),sale12mq1d.c),0)):PSInd:tpcut(PS,IndGroup,step5,50):pPSInd:pcntl(PS,IndGroup,step5)%7d
https://gtr1.net/2013/?~LowPSplus:h21f0.4::styp.a:...(1)al10:linear(1,product(gprc(1),agv(1,10)),-1,cpiadj(150000))gt0:aprc:gt5:linear(1,MktCap,-1,cpiadj(75))gt0:ratio(agv(1,10),gtoa.a)gt10000:dspo(1)al252:linear(100,ratio(gprc(1),hgprc(1,252)))gt89:PS:nenull:PS:gt0:PS:bn10:pRS4WK:importf(0,pRS4WK,-999999):pRS52WK:importf(1,pRS52WK,-999999):MktCap:pref(product(csoq1d.s,sprc),product(cshoq1d.c,cprc),linear(0.000001,product(sho.a,aprc))):PS:importf(2,PS,-1)%7blf-1lp-1h1::styp.a:et0!10!11!12!18!30!31!48!71!72:dspo(1)al19:pRS4WK:et-1:pRS4WK:pcntla(trp(1,19),1,step2)%7d%7blf-1lp-1h1::styp.a:et0!10!11!12!18!30!31!48!71!72:dspo(1)al252:pRS52WK:et-1:pRS52WK:pcntla(trp(1,252),1,step2)%7d%7blf-1lp-1h1::styp.a:et0!10!11!12!18!30!31!48!71!72:linear(1,ord(1),-1,Q1End)am252:linear(1,Q1End,-252,1,1,dsio(1),-1,ord(1))al0:PS:gt0:IndGroup:gt0:PSInd:ne-999999:pPSInd:et-999999:Q1End:pref(perendq1.s,ordq1.c):IndGroup:pref(trbc7.s,incd.s,fincd49.a):PS:pref(ifgt(shraq1.s,0,ratio(product(sprc,shraq1.s),sales12m.s),0),ifgt(cshoq1d.c,0,ratio(product(cprc,cshoq1d.c),sale12mq1d.c),0)):PSInd:tpcut(PS,IndGroup,step5,50):pPSInd:pcntl(PS,IndGroup,step5)%7d
https://gtr1.net/2013/?~Quality_Earnings:h21f0.4::...(1,ord(1),-1,Q1End)am252:aprc:gt10:ratio(agv(1,10),gtoa.a)gt20000:EPSQ1:gt0:EPS12m:gt0:linear(1,FCFPSQ1,-1,EPSQ1)gt0:linear(1,FCFPS12m,-1,EPS12m)gt0:PFCF:gt0:PFCF:lt10:dspo(1)al126:trp(1,126)tn10:Q1End:pref(perendq1.s,ordq1.c):EPSQ1:pref(epsq1.s,epspiq1d.c):EPS12m:pref(eps12m.s,epspi12mq1d.c):FCFPSQ1:pref(fcfpsq1.s,fcfpsq1d.c):FCFPS12m:pref(fcfps12m.s,fcfps12mq1d.c):PFCF:pref(ratio(sprc,fcfps12mq1d.s),ratio(cprc,fcfps12mq1d.c))
https://gtr1.net/2013/?~RS_100:h21f0.4::styp.a:et0...(1)al10:ratio(agv(1,10),gtoa.a)gt100000:PFCF:nenull:PFCF:gt0:dspo(1)al252:linear(1,linear(100,ratio(gprc(1),hgprc(1,252))),-1,PFCF)gt80:sptr19:nenull:RS4wk:gt0:sptr63:nenull:RS13wk:gt0:styp.a:ne30!31:fincd12.a:ne11:ratio(agv(1,10),product(agv(1,63),aprc))tn10:PFCF:importf(0,PFCF,-1):sptr19:imports(1,sptr19,-1):RS4wk:linear(100,ratio(trm(1,19),sptr19),-100,1):sptr63:imports(2,sptr63,-1):RS13wk:linear(100,ratio(trm(1,63),sptr63),-100,1)%7blf-1lp-1h1::styp.a:et0!10!11!12!18!30!31!48!71!72:linear(1,ord(1),-1,Q1End)am252:linear(1,Q1End,-252,1,1,dsio,-1,ord)al0:PFCF:gt0:IndGroup:gt0:PFCFInd:ne-999999:pPFCFInd:et-999999:Q1End:pref(perendq1.s,ordq1.c):IndGroup:pref(trbc7.s,incd.s,fincd49.a):PFCF:pref(ifgt(fcfps12mq1d.s,0,ratio(sprc,fcfps12mq1d.s),0),ifgt(fcfps12mq1d.c,0,ratio(cprc,fcfps12mq1d.c),0)):PFCFInd:tpcut(PFCF,IndGroup,step5,50):pPFCFInd:pcntl(PFCF,IndGroup,step5)%7d%7blf-1lp-1h1::sptr19:gt0:sptr19:trm(1,19)%7bU:%7b!GSPC%7d%7d%7d%7blf-1lp-1h1::sptr63:gt0:sptr63:trm(1,63)%7bU:%7b!GSPC%7d%7d%7d
https://gtr1.net/2013/?~Up5pct:h21f0.4::styp.a:et0...(1)al10:ratio(agv(1,10),gtoa.a)gt20000:epseq1.s:nenull:epseq1.s:gt0:epspmeq1.s:nenull:epspmeq1.s:gt0:linear(1,epseq1.s,-1.05,epspmeq1.s)gt0:epsumeq0.s:nenull:epsumeq0.s:gt0:epsdmeq0.s:nenull:epsdmeq0.s:et0:PCF:nenull:PCF:gt0:PCF:lt20:dspo(1)al126:trp(1,126)tn10:PCF:importf(0,PCF,-1)%7blf-1lp-1h1::styp.a:et0!10!11!12!18!30!31!48!71!72:linear(1,ord(1),-1,Q1End)am252:linear(1,Q1End,-252,1,1,dsio,-1,ord)al0:PCF:gt0:IndGroup:gt0:PCFInd:ne-999999:pPCFInd:et-999999:Q1End:pref(perendq1.s,ordq1.c):IndGroup:pref(trbc7.s,incd.s,fincd49.a):PCF:pref(ifgt(cfps12mq1d.s,0,ratio(sprc,cfps12mq1d.s),0),ifgt(cfps12mq1d.c,0,ratio(cprc,cfps12mq1d.c),0)):PCFInd:tpcut(PCF,IndGroup,step5,50):pPCFInd:pcntl(PCF,IndGroup,step5)%7d
https://gtr1.net/2013/?~Up5X3:h21f0.4::styp.a:et0!...(1,MktCap,-1,cpiadj(100))gt0:dspo(1)al10:ratio(agv(1,10),gtoa.a)gt20000:epseq1.s:nenull:epseq1.s:gt0:epspmeq1.s:nenull:linear(1,epseq1.s,-1.05,epspmeq1.s)gt0:epsumeq0.s:nenull:epsumeq0.s:gt0:epsdmeq0.s:nenull:epsdmeq0.s:et0:PCF:nenull:PCF:gt0:PCF:lt25:dspo(1)al63:ratio(product(gprc(1),linear(10,agv(1,10),-63,agv(1,63))),trm(1,63))tn15:ratio(agv(1,10),agv(1,63))tn10:MktCap:pref(product(csoq1d.s,sprc),product(cshoq1d.c,cprc),linear(0.000001,product(sho.a,aprc))):PCF:importf(0,PCF,-1)%7blf-1lp-1h1::styp.a:et0!10!11!12!18!30!31!48!71!72:linear(1,ord(1),-1,Q1End)am252:linear(1,Q1End,-252,1,1,dsio,-1,ord)al0:PCF:gt0:IndGroup:gt0:PCFInd:ne-999999:pPCFInd:et-999999:Q1End:pref(perendq1.s,ordq1.c):IndGroup:pref(trbc7.s,incd.s,fincd49.a):PCF:pref(ifgt(cfps12mq1d.s,0,ratio(sprc,cfps12mq1d.s),0),ifgt(cfps12mq1d.c,0,ratio(cprc,cfps12mq1d.c),0)):PCFInd:tpcut(PCF,IndGroup,step5,50):pPCFInd:pcntl(PCF,IndGroup,step5)%7d
https://gtr1.net/2013/?~VG_Horse:h21f0.4::styp.a:e...(1,ord(1),-1,Q1End)am252:styp.a:ne30!31:Financial:et0:EPSQ5:nenull:EPSQ1:nenull:linear(1,EPSQ1,-1,EPSQ5)gt0:SalesQ5:nenull:SalesQ1:nenull:linear(1,SalesQ1,-1,SalesQ5)gt0:PFCF:gt0:PFCF:am20:Float:gt0:Float:lt20:InstitOwn:gt-99:InstitOwn:am70:linear(1,MktCap,-1,cpiadj(100,20000425))al0:aprc:al8:dspo(1)al126:trp(1,126)gt0:ratio(agv(1,10),gtoa.a)al30000:SORT:tn10:RealEstOps:ifet(styp.a,18!48,1,ifet(sic.a,6510!6512!6531!6798,1,0)):Financial:ifet(RealEstOps,1,0,ifet(fincd12.a,11,1,0)):PFCF:pref(ratio(sprc,fcfps12mq1d.s),ratio(cprc,fcfps12mq1d.c)):Float:pref(float.s,cshoq1d.c,linear(0.000001,sho.a)):InstitOwn:pref(shrinst.s,linear(100,sp500.a)):MktCap:pref(product(csoq1d.s,sprc),product(cshoq1d.c,cprc),linear(0.000001,product(sho.a,aprc))):Q1End:pref(perendq1.s,ordq1.c):EPSQ1:pref(epsq1.s,epspiq1d.c):EPSQ5:pref(epsq5.s,epspiq5d.c):SalesQ1:pref(salesq1.s,saleq1.c):SalesQ5:pref(salesq5.s,saleq5.c):VolRatio:ratio(agv(1,10),agv(1,63)):SORT:product(VolRatio,ratio(trp(1,126),ratio(agv(1,63),gtoa.a)))
https://gtr1.net/2013/?~WK_Voom:h21f0.4::styp.a:et...(aprc,linear(0.001,ratio(agv(1,10),gtoa.a)))gt100:aprc:gt5:ratio(agv(1,10),gtoa.a)gt10000:linear(1,MktCap,-1,cpiadj(75))gt0:PFCF:gt0:PCF:gt0:linear(1,ord(1),-1,Q1End)am252:TCO12m:gt0:CFPS12m:gt0:FCFPSQ5:nenull:FCFPSQ1:nenull:linear(1,FCFPSQ1,-1,FCFPSQ5)gt0:CashOpsQ5:nenull:CashOpsQ1:nenull:linear(1,CashOpsQ1,-1,CashOpsQ5)gt0:CFPSQ1:gt0:dspo(1)al252:linear(1,linear(100,ratio(gprc(1),hgprc(1,252))),-1,ratio(aprc,CFPSQ1))gt60:ratio(aprc,CFPSQ1)gt0:ratio(aprc,CFPSQ1)lt25:styp.a:ne30!31:fincd12.a:ne11:trp(1,63)gt10:ratio(product(trp(1,126),agv(1,10)),product(agv(1,63),aprc))tn10:MktCap:pref(product(csoq1d.s,sprc),product(cshoq1d.c,cprc),linear(0.000001,product(sho.a,aprc))):PFCF:importf(0,PFCF,-1):PCF:importf(1,PCF,-1):Q1End:pref(perendq1.s,ordq1.c):TCO12m:pref(tco12mq1d.s,tco12mq1d.c):CFPS12m:pref(cfps12mq1d.s,cfps12mq1d.c):CFPSQ1:pref(cfpsq1d.s,cfpsq1d.c):FCFPSQ1:pref(fcfpsq1.s,fcfpsq1d.c):FCFPSQ5:pref(fcfpsq5.s,fcfpsq5d.c):CashOpsQ1:pref(tcoq1.s,tcoq1d.c):CashOpsQ5:pref(fcfpsq5.s,fcfpsq5d.c)%7blf-1lp-1h1::styp.a:et0!10!11!12!18!30!31!48!71!72:linear(1,ord(1),-1,Q1End)am252:linear(1,Q1End,-252,1,1,dsio,-1,ord)al0:PFCF:gt0:IndGroup:gt0:PFCFInd:ne-999999:pPFCFInd:et-999999:Q1End:pref(perendq1.s,ordq1.c):IndGroup:pref(trbc7.s,incd.s,fincd49.a):PFCF:pref(ifgt(fcfps12mq1d.s,0,ratio(sprc,fcfps12mq1d.s),0),ifgt(fcfps12mq1d.c,0,ratio(cprc,fcfps12mq1d.c),0)):PFCFInd:tpcut(PFCF,IndGroup,step5,50):pPFCFInd:pcntl(PFCF,IndGroup,step5)%7d%7blf-1lp-1h1::styp.a:et0!10!11!12!18!30!31!48!71!72:linear(1,ord(1),-1,Q1End)am252:linear(1,Q1End,-252,1,1,dsio,-1,ord)al0:PCF:gt0:IndGroup:gt0:PCFInd:ne-999999:pPCFInd:et-999999:Q1End:pref(perendq1.s,ordq1.c):IndGroup:pref(trbc7.s,incd.s,fincd49.a):PCF:pref(ifgt(cfps12mq1d.s,0,ratio(sprc,cfps12mq1d.s),0),ifgt(cfps12mq1d.c,0,ratio(cprc,cfps12mq1d.c),0)):PCFInd:tpcut(PCF,IndGroup,step5,50):pPCFInd:pcntl(PCF,IndGroup,step5)%7d
https://gtr1.net/2013/?~YldEarnYear_SI:h21f0.4::st...(1)al63:pcntla(adv(1,63),1,step2)al50:cpe:gt0:ratio(cdy,cpe)tp10:dspo(12)al252:trp(12,252)tn10:cdy:linear(100,pref(ifne(dpsind.s,null,ratio(dpsind.s,sprc),ratio(cdv.a,aprc)),ifne(dpsind.s,null,ratio(dpsind.s,sprc),0),ratio(cdv.a,aprc))):cpe:importf(0,CurrentPE,-1)%7blf-1lp-1h1::styp.a:et0!10!11!12!18!30!31!48!71!72:linear(1,ord(1),-1,Q1End)am252:linear(1,Q1End,-252,1,1,dsio(1),-1,ord(1))al0:CurrentPE:et-999999:Q1End:pref(perendq1.s,ordq1.c):CurrentPE:pref(ifgt(cepsd.s,0,ratio(sprc,cepsd.s),0),ifgt(epsfx12mq1d.c,0,ratio(cprc,epsfx12mq1d.c),0))%7d
https://gtr1.net/2013/?~SP100EG_20220128_borisnand...
https://gtr1.net/2013/?~TinyTitans2022c2_20220310_...
https://gtr1.net/2013/?~Nas100Momentum_20191030_rg...
https://gtr1.net/2013/?~SurpriseEstimatesi_2018012...
https://gtr1.net/2013/?~DivIncrease2019b_20210512_...
https://gtr1.net/2013/?~SP1500Fscore_20140826_nume...
https://gtr1.net/2013/?~Profitable2021_20210621_bo...
https://gtr1.net/2013/?~zgCOWZ2023:h63f0.4::styp.a...
https://gtr1.net/2013/?~zgQUAL_20180320_borisnand:...
https://gtr1.net/2013/?~zgSCHD2023a_20230331_lizgd...
https://gtr1.net/2013/?~SP1500EqualWeight:h63f0.4:...

The 5 WWL picks continue to outperform so far this year (this WWL test will end December 31st). Out of the 22 screens selected from, 14 are ahead of S&P 1500 equal weight. Results from 20240122 to 20241126:

      Screen         TR   MDD
      FCF26         27.1  -17
    Fried_500       11.5  -16
HighRelativeValue   19.9  -12
      LowMult       28.3  -12
    LowPSplus       48.0  -24
 Quality_Earnings   42.8  -13
      RS_100        21.4  -19
      Up5pct        18.4  -14
      Up5X3         4.6   -17
     VG_Horse       27.8  -16
      WK_Voom       29.6  -14
  YldEarnYear_SI    10.4  -20
      SP100EG       28.5  -11
 TinyTitans2022c2   46.2  -15
  Nas100Momentum    11.1  -35
SurpriseEstimates   37.1  -19
   SP1500Fscore     15.6  -12
 DivIncrease2019b   36.6  -8
  Profitable2021    19.7  -8
    zgCOWZ2023      24.0  -10
      zgQUAL        16.8  -8
    zgSCHD2023a     16.2  -8
 
 
  avg_WWL_5_picks   27.7  -18
average_22_screens  24.6  -15
SP1500EqualWeight   19.2  -7

     SP100EG       https://gtr1.net/2013/?!!QlpoMTFBWSZTWUsv6IAAALNfg...
TinyTitans2022c2   https://gtr1.net/2013/?!!QlpoMTFBWSZTWd!2BqiB8AATP...
  Nas100Momentum   https://gtr1.net/2013/?!!QlpoMTFBWSZTWc!2FGA1IAAC0...
SurpriseEstimates  https://gtr1.net/2013/?!!QlpoMTFBWSZTWS2sfu4AAN9fg...
  SP1500Fscore     https://gtr1.net/2013/?!!QlpoMTFBWSZTWRTsITgAAbWfg...
DivIncrease2019b   https://gtr1.net/2013/?!!QlpoMTFBWSZTWZ24vu8AAOhfg...
  Profitable2021   https://gtr1.net/2013/?!!QlpoMTFBWSZTWW!2BSga4AAPT...
    zgCOWZ2023     https://gtr1.net/2013/?!!QlpoMTFBWSZTWbLvo9sAAc7fg...
      zgQUAL       https://gtr1.net/2013/?!!QlpoMTFBWSZTWQnxpxwAAl9fg...
   zgSCHD2023a     https://gtr1.net/2013/?!!QlpoMTFBWSZTWShOyqIAAyxfg...

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