or is this just a result of too much data mining on my part?

Probably.

(I don't have P123 anymore, but I seem to remember that you could upload your own universe.)

This is 7 rules. That seems like too many. The more rules the more likely it is datamined.
Actually it is more like 9 rules, because #3 (market timing) is 3 rules.

I don't remember the details of ROE_Cash, but are there multiple rules & sorting in it?

Your #4 "stay out of industries that collapsed during previous recessions" is absolutely data mining.

This MaxDD of -18% vs. S&P's -55% is curious. I wonder if that isn't due to the datamined #4.

Ah, just before posting I saw this: After trial and error I arrived at the following concept:
That's the brightline hallmark of a data mined screen. "Try a bunch of things until we find one that gives the answer we like."

Every once in a while when we are checking out at the grocery store, the bill will come to an exact dollar amount with 0 cents, like $97.00. I will say in astonishment "Wow, this must be our lucky day, Zero cents. What are the odds of that happening?" Usually the clerk pauses a second then gets the joke and chuckles. My wife punches me in the arm and says "Don't laugh at him, he thinks he is funny. That just encourages him."