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...

Mechanical Investing FAQ

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