I don't think they exist. Any screen producing consistent outperformance will fail at some point, as the trade gets discovered and crowded out.

The market is an adaptive system, changing every year, and so the collection of screens also needs to adapt. New screens are needed, but adding new screens shortens the post discovery period. A collection of screens cannot have both a long post discovery period and consistent outperformance.

A collection of screens has more statistical support than a single screen, and so underperformance is easier to identify. I suggest updating the collection once a year as needed to keep the average performance above some value. Each screen is a story, and so the collection changes will also tell a story. The story might be interesting even if the screen selection method is flawed.

Mechanical Investing FAQ

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