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One or more studies show stocks added to the S&P500 have a run-up before any announcement, for months. So I came up with a screen to select the type the S&P500 often add, by taking the S&P1500 universe ex-the S&P500 stocks.

5 stocks
Sp1500a.!=null
Sp500=null
MktCap top 50 product(sprc(1,1),csoq1d.s)
Adv(1,63)>20000000
Roey1.s>20 and <45
Aprc(1)>15
Tr(1,60)>0
Ratio(tr(1,200),tr(1,5)) top 10
Roey1.s top 5

https://gtr1.net/2013/?sp1500.a:nenull:sp500.a:etn... v. S&P500
screen v. S&P500 19970902 to 20251128

core drivers are:
1️⃣ large companies near S&P500 scale
2️⃣ high profitability

large-cap companies
with extremely high profitability
still outside the S&P500
during growth-stock regimes
recent drawdown over the short term
Profit not so crazy as not to be sustainable.

strategy v. S&P500
Cagr  22.1%   10
Gsd   30      20.9
Sharpe  .81     .5
Ldd   17.88   11.4
Ui    17.9    11.4
Beta   1       1
Ti    19.66    8.7
At     3.8      .5
Mdd  -66.6   -60.3

So same beta as the S&P with similarly large profitable stocks on the bet they are on the way to being added to the S&P500, but twice the S&P500 return.

timed so when S&P500<SMA325 you go to cash
19970903 forward to 20251128
5 stocks likely to be joining the S&P500, before they are added:

cagr   24.77%
gsd     25.5
sharpe    .98
LDD     13.51
UI       9.76
beta      .73
TI      30.99
AT       4.0
MDD    -47.98

https://gtr1.net/2013/?!!QlpoMTFBWSZTWecbvv0AAeTfg...

Interesting screen. The backtest could easily be extended to 1987 and brought forward using P123, but first some steps could be cleaned up some.

Define {JoinS5roeMo_20260316_musselmant}
step0: [S&P 1500 Member] != null
step1: [S&P 500 Member] == null
step2: [MktCap] Top 75
step3: [Average dollar-volume over 63 days] > 2e+07
step4: [SI Return on Equity Y1] > 20
step5: [Actual closing Price] > 15
step6: [Total Return Multiplier over 60 days] > 0
step7: [SI Return on Equity Y1] < 45
step8: [[Total Return Multiplier over 200 days]/[Total Return Multiplier over 5 days]] Top 10
step9: [SI Return on Equity Y1] Top 5

step6 does nothing, as the Total Return Multiplier is always positive.

step3 and step5 have magic numbers that do not age well (market dollar-volume was less in 1987). And the screen does about the same without these steps.

Results from 19970902 to 20251128:

    Screen      CAGR  SAWR  GSD  Sharpe
JoinS5roeMo26a  21.6  10.2  31    0.79
JoinS5roeMo26b  20.7  9.1   30    0.79
JoinS5roeMo26c  12.8  5.1   32    0.51
JoinS5roeMo26d  19.5  8.8   29    0.75
JoinS5roeMo26e  20.4  9.4   30    0.77

JoinS5roeMo26a is the OP screen.
JoinS5roeMo26b drop step3, step5, and step6, and add a few standard steps.
JoinS5roeMo26c uses ROE TTM. This decreases CAGR.
JoinS5roeMo26d uses ROE = (netincy1.s / equityy1.s).
JoinS5roeMo26e uses Equity = average(equityy1.s, equityy2.s).

Why does ROE TTM result in a much lower CAGR?

Using 2 years to calculate equity (version e) is slightly better than just using one year (version d), maybe awarding growth in equity.

https://gtr1.net/2013/?~JoinS5roeMo26e:h21f0.1::sp...
https://gtr1.net/2013/?~JoinS5roeMo26d:h21f0.1::sp...
https://gtr1.net/2013/?~JoinS5roeMo26c:h21f0.1::sp...
https://gtr1.net/2013/?~JoinS5roeMo26b:h21f0.1::sp...
https://gtr1.net/2013/?~JoinS5roeMo26a_20260316_mu...

https://gtr1.net/2013/?~JoinS5roeMo26e:h21f0.1::sp...

is the timed version using SPY<SMA325 as the timing trigger to go to cash:

your fist link (above)
cagr 23.19%
gsd  25.75
ldd  13.69
ui   12.33
sharpe .92
beta   .73  
mdd -43.8%

your 4th link, timed:
cagr 24.368%
gsd  24.72
ldd  12.85
sharpe .99
beta   .7
mdd -39.85

your last link, timed:
cagr 24.70%
gsd  25.6
sharpe .98
ldd  13.57
ui    9.75
beta   .73
mdd -42.85%

4th:
https://gtr1.net/2013/?~JoinS5roeMo26b:h21f0.1::sp...

last link:
https://gtr1.net/2013/?~JoinS5roeMo26a_20260316_mu... 

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