A couple questions I have.
IS the screen Mungofitch listed similar or same as weekly screens on this board?
Which ROE is used quarter, year or 5 year?
Where can I do my own screening, using which screening sites?
Does FT screener work for this, StOck Invetor Pro, Value Line, Portfolio 123 or other.
Which is best?

The ROE_Cash screen that is posted is similar, but not identical, to the screen I posted about which I call LargeCapCash outlined here
http://www.datahelper.com/mi/search.phtml?nofool=y...
I used the Value Line database to create and test it, and still do.
Their "Return on Shareholders' Equity" field is for one year, from the last full year annual statements available. They might do some adjustments, I'm not sure.
You can also use their figure for ROE latest quarter, which is I think the trailing four quarters (?), with very similar results in backtest.
It tests a bit better over a long backtest, a hair worse lately, close to a wash.
I have done more testing over the years with the annual figure, and there is lower turnover because it only changes once a year for each stock, so I tend to stick with that even though it is a little out of date.

If you wanted to do the screening yourself for precisely the screen I posted, you would need a subscription to Value Line.
It's hard to get the right product on line, usually you have to phone them and ask for the cheapest product that includes the "Analyzer" for the standard 1700 set of stocks.
You get a Windows program, and the subscription lets you download their database updates weekly and export it all to tab-delimited file.
There are multiple tools to proceed from there. I still use Radiscreen, the very old Excel macro.

As for which version (Value Line or SIpro or other) is best, I can't comment.
I have not really looked at the results of the SIpro version which is in the regular postings.
However, I might make the general comment that "translating" a screen to another stock database really does make it a different screen in the general case.

I have to say I am quite pleased with the first three years out of sample for the Value Line version.
(outperforming the S&P by 3-7%/year depending on the variant, when I would conservatively think something more like 1-2% would be expected in real life use)
In fact they have been so good that a couple of below-average years would not be unexpected : )
So far, it seems to meet the originally stated goal: a fairly diversified alternative to the S&P that has lower company-specific risk, and a reasonable expectation of slightly higher long run returns.
And not too much work or too much turnover.
(in a 40 stock portfolio HTD 45 run each two months, you replace under 1.5 stocks per month on average)

Jim