I think it is working as expected.
...

Regarding the number of overlaps changing each day, the overlaps are calculated for the cycle trade day. On 19851024, cycle 3 is calculated and there are 3 overlaps. These stocks are held for 20 days. On 19851025, cycle 4 is calculated and there are 2 overlaps. These are held for the next 20 days in cycle 4.

Ah, that could explain it. It's all very confusing.

You've have to look down the 1st column to get a start date & cycle, then across to get the column for that cycle, then go down that column for values for correct 20 days. Or something like that. Ugh. That's starting to sound like work. ;-)

Not sure how confident I am about these backtest results.
31% CAGR is hard to believe. Like, why have none of the big players glommed onto this?

**edit**
Looked at a few Count 0's
A few seemed to be close the the 1-yr Tbill rate for that month.
A few didn't.
Real PITA to do manually, I don't have high confidence in what I did.

To do a good cross-check you'd also need to look at a few of the 5 count months. The gain of each of the three backtests should be the same, as they would all have been invested in the same 5 stocks.
122 0's and 612 5's
Doable, but to do it right you'd need to automate it all in a spreadsheet or two. Maybe if I get bored enough....

I'll have to think about it.