As an aside, never underestimate how much randomness there is in any backtest of only 5 or 10 stocks. This is the biggest issue by far on why so many screens have disappointed after they were created: we found the luckiest screens and variants and posted them.

Interesting theory. If this is true, it seems we should see evidence that screens that performed well in backtest at deeper/larger numbers of holds (say holding 30-40 stocks) have continued to perform well in forward test.

Has anyone done an analysis like that? To see if the top ranked screens by that metric have performed better in forward test than those that are bottom ranked by that metric?

Rather than looking at total return for the full hold, another metric could be developed based on breaking up the screen ranking positions of stocks into "mini" portfolios and looking at how consistent they are out to deeper levels, comparing 1-10 to 11-20 to 21-30 to 31-40. Those that remain strong out to deeper ranks might be expected to hold up better in forward test, based on this theory.

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