Here's a quick example of how blending a Short & Long screen might work:

For the Long Screen, I used mrtoast's most recent screen:

All VL stocks
Top-30 by RSW
sort by High % EPS Change Last Quarter

The Top-5 picks using a monthly hold have these returns (annualized):
geometric mean: 59.4%
arithmetic mean: 67.4%


For the Short Screen, I used this:

Timeliness = 4 & 5
Sort by Low RS-52

The Top-3 picks using a monthly hold have these returns (remember, we're going short):
geometric mean: 28.4%
arithmetic mean: 52.8%

As you might expect, these screens are highly negatively correlated, with an r-value of -0.296



Now, here is a table that shows the returns if you blend them in a fixed percentage. This table shows the annualized return as you add more of the Short Screen:

% Short	Return
0%	59.41%
5%	59.92%
10%	60.21%
15%	60.27%
20%	60.10%
25%	59.71%
30%	59.10%
35%	58.27%
40%	57.22%
45%	54.49%
50%	48.73%
55%	52.81%
60%	50.94%
65%	48.86%
70%	46.60%
75%	44.15%
80%	41.51%
85%	38.70%
90%	35.72%
95%	32.57%
100%	28.42%

As you can see, blending some of the short screen actually increases the overall CAGR (albeit modestly) despite having a lower return than the Long screen. This is due to the effect of blending negatively correlated screens, if I understand this correctly.

Furthermore, the blend decreases the volatility of compared to just using the Long Screen (no surprise there). Here is a table of the month-by-month return of the 2 screens so that you can do your own comparisons and manipulations. The returns for the Short Screen are as if you went short (did I need to say that??). Please excuse any rounding errors:

Date	Long	Short
Jan-86	12.89%	11.11%
Feb-86	13.38%	3.46%
Mar-86	2.75%	-13.73%
Apr-86	5.16%	-17.78%
May-86	-0.44%	5.36%
Jun-86	1.54%	13.61%
Jul-86	-7.02%	14.82%
Aug-86	-2.14%	-16.41%
Sep-86	-11.26%	3.03%
Oct-86	13.72%	3.08%
Nov-86	1.26%	10.40%
Dec-86	-4.83%	-46.11%
Jan-87	9.59%	-7.36%
Feb-87	5.95%	7.29%
Mar-87	-0.55%	-2.58%
Apr-87	9.37%	-6.66%
May-87	-1.96%	11.87%
Jun-87	-4.96%	-23.49%
Jul-87	4.24%	2.83%
Aug-87	5.52%	11.33%
Sep-87	16.21%	10.60%
Oct-87	-32.95%	39.10%
Nov-87	1.10%	8.36%
Dec-87	19.95%	15.74%
Jan-88	-17.72%	5.29%
Feb-88	12.99%	-5.98%
Mar-88	2.12%	0.73%
Apr-88	9.38%	17.61%
May-88	1.12%	-0.82%
Jun-88	17.66%	-38.94%
Jul-88	3.14%	36.65%
Aug-88	-0.44%	8.99%
Sep-88	9.89%	-27.27%
Oct-88	8.13%	16.16%
Nov-88	-2.05%	26.90%
Dec-88	-2.56%	-2.22%
Jan-89	11.97%	9.30%
Feb-89	3.64%	-1.76%
Mar-89	5.79%	28.44%
Apr-89	12.42%	-16.01%
May-89	18.41%	-12.40%
Jun-89	-0.29%	9.73%
Jul-89	12.57%	-2.44%
Aug-89	4.06%	5.43%
Sep-89	5.00%	8.86%
Oct-89	-9.23%	28.59%
Nov-89	-3.02%	13.33%
Dec-89	1.37%	48.71%
Jan-90	-6.61%	27.51%
Feb-90	3.20%	29.80%
Mar-90	0.85%	16.16%
Apr-90	-1.25%	12.76%
May-90	26.66%	8.89%
Jun-90	2.30%	4.99%
Jul-90	-9.02%	21.47%
Aug-90	-9.12%	8.93%
Sep-90	-3.92%	44.33%
Oct-90	2.99%	17.86%
Nov-90	14.84%	0.46%
Dec-90	11.58%	33.80%
Jan-91	20.93%	23.61%
Feb-91	14.62%	-19.15%
Mar-91	19.61%	4.06%
Apr-91	2.92%	7.59%
May-91	9.38%	25.67%
Jun-91	-11.67%	25.50%
Jul-91	14.58%	-14.07%
Aug-91	12.90%	13.07%
Sep-91	4.75%	23.89%
Oct-91	8.40%	-7.54%
Nov-91	-7.72%	16.89%
Dec-91	22.04%	-1.80%
Jan-92	4.10%	9.33%
Feb-92	5.35%	-3.36%
Mar-92	-4.79%	32.13%
Apr-92	-4.63%	-4.05%
May-92	3.38%	-16.02%
Jun-92	-5.65%	-2.69%
Jul-92	3.82%	-0.70%
Aug-92	-3.75%	21.14%
Sep-92	4.13%	2.74%
Oct-92	24.33%	-16.61%
Nov-92	8.77%	-22.62%
Dec-92	9.08%	-16.04%
Jan-93	25.30%	-35.42%
Feb-93	-3.63%	-13.43%
Mar-93	15.36%	7.56%
Apr-93	3.69%	3.52%
May-93	13.38%	-10.45%
Jun-93	3.48%	4.09%
Jul-93	2.19%	13.16%
Aug-93	14.28%	-4.38%
Sep-93	5.87%	3.56%
Oct-93	-0.02%	-25.90%
Nov-93	-10.28%	2.31%
Dec-93	9.84%	4.27%
Jan-94	8.98%	-2.34%
Feb-94	11.06%	19.03%
Mar-94	-5.31%	0.30%
Apr-94	10.20%	-10.45%
May-94	-7.46%	11.76%
Jun-94	-1.96%	-4.62%
Jul-94	-1.58%	1.35%
Aug-94	0.99%	-11.43%
Sep-94	6.14%	15.00%
Oct-94	-1.37%	-1.20%
Nov-94	-0.23%	29.39%
Dec-94	1.48%	8.30%
Jan-95	2.31%	-6.35%
Feb-95	16.03%	0.93%
Mar-95	1.30%	13.52%
Apr-95	2.58%	-12.02%
May-95	-2.59%	-5.18%
Jun-95	21.55%	4.77%
Jul-95	12.98%	-36.87%
Aug-95	12.07%	7.58%
Sep-95	-3.74%	-9.72%
Oct-95	1.59%	22.20%
Nov-95	-0.05%	12.12%
Dec-95	-4.55%	6.79%
Jan-96	5.21%	-7.01%
Feb-96	11.66%	6.55%
Mar-96	14.42%	-11.85%
Apr-96	13.95%	-38.10%
May-96	20.06%	3.85%
Jun-96	-3.59%	8.94%
Jul-96	-6.91%	14.87%
Aug-96	6.89%	8.02%
Sep-96	11.28%	-16.47%
Oct-96	0.34%	11.05%
Nov-96	10.79%	-1.30%
Dec-96	6.60%	-2.25%
Jan-97	-3.98%	-1.43%
Feb-97	-6.38%	-6.44%
Mar-97	-12.76%	6.91%
Apr-97	15.90%	-3.48%
May-97	3.69%	-15.56%
Jun-97	5.92%	12.70%
Jul-97	16.42%	-12.58%
Aug-97	2.09%	-32.29%
Sep-97	-1.38%	-4.19%
Oct-97	-16.21%	20.53%
Nov-97	7.53%	6.35%
Dec-97	-7.69%	15.69%
Jan-98	16.66%	44.05%
Feb-98	6.44%	7.47%
Mar-98	8.56%	-2.71%
Apr-98	-5.16%	3.54%
May-98	-1.35%	31.93%
Jun-98	43.55%	-2.62%
Jul-98	-8.91%	39.14%
Aug-98	-16.08%	2.90%
Sep-98	-0.77%	13.73%
Oct-98	11.88%	-34.41%
Nov-98	17.31%	-3.56%
Dec-98	18.51%	2.12%

Alan