I edited this post because I finally made some changes I thought were worth sharing (I think). My problem is I don't understand why it backtests so well. This comes from the "Momentum Anomaly screen in the anomaly folder. I tweaked some of the parameters and the attached file is the result. I called it "anomaly_5". The 5 is for a 5 stock strategy to be traded and rebalanced each week. I backtested for the same period of time that Zacks uses in their advertising (1/1/10 - the current week). Let me know what you think.