I'm of the belief that price follows earnings, and US small and midcaps have basically been in a secular earnings recession for about 3 years imo. Probably not a coincidence this coincided with the Fed raising rates to stomp out post pandemic inflation. Most US only small cap systems have been flying into macro headwinds rather than tailwinds. Access to Canadian and European stocks has been critical for me, which is why I think it's imperative to get access to Asian Pacific stocks going forward.
Good job getting this far. My thoughts would be that if you can get similar performance from 20 than with 15 always go with the 20. The article link you included mentions 24 stocks were being held at the time so there is that too. In terms of your specific strategy the data clearly shows most picks led to losses for that 40% wins one so the ranking system alone is not doing a complete job at filtering out poor quality issuers. The good news is that since you currently have basically no rules to filter poor quality names there is a LOT of low hanging fruit out there for you. I would not be surprised if you could simultaneously increase returns and lower risk with a few well thought off rules. Using rules helped my Russell 3000 model do ok those years-that is a 30 stock one for less idiosyncratic risk.
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@tgoudie000 What does it look like if you combine these 4 systems into a Book and use a more relevant benchmark?
I think multiple systems is the holy grail ( and try to find some that are not too correlated).