The mother of all backtests. O'Shaughnessy runs the numbers on just about all the one-factor screens you can think of (plus a couple of multi-factor ones as well) and shows how market performance has related to fundamental data and price momentum since 1954.  Methodical, but a bit dry.  Best used as a reference rather than read cover-to-cover.  This is probably the most authoritative study of stock screening anywhere.

The original voice of the Foolish Four and Workshop areas of the Motley Fool, Sheard explains the investment strategies that launched his career: Unemotional Value and Unemotional Growth.  UV seems to have been lapped by other Dow dividend strategies, and UG has strangely disappeared from the discussions on the Workshop boards.  The book is still worth reading to see how an ordinary guy with an English degree can backtest with the best of them.  Sheard's writing style is a lot more readable than most investment gurus.  If that isn't damning with faint praise, I'm not doing it right.

Take some hot mutual funds. Look at what stocks they have in their portfolios. Analyze the characteristics of those stocks. Turn those characteristics into a stock screen. Do just as well as the high-priced fund managers. O'Shaugnessy shows how in this book, which includes a free sample Value Line monthly database.

Ken Lee's system is a lot more involved than most mechanical strategies, but it has two big advantages (in addition to its stellar returns).  First, your portfolio is not set in stone on the first of the year and reshuffled only annually.  You have an opportunity to buy or sell every time a Dow company reports earnings.  That should keep the frenetic types interested.  Second, you'll probably hold stocks for years without selling, compounding your gains tax free.  The explanation of the system, particularly when to sell, could be a lot clearer, but you can always ask Ken himself for clarification.  He's dowbuys on the Motley Fool message boards.

The original Dow dividend strategy.  The technique has been bested by the various Foolish Four strategies, and even the author has moved on (to market timing, of all things), but it's still something of a classic.

The whole point of investing mechanically is to find a method that "beats the market" and just follow it.  Knowing whether a strategy is a market beater is not quite as easy as looking at the returns, however.  You need to know a little bit about statistics.  This book is, without a doubt, the easiest introduction you'll find.  There's not much math, and the math that is there is well-explained and easy to follow.  If you really want to understand what standard deviation means and how chance affects everything, read this book.

It's cute!  It's cuddly!  It's statistics!  This book is a lot shorter and less expensive than Freedman's, and there are lot's of cartoons, but some of the explanations are a little too concise.  The nice thing about the drawings and examples is that they are so vivid you'll have a hard time forgetting the concepts.

This one is a more advanced, with an emphasis on techniques you really need a computer to use: correlation and regression analysis, factor analysis, discrimination analysis, cluster analysis, multi-dimensional scaling, perceptual mapping -- you get the picture.  At least it's cheap (about $16).  Read Freedman first.

No math here.  Just withering logic.  It's a classic from the 40's, when being a Yale man really meant something.  You can read it in an hour and laugh about it all week.

Live a little bit below your means, get out of debt, and take control of your investments -- that's the "Foolish" philosophy of these guys, who run the Motley Fool web site.  The Gardners have an easy-going style that livens up some dry basics.  Although it came out after The Motley Fool Investment Guide, it's actually a "prequel," explaining the basic concepts in more detail.

Extends the Foolish philosophy and provides an introduction to fundamental analysis, as well as techniques for gathering information about companies.  Includes the original Foolish Four formula (check the website for the latest version; it seems to change every six months or so), the "Foolish 8" method for finding growth stocks, and the hair-raising story of how the brothers invested in a company that sold imaging systems to salons so customers could see how their hairstyles would look before the first snip.  It was the brothers who got clipped, however.  Entertaining and informative.

Definitely a beginner's book, but it has a lot of data, too. Interspersed with several stock screening techniques are vignettes about people at various stages of life with different goals for their future. I don't want to kill the suspense, but all of them will benefit from O'Shaughnessy's recommendations!  O'Shaugnessy says so himself.  Never mind that he recommends holding 25-50 stocks when most people think 20 is too many (even O'Shaugnessy used to, in Invest Like the Best).  This one reads like his publicist wrote it.  I guess that's how you get on Oprah.  Not up to the standards set by his earlier works.

Before you buy this book, know this: O'Neil just can't get over how smart he is.  He brags about it on practically every page.  And he's not shy about his reactionary political views either.  Strip those flaws away and you've got a first-rate book about what to look for when you pick stocks.  You'll also learn how to put all those "SmartSelect" ratings in Investors Business Daily to work in O'Neil's famous CANSLIM system.  O'Neil claims his system is based on a systematic study of "greatest stock market winners" over the last 40 years, but he never presents any data, only conclusions.

This book, now in its second edition, answers all the macro questions about how the stock market works. It goes back to the 1800's and all over the world to show that the stock market is a remarkably stable, predictable creator of wealth in the long run. Siegel destroys modern portfolio theory by showing that holding only stocks for a very long time is less risky than a portfolio that includes bonds, etc. He doesn't exactly have the most interesting writing style, but it's the force of the facts that is important.

Common Stocks and Uncommon Profits by Philip A. Fisher

Security Analysis by Graham and Dodd
 

The Intelligent Investor by Benjamin Graham
 

Contrarian Investment Strategies by David Dreman