The screener is based on the companies with literally zero debt on their balance sheet and a strong average Return on Equity. Zero debt companies are generally strong in fundamentals as they don’t have any interest costs to worry about, which also results in a higher profit margin.
During an economic slowdown, many debt-heavy firms’ profits dip owing to falling sales and payment of fixed interest while companies with no debt or less debt need not worry about the same. Debt-free companies mostly fund their Capex through internal accruals and the least preference is equity funding. However, companies have different kinds of risks such as the nature of the industry, business, operations, etc.