Academics have shown that insider trades can be used to create long portfolios that outperform market indexes but that insider selling is not helpful in creating short portfolios that undeperform. Consequently to trade the anomaly you want to be long stocks with net insider buying and short a market ETF.
Zacks’ Reseach Wizard has the net statistics on insider trading that you will need to use in your screens. Based on academic research you should bed able to generate returns of 8 to 12% per year using insider data. InsiderMonkey.com also publishes lists of stocks that satisfy the consensus criteria. These stocks should be able to beat the market by an average of 7 percentage points per year.