We have developed a Multiple Survival Screening algorithm (MSS) for identifying high-quality cancer prognostic markers from the gene expression profiles of cancer samples. By applying the MSS algorithm to breast cancer samples, we have identified several marker sets which showed ~90% predicting accuracy across 8 independent breast cancer cohorts. We realized that the algorithm could be used for finding other biomarkers including drug response markers. We are describing the protocol with some comments based on our experience in using the algorithm.