Here is the strategy:
- Today is friday.
- Yesterday (thursday) was down more than -0.15% and today also more than -0.15%. 0.15% is used to have some wiggle room because you have to send the orders before the market closes.
- Exit after two days on the close (usually on tuesdays).
Test period is from 2005 until february 2013:
Here is the equity curve:
Doing the opposite (and short) we get this equity curve:
It does not work on other days. On wednesdays, it pays off to go short.