This article is an idea from this blogpost:
- SPY closes higher than the previous 20 day close (not the 20 day high)
- Today is either monday or tuesday
- Go short at close
- Exit at tomorrows open
This works for all days except for thursdays.
This is the results for mondays from 2005 until february 2013:
This is the results for tuesdays from 2005 until february 2013: