At my firm I back-test, back-test and back-test... and when I feel okay about a new approach I back-test some more. Here's an interesting anomaly that I found the other day. You can put it in your trading arsenal. This isn't a 'stand alone' system, but nonetheless, it is rather impressive.
Did you know that on the closing bell of the 3rd Friday of July, August, September and October, the S&P 500 loses -17% (over the next 5 days) on an annual rate since 1942? With everything being equal, one should either, exit their 'long' positions or open a 'short' position during these periods.
