This strategy was featured in the August 2011 issue of Active Trader magazine. 

System Concept:

This strategy is based on the idea by Norman Fosback from the 1970's: the stock market is generally bullish at the beginning and end of each month.

Strategy rules:

Entry rules

• Enter long on the close of the last trading day of month when the day’s closing price is above the 100-day weighted moving
  average (WMA) of closing prices.

• When bound by capital limitations, take only signals in the lowest-priced ETFs.

Exit rules:

• Exit long at market tomorrow after four days in a trade.