http://stockcharts.com/h-sc/ui?s=$VLE:$SPX&p=D&b=5&g=0&id=p15802075640 Look at that crazy chart of the Value Line Index: SPY . . . It looks like what's happening is that, when the market opens lower, the Value Line stocks are hit the most (as the momentum stocks), but bounce back by the end of the day. Likewise, when the market opens higher, the dreck gets covered in the morning and fades by the end of the day and the Value Line stocks show relative strength towards the end of the day. So the strategy is, when the market gaps lower and the ratio opens below 2.15 , buy VLE (if there is an equivalent) and short spy. Reverse for gaps higher, when the ratio is above 2.30.
Looking closer at the chart, it's not clear why the VLE opens relatively higher on some days and not on others. But the pattern holds, when the *ratio* gaps higher or lower, go the other way.