Very simple. Some of the ETFs gain 2% if the underlying index is down 1%. QID SDS MZZ DXP http://www.marketwatch.com/News/Sto...83DA-329B-4E77-AE86-DB4B5B60EA91}&siteid=mktw
Of course one of the biggest problems, is all of the clunkers that go to the pinks, get delisted, bankrupt, etc., that drop off your scans. These thudders probably had a few wins, but also probably wacked the system with huge losers when they kept on diving day after day. They aren't in the stats. That being said, yeah, there are systems that win long-only, in a down market...