I have been doing some testing on a system that exploits the short covering that happens in the last 5 minutes of trading before the 4 pm close. It works, really well, for the past few years since 1999, but from 2004 on it just breaks even. Do you figure it's because so many people know about it and use automated systems to trade this method, or is it because the markets have been different in the last two years? If it's the latter, then I can still trade because it may start working again. On the other hand I don't see how the markets have been different in the past two years. At least not in a sense of falling versus rising, because the system works in 1999, 2000, 2001, 2002 and 2003. The only reason I can see is that too many people have learned about this and have eliminated that inefficiency.