A suggested search - will try it out.

For this year, the following strategy has yielded over 50%:

Every fifteen weeks starting from the first full week of the year buy the two stocks that have done the best over the previous eight weeks. Close all positions on the closing day of the last week of the year.

This strategy applied to the basket of stocks that are currently in the SP500 does very well during 2001-2011 (only one year of 48% loss, but that followed a year of 100% gain), but obviously the result suffers from selection bias for the years prior to 2011.

The following are the trades for 2011 (the dates are the first days of the weeks at the close of which the trades were made).

THC 1/ 3/2011 TO 4/18/2011 -1.74%
TSO 1/ 3/2011 TO 4/18/2011 42.38%
GME 4/18/2011 TO 8/ 1/2011 -16.62%
COG 4/18/2011 TO 8/ 1/2011 22.40%
COG 8/ 1/2011 TO 11/14/2011 22.93%
VFC 8/ 1/2011 TO 11/14/2011 18.97%
FFIV 11/14/2011 TO 12/12/2011 5.81%
GR 11/14/2011 TO 12/12/2011 -0.18%