I read somewhere a vaguely described "Bridesmaid Strategy" in which you go long the second-best performing sector ETF of the previous year and supposedly that reliably beats SPY. It's a bunch of crap. It is not at all a reliable indicator. Depending on how you time the rebalance and the calculation it either just barely beats SPY or significantly underperforms, and generally exhibits quite a bit more volatility than SPY.
While messing around with the code though, I tried shorting the best performer as a hedge against market fluctuations. It seems the best performer has a tendency to mean revert while the second-best has a tendency to out-perform. Together they even out market volatility. So here's my hedged-variation on the Bridesmaid Strategy.
I think the problem with strategies like this that are based on general prior observations is that they are in their essence over-fit. It might continue to perform in the future... or it might not.