I ran TWO from October 2009 to present on a daily basis using your criteria, with the following results:
129 total instances with a sum total of $11.2. The annual instance count was 2009=0, 2010=32, 2011= 55, 2013 = 7 so far.
If the 3 months of 2009 are ignored, this works out to 3.5 instances per month, although the distribution was not even across time. However, the frequency is increasing during the past year or so. The majority of instances were for $0.10 (95 of 129), but nearly all of the $0.05 occurrences were during the last five months. I will look at the frequency and distribution further.
The average PPS during the total period was $9.96. So $9,960 for 1000 shares (used for a total of 129 days, average 42 days/yr) would have produced $11,200, or an average of $302 per month with zero losses.
I think you may be on something here, Doc. I will look further.
Yahoo seems to have lost my last post, which basically states I screwed up. The previous post regarding the TWO run is not accurate. It simply locates the instances over time that Doc's criteria is met. That part is accurate. Re-running to obtain results from entry at close on day criteria is met, and exit the following day at close finds TWO is not a good prospect. The sum for the whole period is -0.65.