On Friday--and then again on Monday--the number of stocks making fresh 20-day highs itself made a high reading for the past 20 sessions. Since 2004, we've had 43 occasions in which the 20-day highs have made 20-day highs. What we see going forward is a modest short-term momentum effect in the S&P 500 (SPY). Two days later, SPY is up by an average .22% (25 up, 18 down), stronger than the average gain of .06% for the sample overall. Beyond two days, going out to as far as 20 days, there is no edge when new highs hit new highs. It has not been profitable to short such occasions overall; but neither have there been superior upside returns.
Since 2004, when 20-day highs have made 5-day peaks, but not peaks at 10 and 20 days (which tends to occur in topping markets), returns over the next two days are actually subnormal. It's when 20-day highs are also at 20-day highs that we see the modest momentum effect.