This strategy involves buying at close and selling at open. I think the logic behind it is that more people will buy at open and sell at close - so by going against the grain you are taking advantage of the purchase behavior of others.
I compared this strategy to a simple buy and hold strategy to guage the average alpha generated.
The strategy generates ~150% alpha since 1993, and on average with 1000 randomly chosen time intervals within the 1993 - 2019 period generates an average of 35% alpha.
Feel free to check out the notebook for my code.