I've NEVER had jetlag when following this method:
Sleep a little on the plane (which is incredibly difficult for me anyway), and when I get to Madrid (usually in the later morning) STAY UP. Eat at the madrileño time, and stay up. No siesta for me. Go out, sightsee, etc. After dinner at the local prescribed hour, then CRASH. You'll be exhausted, but you'll wake up in the morning completely acclimated. Good luck!
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Ongi etorri!