Sell in May and Go Away Seasonal Timing

A stock market timing strategy based on seasonality and MACD technical trading signals.


Previous research on seasonality indicated that the market’s pattern of favorable seasonality begins October 1st or November 1st and ends May 1.

They discovered that those best day to enter the stock market on average is October 16 for the upcoming favorable seasonal period, and April 20 is the best day to exit from this favorable season.


However they emphasized that the market does not begin a rally on the same day each year, or begin to decline from a top on the same day each year. Based on this reason, they improved the strategy by using MACD to pinpoint buy and sell days.

  1. Entry and exit rules: After October 16 arrives, the entry rule of this STS is that we do not enter the stock market until MACD triggers its next buy signal. After April 20 arrives, the exit rule of this STS is that we do not exit the stock market until MACD triggers its next sell signal
  2. MACD: the MACD used could be found in MACD Strategy.

This strategy is also called 'Sell in May and Go Away'. Mark Hulbert has followed this strategy for many years and written peridically on it. The following is the latest article on Should I go away or Should I play?

Model Portfolios

  • A portfolio using Wilshire 5000 total return index ^DWC since 1971.
  • A portfolio using Vanguard 500 index fund VFINX.
  • A portfolio using Vanguard Smallcap index fund NAESX.

See Also

  • Jacobsen, Ben and Bouman, Sven,The Halloween Indicator, 'Sell in May and Go Away': Another Puzzle. American Economic Review, Vol. 92, No. 5, pp. 1618-1635, December 2002. Available at SSRN: Use this link for a downloadable working paper. This study extends the strategy to 37 countries' stock markets between 1970 and 1998. They found statistically significant evidence of the Halloween Indicator's existence in 36 of those countries.



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