The following tables display the results of searching for the best long and short strategies over the period starting at the end of April and ending at the end of October in the years 1994 through 2003.  The idea was to test the "sell in May (and stay away through October)" logic espoused by a number of market analysts.

Our own verdict...it's a ludicrous strategy.  There have been plenty of ways to walk away with consistent profits during the May-October period from 1994-2003, despite the fact that the broadest market hasn't overwhelmed with monster gains (nevertheless, it has averaged about 6%/year during this period via our own unweighted sampling of more than 2000 stocks...does it really make sense to go back to 1950 to ascertain a tendency for stocks to suffer in this period?).

Good strategies include buying cheap stocks, volatile stocks, semiconductors, and stocks trading well over their most prominent resistance levels.  The last strategy is interesting because, unlike the others, it's not usually recommended as good general long-term strategy.  During this period, it makes sense to buy winning stocks, not losers.

On the short side, pricey stocks are not recommended.  Metals and mining, some retails, raw materials, and REIT's have been weak.  Stocks trading well under prominent resistance levels suffer.  Despite the trend for "strong" stocks to prosper, big cap stocks have been weak.

Even if you're inclined to look at longer-term results, or focus on large-cap stocks only, our sampling of S&P 500 stocks from 1984 through 2003 still shows numerous ways to pull off gains, though the level of significance drops when looking at this smaller, less diverse pool of stocks.  Going with S&P stocks of the lowest 20% of market capitalization has averaged around 7% gains since 1984.  The gains can be improved to around 13% at the expense of statistical significance if you go with the cheapest 4% of stocks or the 4% of stocks that performed well in the same May-Oct period in the previous year.  We calculate a 1.4% average gain for this index from 1984 through 2003.  

To put it another way, we figure you'd have missed out on an average 77% gain from 1984 through 2003 by playing the "sell in May" game with S&P 500 stocks...not an outrageous gain, but nothing to sniffle at.  That 77% figure goes up to around 300% if you had restricted your S&P 500 picks to the cheapest 10% of stocks or the 10% with the nicest yearlong gains.  Stocks with big gains around the end of April, however, should be avoided.  We show one table with these S&P 500-based results at the bottom of this page.

 

Date(ymd): 030429 Average Gain: 489.35 Group Stdev: 215.03 Market Focus: 2.7+3.4 (0.00000, 0.00000) Market Focus5: 1.7+1.0 p = n = 40, r = 130, period = 240 Dual risk-adjusted data for 1994-2003

Top Gaining Groups 1790.03 recent_price 1.00 to 11.00 (1)+ resist3 41.00 to 50.01 (5) 1696.32 vave 1.00 to 11.00 (1)+ vskew 41.00 to 50.01 (5) 1616.05 vave 41.00 to 50.01 (5)+ vskew 1.00 to 11.00 (1) 1603.41 recent_price 1.00 to 11.00 (1)+ resist2 41.00 to 50.01 (5) 1571.87 recent_price 1.00 to 11.00 (1)+ resist1 41.00 to 50.01 (5) 1556.77 big_pslice 41.00 to 50.01 (5)+ vskew 1.00 to 11.00 (1) 1543.64 resist1 41.00 to 50.01 (5)+ slice3 1.00 to 11.00 (1) 1519.51 yeargain 41.00 to 50.01 (5)+ stock_ind 31.00 to 41.00 (4) 1510.79 vskew 1.00 to 11.00 (1)+ vtotal 1.00 to 11.00 (1) 1489.88 resist3 41.00 to 50.01 (5)+ big_pslice 31.00 to 41.00 (4)

Losing Groups -871.96 vskew 41.00 to 50.01 (5)+ t_vratio 1.00 to 11.00 (1) -617.99 vave 41.00 to 50.01 (5)+ vstock_ind 1.00 to 11.00 (1) -521.13 big_pslice 41.00 to 50.01 (5)+ vskew 41.00 to 50.01 (5) -498.48 recent_price 41.00 to 50.01 (5)+ t_pratio 41.00 to 50.01 (5) -360.81 vkurt 41.00 to 50.01 (5)+ vtotal 11.00 to 21.00 (2) -355.58 slice3 1.00 to 11.00 (1)+ vskew 41.00 to 50.01 (5) -343.57 3monthgain 31.00 to 41.00 (4)+ t_pratio 41.00 to 50.01 (5) -343.05 recent_price 41.00 to 50.01 (5)+ ptot_neg 41.00 to 50.01 (5) -339.19 3monthgain 31.00 to 41.00 (4)+ ptotal 41.00 to 50.01 (5) -326.79 break_ave 1.00 to 11.00 (1)+ ptotal 1.00 to 11.00 (1)

Date(ymd): 030429 Average Gain: 490.46 Group Stdev: 169.47 Revised h/l prob: 0.0, 5.41 Market Focus: 1.7+0.6 (0.00000, 8.50) Market Focus5: 0.0+0.0 p = n = 40, r = 130, period = 240 Risk-adjusted data for 1994-2003

Top Gaining Groups 1366.85 recent_price 1.00 to 3.00 (1) 1251.14 industry 91.74 to 94.01 (23) 1153.91 markcap_est 1.00 to 3.00 (1) 1112.34 inertia 49.00 to 50.01 (25) 1089.31 recent_price 3.00 to 5.00 (2) 1086.16 recent_price 11.00 to 13.00 (6) 1011.47 industry 66.90 to 69.56 (15) 1009.98 resist3 49.00 to 50.01 (25) 1007.61 industry 90.77 to 91.74 (22) 1006.56 markcap_est 7.00 to 9.00 (4)

Losing Groups -108.57 industry 94.01 to 94.77 (24) -106.66 recent_price 47.00 to 49.00 (24) -44.74 recent_price 49.00 to 50.01 (25) -44.09 vave 39.00 to 41.00 (20) -13.46 industry 46.77 to 50.84 (9) 33.46 industry 1.04 to 9.79 (1) 34.35 pkurt 29.00 to 31.00 (15) 37.65 break_ave 47.00 to 49.00 (24) 43.65 break_ave 49.00 to 50.01 (25) 44.62 resist2 1.00 to 3.00 (1)

Date(ymd): 030429 Average Gain: 490.82 Group Stdev: 128.88 Market Focus: 2.7+2.1 (0.00000, 0.00000) Market Focus5: 0.4+-0.0 p = n = 40, r = 130, period = 240 Risk-adjusted data for 1994-2003

Top Gaining Groups 1155.46 recent_price 1.00 to 6.00 (1) 1012.42 industry 86.89 to 92.25 (9) 880.38 resist3 46.00 to 50.01 (10) 877.94 markcap_est 1.00 to 6.00 (1) 853.05 markcap_est 6.00 to 11.00 (2) 847.44 inertia 46.00 to 50.01 (10) 832.06 resist2 46.00 to 50.01 (10) 831.05 industry 69.56 to 74.93 (7) 825.10 vtotal 46.00 to 50.01 (10) 824.93 recent_price 11.00 to 16.00 (3)

Losing Groups -56.68 recent_price 46.00 to 50.01 (10) 86.89 break_ave 46.00 to 50.01 (10) 98.72 industry 1.04 to 16.67 (1) 201.27 break_ave 1.00 to 6.00 (1) 209.19 resist2 1.00 to 6.00 (1) 228.01 industry 27.67 to 44.43 (3) 231.98 industry 44.43 to 57.03 (4) 234.23 pave 11.00 to 16.00 (3) 240.66 inertia 1.00 to 6.00 (1) 243.12 industry 92.25 to 101.98 (10)

Date(ymd): 030429 Average Gain: 12.18 Group Stdev: 7.20 Market Focus: 5.4+2.5 (0.00000, 0.00000) Market Focus5: 3.3+1.3 p = n = 40, r = 130, period = 240 Dual data for 1994-2003

Top Gaining Groups 71.75 recent_price 1.00 to 11.00 (1)+ resist3 41.00 to 50.01 (5) 65.00 recent_price 1.00 to 11.00 (1)+ resist1 41.00 to 50.01 (5) 62.88 recent_price 1.00 to 11.00 (1)+ resist2 41.00 to 50.01 (5) 56.89 recent_price 1.00 to 11.00 (1)+ vtotal 41.00 to 50.01 (5) 56.57 resist1 41.00 to 50.01 (5)+ break_ave 21.00 to 31.00 (3) 53.76 resist2 41.00 to 50.01 (5)+ break_ave 21.00 to 31.00 (3) 52.39 vstdev 41.00 to 50.01 (5)+ break_ave 21.00 to 31.00 (3) 52.29 markcap_est 1.00 to 11.00 (1)+ vstdev 41.00 to 50.01 (5) 52.22 pstdev 41.00 to 50.01 (5)+ break_ave 21.00 to 31.00 (3) 50.70 recent_price 1.00 to 11.00 (1)+ mov_ave100 41.00 to 50.01 (5)

Losing Groups -23.04 vskew 41.00 to 50.01 (5)+ t_vratio 1.00 to 11.00 (1) -16.20 break_ave 1.00 to 11.00 (1)+ ptotal 1.00 to 11.00 (1) -15.34 vave 41.00 to 50.01 (5)+ vstock_ind 1.00 to 11.00 (1) -14.69 big_pslice 41.00 to 50.01 (5)+ vskew 41.00 to 50.01 (5) -14.42 vskew 41.00 to 50.01 (5)+ break_ave 1.00 to 11.00 (1) -13.17 3monthgain 1.00 to 11.00 (1)+ slice97 1.00 to 11.00 (1) -12.85 slice3 1.00 to 11.00 (1)+ vskew 41.00 to 50.01 (5) -11.90 recent_price 41.00 to 50.01 (5)+ pave 1.00 to 11.00 (1) -11.63 break_ave 1.00 to 11.00 (1)+ t_pratio 1.00 to 11.00 (1) -11.46 t_pratio 1.00 to 11.00 (1)+ t_vratio 1.00 to 11.00 (1)

Date(ymd): 030429 Average Gain: 12.41 Group Stdev: 6.11 Revised h/l prob: 0.0, 2.53 Market Focus: 5.3+0.3 (0.0187, 19.93) Market Focus5: 1.6+-0.2 p = n = 40, r = 130, period = 240 Data for 1994-2003

Top Gaining Groups 61.41 recent_price 1.00 to 3.00 (1) 43.77 inertia 49.00 to 50.01 (25) 41.62 recent_price 3.00 to 5.00 (2) 41.60 pstdev 49.00 to 50.01 (25) 38.93 markcap_est 1.00 to 3.00 (1) 38.02 vstdev 49.00 to 50.01 (25) 37.82 resist3 49.00 to 50.01 (25) 36.14 ptotal 49.00 to 50.01 (25) 35.78 resist2 49.00 to 50.01 (25) 35.39 stdev 49.00 to 50.01 (25)

Losing Groups -4.70 break_ave 49.00 to 50.01 (25) -4.70 recent_price 49.00 to 50.01 (25) -4.44 recent_price 47.00 to 49.00 (24) -2.38 industry 1.04 to 9.79 (1) -1.76 pkurt 29.00 to 31.00 (15) -1.35 vskew 49.00 to 50.01 (25) -1.16 industry 94.01 to 94.77 (24) -0.14 recent_price 41.00 to 43.00 (21) -0.12 industry 27.67 to 35.21 (6) -0.10 prd_3yrs 37.00 to 39.00 (19)

Date(ymd): 030429 Average Gain: 12.42 Group Stdev: 5.09 Market Focus: 5.2+1.7 (0.00000, 0.00000) Market Focus5: 2.0+0.3 p = n = 40, r = 130, period = 240 Data for 1994-2003

Top Gaining Groups 46.84 recent_price 1.00 to 6.00 (1) 31.18 vstdev 46.00 to 50.01 (10) 30.92 stdev 46.00 to 50.01 (10) 30.62 industry 69.56 to 74.93 (7) 30.50 inertia 46.00 to 50.01 (10) 29.73 resist2 46.00 to 50.01 (10) 29.53 resist1 46.00 to 50.01 (10) 28.75 pstdev 46.00 to 50.01 (10) 28.58 resist3 46.00 to 50.01 (10) 27.65 vtotal 46.00 to 50.01 (10)

Losing Groups -4.15 recent_price 46.00 to 50.01 (10) -0.65 break_ave 46.00 to 50.01 (10) 0.66 industry 1.04 to 16.67 (1) 1.24 recent_price 41.00 to 46.00 (9) 2.82 inertia 1.00 to 6.00 (1) 2.85 industry 27.67 to 44.43 (3) 3.21 vskew 46.00 to 50.01 (10) 3.78 markcap_est 46.00 to 50.01 (10) 3.98 prd_3yrs 36.00 to 41.00 (8) 3.99 recent_price 26.00 to 31.00 (6)

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