Sell in May, Buy in October: Seasonal Index Strategy and Backtest Claims

Summary

The document describes a seasonal strategy that holds an index long from October until May, then switches to a short position until October. It presents this as a test of the market adage commonly associated with avoiding the summer months. The author reports results for the CAC 40 over a stated historical period, including win-rate and profit-factor figures, and says the approach also performed well on several other major indices.

The document provides code for implementing the monthly entries and exits, but does not explain execution assumptions, costs, position sizing, benchmark comparisons, or how the other index results were measured. The reported outcomes are the author’s backtest claims and are not independently validated in the text. The strategy’s apparent performance should therefore be treated as a hypothesis to test with consistent data, realistic costs, and out-of-sample evaluation.

Key ideas

• The strategy enters long positions in October and exits them in May.
• It opens short positions in May and closes them in October.
• The author reports favorable historical backtest metrics for the CAC 40 and several other indices.
• The document does not specify transaction costs, execution assumptions, or validation procedures.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.