Calendar
Sell in May
A calendar effect: historically, stocks rose more in the “winter” half of the year than in the “summer” half. A good example for testing how an old pattern behaves on new data.
Rules
- Buy at the start of November.
- Sell at the start of May.
- No indicators: only the calendar.
Code for the lab
buy when month >= 11 or month <= 4 sell when month >= 5 and month <= 10
You can change the code right in the lab: the numbers in input(…) become sliders.
Results on eight markets
| Market | CAGR | Drawdown | Trades | Buy and hold: CAGR | Buy and hold: drawdown |
|---|---|---|---|---|---|
| MOEX Russia Index | — | — | — | — | — |
| Sberbank | — | — | — | — | — |
| Gazprom | — | — | — | — | — |
| Gold, $ per ounce | — | — | — | — | — |
| Brent crude, $ per barrel | — | — | — | — | — |
| Bitcoin | — | — | — | — | — |
| Ether | — | — | — | — | — |
| VN-Index | — | — | — | — | — |
| Market | CAGR | Drawdown | Trades | Buy and hold: CAGR | Buy and hold: drawdown |
|---|---|---|---|---|---|
| MOEX Russia Index | — | — | — | — | — |
| Sberbank | — | — | — | — | — |
| Gazprom | — | — | — | — | — |
| Gold, $ per ounce | — | — | — | — | — |
| Brent crude, $ per barrel | — | — | — | — | — |
| Bitcoin | — | — | — | — | — |
| Ether | — | — | — | — | — |
| VN-Index | — | — | — | — | — |
The numbers are calculated in your browser from fresh source candles.
Default parameters, daily candles, a fee and slippage of 0.05% each per trade, no return on cash out of the market, prices without dividends. The test starts once all of the rule’s indicators are calculated.
What research says
Bouman and Jacobsen (2002) described the effect on dozens of markets, and Andrade, Chhaochharia and Fuerst (2013) tested it after publication on 37 countries: the November–April return was on average about 10 percentage points higher than the May–October return.
McLean and Pontiff (2016) showed on 97 market anomalies that after publication their returns are on average 58% lower. Check how the effect behaves in recent years.
Original source: Bouman, Jacobsen. The Halloween Indicator, “Sell in May and Go Away”. American Economic Review, 2002
When the rule breaks
- A strong summer: the rule misses all of its gains, and summer months usually rise too, just less.
- In the US, the effect rests largely on single years such as 1987 and 1998 (Maberly, Pierce, 2004).
- Half a year out of the market means cash that earns nothing, unless you put it into bonds.