Sell in May and Go Away strategy

Most traders have heard the saying "Sell in May and go away". I decided to investigate if that edge still exists in the market and specifically investigate how that strategy has worked on the France CAC40 index. Here are my results.

The image below shows the equity curve of two different strategies compared to a buy&hold strategy of the CAC40 index

Strategy 1: Go long every October, sell in May Strategy 2: Go long every October, and reverse position to short in May Strategy 3: Buy & hold

The image shows the results of the different strategies from 1988 until today. It's clear that the edge still exists in the CAC40 index, and that it's even stronger in the last 4 years.

Let's look closer on how the strategies perform compared to a buy-hold strategy.

	Buy & hold	Strategy 1: Sell in May & go away	Strategy 2: Short in May & Long in Oct
Points gained	7060.8	12,777	18,645
Winrate %	N/A	83.33	68.06
Gain / Loss Ratio	N/A	4.48	3.42
Time in market	100%	57.28%	100%
Points gained / Time in market	7060.8	22,306	18,645

It's again clear that it's a strong edge that I think all CAC40 investors should consider utilizing. You are actually doubling the number of points gained when being short from May to October.

One thing worth of noting is that the edge of being long October to May is stronger than edge of being short May to October. This is obvious if you subtract the results of Strategy 1 from Strategy 2. The short edge is still strong though with a winrate of 53% and a gain / loss ratio of 2.2. It's especially strong in the last 3 years.

TIPS: If you want to improve the strategies further, it's even better to enter the trades at the end of April and exit the trades in the middle of October /Carl

Below you will find the full code of the strategies as well as detailed backtest reports

Strategy 1 Go long every October, sell in May

The ProRealTime™ code

DEFPARAM CumulateOrders=False
IF MONTH = 5 THEN
 SELL AT MARKET
ELSIF MONTH = 10 THEN
 BUY 1 share AT MARKET
ENDIF

Strategy 2 Short in May & Long in October

The ProRealTime™ code

DEFPARAM CumulateOrders=False
IF MONTH = 5 THEN
 SELLSHORT 1 share AT MARKET
ELSIF MONTH = 10 THEN
 BUY 1 share AT MARKET
ENDIF

Only short in May

The ProRealTime™ code

DEFPARAM CumulateOrders=False
IF MONTH = 5 THEN
 SELLSHORT 1 share AT MARKET
ELSIF MONTH = 10 THEN
 EXITSHORT AT MARKET
ENDIF