Each May, it seems like a good time to exit and then come back during the fall. Is this time different? Should we sell now and get the hell out?
Like a lot of people, I'd heard that line ' Sell in May'. However, when should one buy the market in the first place? I ran some tests on monthly S&P data once to find out. Buy on the first of month x, Flatten on the first of month y over 20 years or so. Turns out the best combination was Buy October 1st and Sell July 1st. Chart below shows the backtest where the seasonal trade is in black and buy & hold in red.
This idea is tracked as a mechanical system on Wealth-Lab. See http://www.wealth-lab.com/cgi-bin/WealthLab.DLL/editsystem?id=17060 They name their system after Yale Hirsch, publisher of Stock Traders Almanac (link), who has been writing about "Sell in May and Go Away" for 25 years.