Sell in May and go away is an investment strategy for stocks based on a theory that the period from November to April inclusive has significantly stronger stock market growth on average than the other months. In this backtest, we used only SPY (the SPDR S&P 500 ETF) but this strategy can also be applied to other instruments.
Type of Positions
Long
Position Opening
Criteria for Opening a Position:
ticker(spy) and month(oct)
Order Execution Model:
Close Prices
Position Closing
Criteria for Closing a Position:
month(may)
Order Execution Model:
Close Prices
Backtest Parameters
Initial Capital:
$10,000
Capital at Risk:
100%
per trade
Portfolio Max Size:
1 positions
Comm. per Trade:
0.05%
Avg Bid-Ask Spread:
0.1%
Period:
1/1/2023 - 12/31/2023
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