Sell in May and go away is an investment strategy for stocks based on the theory that the period from November to April 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 trading 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:
1/1/2024 - 12/31/2024
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