This strategy is a modification of the 'Sell in May and go away' strategy. The idea is to move to bonds from May to October, returning to stock market from November to April. In this backtest, we used only SPY (the SPDR S&P 500 ETF) and TLT (the iShares 20+ Year Treasury Bond ETF) but this strategy can also be applied to other instruments.
Criteria for Opening a Position:
(ticker(spy) and month(oct)) or (ticker(tlt) and month(may))
Criteria for Closing a Position:
(ticker(spy) and month(may)) or (ticker(tlt) and month(oct))
Capital at Risk:
Portfolio Max Size:
Comm. per Trade:
1/1/2019 - 12/31/2019
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