Apr 18, 12:42 PM

Backtests Show 'Sell in May and Go Away' Strategy Underperforms Buy-and-Hold on $SPY Since 2017 Despite Historic 1993-2017 Gains

Recent analysis and backtesting of the "Sell in May and Go Away" investment strategy reveal mixed results over time. The strategy, which involves buying the S&P 500 ETF ($SPY) on September 1 and exiting on June 1, showed strong historical performance from 1993 to 2017, delivering a cumulative return of 518% compared to a 462% return for a buy-and-hold approach. However, since 2017, the strategy's effectiveness has diminished, yielding a 44% return versus 161% for buy-and-hold. Additional data shows that the $SPY weekly Relative Strength Index (RSI) recently hit 30 for the first time since 2022, a signal that, when used in a strategy of buying and holding for three months, has historically resulted in a 78% win rate and an average return of 7.25% per trade since 1993. A trading journal over the past seven days reported a cumulative return of 6.35%, a buy-and-hold return of 6.99%, a maximum drawdown of -0.44%, a Sharpe ratio of 19.51, 11 trades, and a win rate of 72.73%. These findings suggest that while the traditional "Sell in May and Go Away" adage held for decades, its recent performance has been less favorable, prompting consideration of alternative timing strategies in the current market environment.

#Relative Strength Index

Written with ChatGPT (GPT-4).

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Backtests Show 'Sell in May and Go Away' Strategy Underperforms Buy-and-Hold on $SPY Since 2017 Despite Historic 1993-2017 Gains

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