| Strategy |
Sell in May and Go Away Backtest |
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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. |
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| Type of Positions |
Long |
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| Criteria for Opening a Position: |
ticker(spy) and month(oct)
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| Order Execution Model: |
Close Prices
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| Criteria for Closing a Position: |
month(may)
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| Order Execution Model: |
Close Prices
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| Initial Capital: |
$10,000 |
| Capital at Risk: |
100%
per trade
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| Portfolio Max Size: |
1 positions |
| Comm. per Trade: |
0.05%
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| Avg Bid-Ask Spread: |
0.1% |
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| Period: |
1/1/2026 - 12/31/2026 |
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| Total Profit: |
$-127 |
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Total Trades: |
1 |
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| Capital Growth: | -1.27% |
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Profit Trades, % of Total: | 0% |
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| Profit Factor: [?] |
0.00 | |
Avg Trade Duration, days: | 21 |
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| Payoff Ratio: [?] |
0.00 |
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Avg Profit per Trade: | -1.28% |
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| Max Drawdown: | 3% |
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Avg Profit per Day: | -0.061% |
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| Max Drawdown, $: |
256 |
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Avg Market Impact: [?] |
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| Restoration Factor: [?] |
-0.50 |
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Overall Viability Score: [?] |
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| Avg Annual Return: |
-1.27% |
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CAGR: [?] | 0% |
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| Year |
S&P 500 |
Equity |
Jan | Feb |
Mar | Apr | May |
Jun | Jul | Aug |
Sep | Oct | Nov |
Dec |
| 2026 |
10.73 |
-1.27 |
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-1.27
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| Symbol |
Entry Date |
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Exit Date |
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Shares |
Profit, $ |
Exit On |
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MI
[?] |
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10/01/2026 |
763.99 |
10/30/2026 |
755.72 |
13 |
-127.21 |
Period End |
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Backtesting Results Disclaimer
Past hypothetical backtest results are neither an indicator nor a guarantee of future returns. Actual results may vary from the analysis. Hypothetical performance results have many inherent limitations and cannot fully account for market factors such as bid-ask spread, slippage, and commission costs. There are numerous other factors related to the markets, which cannot be fully accounted for in the backtesting algorithm, but all of which can adversely affect actual trading results.
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