The phrase “Sell in May and go away” is one of the most famous seasonal trading adages. It suggests that traders should exit the market in May and return in November, avoiding the typically weaker summer months. While this strategy has some historical merit, the idea that it works every year is a myth.

Let’s explore where it came from, what the data actually shows, and why blindly following it can be risky.

Where the Saying Comes From

The full version—“Sell in May and go away, come back on St. Leger’s Day”—originated in London’s financial circles, reflecting the quiet summer trading period when institutional investors would holiday.

It’s based on the historical tendency of:

• Lower average returns from May to October
• Increased market volatility in late summer
• Stronger performance from November to April, driven by year-end positioning and Q1 optimism

What the Data Shows

In long-term backtests (e.g. S&P 500 data):

• November–April has historically outperformed May–October
• The May–October period still yields positive returns in many years—just smaller on average
• Some “Sell in May” years have missed significant bull market gains (e.g. 2009, 2013, 2020)

So while there’s a statistical bias, it’s not consistent or reliable enough to trade without context.

Why It Doesn’t Work Every Year

Blindly selling in May can backfire because:

• Global events (e.g. stimulus, war, inflation) may override seasonal trends
• Market structure changes year to year
• Some of the biggest rallies have occurred between May and October
• Modern algo and high-frequency trading reduces the strength of old seasonal patterns

Markets are driven by data and catalysts, not rhymes.

How to Use It Effectively (If at All)

Rather than following it literally:

• Treat it as a seasonal bias, not a rule
• Combine with macro analysis and technical confirmation
• Stay agile: use tight risk management and strategy-specific filters
• Focus on sector rotation, as defensives may outperform cyclicals during low summer volume

Use seasonality to inform, not dictate, your trading decisions.

Conclusion: “Sell in May” Doesn’t Work Every Year—But It Can Offer Clues

“Sell in May and go away” is based on a real pattern—but it’s not a dependable strategy by itself. Markets are too complex to obey a calendar alone. Awareness of seasonality is useful—but edge comes from discipline, structure, and adaptability.

To learn how to build a trading system that thrives in any month, explore our Trading Courses designed to help traders trade with clarity, strategy, and consistent edge—May through April.