Sell in May?

This time of year, it’s impossible to escape the “Sell in May” mantra.  To try to determine if there’s any validity to it, I ran a quick test on the S&P 500 going back to 1962.  For the first test, I bought the first trading day of November and sold the first trading day in May, thus following the idea of “Sell in May”.  Here are the extremely impressive results:

For the second test, I did just the opposite, bought the first trading day in May and sold the first trading day in November.  The results are less than impressive.

Obviously, there has been a historical bias for the market to outperform in the winter months (Nov-April).  So what does this mean?  As a I trader should I not trade during these sub-par months?  M y personal opinion is just the opposite.  It is these “slow” months that offer the active trader the greatest opportunity to outperform the indices.  It’s far easier to outperform a relatively flat market than one that goes straight up.  Also, I’d be inclined to focus more on strategies that perform well in choppier markets since the results of this test show that the majority of strong upward trending has occurred in the November->April timeframe.  What do you think?  Do you adjust your trading strategies for seasonality?  If so, how?

- John