Sell In May

Seasonal: stocks Nov-Apr, bonds May-Oct

Sell in May (Halloween Effect)

Total Return

+27.5%

Sharpe Ratio

0.38

Max Drawdown

-18.6%

Win Rate

53.1%

Alpha

-14.7%

Comp. Score *

0.20

Risk Parameters

Max Allocation6.6%

Stop Loss8.0%

Take Profit3.0%

Max DD Tolerance18.6%

Rebalanceweekly

Execution Guidance

Order TypeMarket

Entry RuleEnter on calendar date. Timing IS the strategy — don't wait for better price.

TimingALWAYS ACTIVE: Calendar-based. *

ScalingFull position on entry date. Exit on exit date. No scaling needed.

Positions — Vol-Adjusted Sizing

Symbol	Action	Vol	Stop Loss	Take Profit	Size	Links
SPY	BUY	17%	5.7% below entry	3.0% above entry	9.2%	TV YH
QQQ	BUY	22%	7.3% below entry	3.0% above entry	7.3%	TV YH

▶ For Passive Investors (Buy & Hold)

This strategy has moderate long-term potential but requires monitoring. - Take profit: Rebalance when any position exceeds 2x its target weight. Trim back to target, redeploy to underweight positions. - Stop loss: NO price-based stop loss. This strategy recovered from -28% drawdown to return 85% long-term. - Exit rule: Review annually. Exit if strategy underperforms its benchmark for 3 consecutive years.

Avg 5Y Return

38.9%

Avg 5Y Sharpe

0.25

10Y Return

84.9%

10Y Sharpe

0.23

HODL Composite

0.27

Consistency

71%

Suitable for passive