Sell in August, and go away

Most traders have heard the saying "Sell in May and go away". I decided to investigate if that edge still exists in the market, if there is any other month that's better to go away and specifically investigate how that strategy has worked on the SP500 index. Here are my results.

I found that May isn't the best month. As you prorably have understood from the header, the best month to go away is actually August. And then go long again in October. It's actually 39.6% better.

The image below shows the equity curve of two different strategies.

It's worth noting that May isn't even the second best month. Below is an image of the top 5 best months to go away. August, September, July and June are all better than May.

WhichMonth value 1 means January, 2 means February, and so on.

The ProRealTime™ code

DEFPARAM CumulateOrders=False
IF MONTH = WhichMonth THEN
	SELL AT MARKET
ELSIF MONTH = 10 THEN
	BUY 1 share AT MARKET
ENDIF

Run a backtest where you optimize the variable 'WhichMonth' from value 1 to 12 with step interval 1.