Sell in May and Go Away: The Plain-English Story of Wall Street's Oldest Seasonal Bet

How a saying from 1830s London became the most statistically boring trade on Wall Street, and why futures traders should still pay attention to the summer regime shift.

On any summer Friday afternoon in 1830s London, the wealthiest men on the London Stock Exchange were already gone.

They had left the city for their country estates. The gentleman's clubs on Pall Mall emptied out. The weekly settlement on the Stock Exchange slowed to a crawl. Trading volume dropped by half. And the traders who remained in the city coined a saying that would outlive every empire the British ever built:

"Sell in May and go away, come back on St. Leger's Day."

St. Leger's Day is the second Saturday of September. It marks the St. Leger Stakes, a horse race at Doncaster Racecourse in northern England that has been running since 1776. For London's moneyed class, the race was the unofficial end of summer and the signal to return to the city. Business would resume. Markets would pick up. Life would continue.

That saying is nearly 200 years old. It has outlived the gold standard, two world wars, the end of floor trading, and the entire career of every trader who first said it. And somehow, in every decade since 1950, it has produced a statistical anomaly in the S&P 500 so large and so consistent that academic finance still does not have a clean explanation for it.

Let's talk about that.

The Number That Keeps It Alive

From 1950 through 2024, a simple rule on the Dow Jones Industrial Average produced one of the most lopsided outcomes in modern market history.

Take $10,000. Invest it in the Dow only during November 1 through April 30 every year. Sit in cash for the other six months. Compound it year after year.

That $10,000 would have grown to roughly $1 million.

Now take the same $10,000 and do the opposite. Invest only during May 1 through October 31. Sit in cash the other six months. Same 74 years. Same compounding.

That $10,000 would have barely outpaced a decent savings account. Most studies put the final number between $10,000 and $40,000, depending on the exact window and how you handle dividends.

Those are not typos. One half of the year has produced nearly all of the long-term returns on American equities. The other half has produced close to nothing.

This pattern has a proper academic name. In 2002, two researchers named Sven Bouman and Ben Jacobsen published a paper in the American Economic Review titled "The Halloween Indicator, 'Sell in May and Go Away': Another Puzzle." They ran the numbers on 37 major stock markets around the world. In 36 out of 37, returns during November through April beat returns during May through October. In most cases by a lot. They concluded, in formal academic language, that there was no known rational explanation.

Translation: nobody fully knows why it works, but it works.

Four Theories That Probably All Matter

There are four serious explanations for why summer markets go flat. Pick whichever one lets you sleep at night.

Liquidity drains in the summer. Wall Street professionals take their vacations in June, July, and August. The Hamptons fills up. The partners at the big funds are in Nantucket. Desk coverage thins out. Market makers widen spreads. Big money waits for September to redeploy. It shows up in the data: average daily volume on the S&P 500 typically runs 15 to 20 percent lower in June through August than in March or October.

Earnings cluster in the winter. More than 60 percent of S&P 500 companies report Q4 earnings in late January and February. Another dense cluster comes in April. The biggest forward-guidance updates hit during those windows. Between May and October, the market is mostly waiting for the next set of numbers.

Retail gets distracted. Summer is vacation season. Kids out of school, family trips, long weekends. Retail participation in futures and options drops sharply from June through August. Less retail chasing means less fuel for momentum moves.

Tax-year flow front-loads the winter. Year-end tax-loss harvesting, January IRA contributions, and fiscal-year-start fund allocations all push money into equities from November through April. That flow evaporates in summer.

None of these alone explain the lopsided numbers. All of them stacked together probably do. Markets are not logical. They are human. And humans, even the billionaire ones, still go on vacation.

The Years It Breaks

Like any seasonal pattern, this one has been lit on fire plenty of times.

In 2009, after the March bottom of the financial crisis, the May through October window returned roughly 19 percent. If you sold in May that year, you missed one of the most important bull market starts in history.

In 2020, during the pandemic, May through October returned about 12 percent. The Fed was printing money at a pace that broke every seasonal rule on the books.

In 2023 and 2024, the summer windows delivered positive numbers too, driven largely by the AI narrative and a handful of mega-cap tech names that refused to follow the script.

Zoom out and the pattern still holds. Over the last seven decades, November through April averages around 7 percent gain. May through October averages closer to 1.5 percent. You are not guaranteed a losing summer. You are just statistically likely to get a boring one.

And if you actually tried to trade it literally, flat the market every May 1 and buy back every October 31, transaction costs and tax drag would eat half the edge for a retail trader. The saying works better as a framework than as a checklist.

What This Actually Means for a Futures Trader

Here is where it gets useful. Forget buy-and-hold for a second. You are not a mutual fund. You trade NQ, ES, maybe some CL or GC.

For a futures trader, summer is not a directional trade. It is a regime shift. Not in direction. In texture.

Ranges get tighter. The average daily range on S&P 500 futures typically compresses 20 to 30 percent during June through August compared to peak winter months. If your edge is breakout trading, most of the breakouts you see in summer will fail. If your edge is mean reversion, you will eat better.

Trends reverse faster. The big multi-day directional moves that dominate March, October, and November are rare in June and July. Price tends to chop, grind, and reverse inside ranges that felt impossible to break the day before.

The kill zones shift in character. The London and New York opens still matter, but the midday chop gets deeper. Afternoon trend days are rarer. The 1 to 3 PM window becomes a lot of waiting.

News events become outsized. When the baseline volume is low, a single catalyst (FOMC, NFP, a Fed speaker, CPI) can produce a disproportionate move. Summer is a sniper game. You prepare for specific windows instead of expecting every session to deliver.

The lesson is not "sell everything in May and fly to Greece." The lesson is "change how you trade." Lower position size in deep summer. Favor mean reversion over breakouts. Respect the chop. Wait for the catalyst days and hit them harder.

If you trade futures the same way in July that you trade in October, you will bleed slowly for three months and not understand why.

Why the Saying Refuses to Die

The real reason "Sell in May" has survived 200 years is not some mathematical law of the universe. It is because the people who move markets are not robots.

They have kids. They have summer houses. They have weddings in June, graduations in May, Fourth of July cookouts, family trips in August. The 25-year-old quant on a hedge fund desk in New York is still going to a three-day bachelor party in Miami in July. The partner at the private equity firm is still taking his family to Europe for two weeks in August. The market maker running half the book at a large HFT shop is still logging off at 3 PM on the Friday before Labor Day.

When the people providing liquidity are not at their desks, liquidity is not at its desk. When liquidity thins, price behavior shifts. When price behavior shifts, the traders paying attention to that shift make money, and the traders trading the same way they did in March blow accounts.

This is not a secret. This is the market telling you, every single year, exactly what kind of trader you need to be for the next six months. Listen or don't. The numbers do not care either way.

A Practical Playbook for This May

Here is what actually matters if you trade futures and you are going to be at your desk from May through October.

1. Pull up a 20-year seasonality chart on whatever you trade. For NQ and ES, that will confirm the May-October flattening with your own eyes. Seeing it in your own data changes how you size and how long you hold.

2. Track your own P&L by month. Most traders lose money in June, July, and August and gain it back in October and November. If that describes you, it is the pattern, not you. The fix is sizing and setup selection, not willpower.

3. Shift your playbook, not your exposure. You do not have to stop trading. You have to trade the current market. Lower size, favor fades inside ranges, wait for the catalyst days.

4. Flag your catalyst sessions in advance. The next FOMC. The next NFP. The next CPI. Those are your high-conviction windows during summer. Between them, you are patient. Between them, you are not paid to force trades.

5. Actually take a vacation. Seriously. The people moving this market take theirs. The edge for retail futures traders in August is thin enough that stepping back for a week does not cost you what it would cost you in October. Rest is a position size adjustment.

The Last Thing

Every working trader you respect has read the Stock Trader's Almanac at least once. Not because it is a trading system. Because it is a reminder that markets have seasons. Not every six-month window is the same. Not every setup that works in February works in July. The traders who get crushed are the ones who refuse to adapt to the regime in front of them.

"Sell in May and go away" is not a command. It is a permission slip. Permission to stop white-knuckling every position through the slow months. Permission to lower size. Permission to wait for the real moves instead of forcing bad ones.

The men who first said it in London 200 years ago did not have Bloomberg terminals. They did not have order flow tools or seasonal regression charts or a TradingView subscription. They had eyes, and they watched. They watched the city empty out every summer and fill back up every September. They noticed the markets did the same thing.

You are watching a different version of the same movie. Act accordingly.