Home / Ideas / Halloween / Sell-in-May Seasonal Switch
Halloween / Sell-in-May Seasonal Switch
rotate equities into defensives for the weak May-October half-year
Across ~37 markets, November-April returns average ~0.56%/month higher than the often-negative May-October half; the effect survives three centuries of data (Jacobsen & Bouman) and improves Sharpe mainly by dodging summer drawdowns rather than by raw return. A defensive-rotation variant (bonds/staples in summer) reduces the opportunity cost of the 2020-style missed summer rally.
Universe
SPY (or QQQ) for the strong half-year; IEF/TLT (Treasuries) or XLP/XLU (defensives) for the weak half-year — all free daily yfinance OHLCV.
How it works
Hold equity index ETF Nov 1 - Apr 30, switch to a defensive Treasury/staples sleeve May 1 - Oct 31; single annual switch pair, no leverage, calendar-triggered.
Expected performance
Research-derived Sharpe estimate: 0.4-0.7. realism-discounted from reported buy-and-hold-beating, lower-vol switch results; edge is drawdown avoidance, watch fund-flow-adjusted insignificance).
Backtest this idea with SignalChain
This is a research lead — not a finished backtest. SignalChain takes an idea like this and runs the whole pipeline inside Claude Code: it researches the concept against academic and practitioner sources, sets benchmarks, writes and lints a VectorBT backtest, runs it, and grades the result PASS/FAIL. One command:
/signalchain Hold SPY November-April and rotate to Treasuries (IEF) May-October, single annual calendar switch, no leverage.
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Research & sources
- papers.ssrn.com — papers.ssrn.com
- sciencedirect.com — sciencedirect.com
- verdence.com — verdence.com
More Seasonality & calendar effects ideas
Not financial advice. This page describes a research idea, not a recommendation. Any performance figures are hypothetical, research-derived estimates and are not indicative of future results. SignalChain is a research and educational tool; you are solely responsible for any decisions you make.