Sell in May, Go Away.

Udayan talked about this strategy on CNBC-TV18 : “sell in May, Go away”, and, come back in November. I took a a close look at the “Sell in May, Go Away” strategy that Wall Street usually advises this time of year.
The strategy is:
Sell in May. Come back in November to buy. To computerize this, the rules have to be defined. I have changed the rules to determine the results of buying in may and exiting in Ocotber, and, buying in November and exiting in April. The rules are:
Test data: NSE50 Index from July 1990 to April 2009.
Test 1.
Rules
Buy on the last trading day in April
Cover the long position on the last trading day in October.
Number of Years: 18
Results
Winning Years: 10 (91,93,94,95,97,99,2003,2005,2006,2007)
Losing years: 8
Net Gain: + 319 points
Test 2
Buy on the last trading day in October.
Cover the long position on the last trading day in April.
Test Results:
Number of Years: 19
Winning Years: 13
Losing years: 6 (90-91, 92-93, 94-95, 2000-2001, 2002-2003, 2007-2008)
Net Gain: +2750 points

While buying in both time spans make money, The Buy in Ocotber, sell in April seems to be a viable strategy.

The message is: the period May to October is likely to be choppy, difficult for the markets, based on historical data.