Following on yesterday’s post, I decided to extend our analysis back another 30 years to provide more context to the old adage of “Sell in May and go away”. Again, I’m using historical price data for the S&P 500 index (SPX), but this time with data covering the 30 years from 1964 to 1993.
The old adage says to “Sell in May and go away”. That’s simple enough, but it’s less clear when it’s the appropriate time to buy back in. Some traders suggest going long again after Labor Day, which is the first Monday in September. Others completely avoid historically treacherous October and stay away until the beginning of November, a full 6 months!
r · statistics
The half-normal distribution is a special case of the folded normal distribution, where if X is a standard normal distribution, the absolute value of X is the half-normal distribution.