FINAXIONResearch
Finaxion Research · “Sell in May and go away” · single stocks · Recomputed 2026-09-10

Does “Sell in May and go away” work on CME?

“Sell in May and go away” does not beat buy-and-hold on CME: -11.1 points a year over 24 years.

Total return
599.0%
Buy and hold
×70
CAGR
8.5%
Sharpe
0.46
Max drawdown
-66.7%
Trades
47
Out of sample
overfit
Years
24
1×10×76×200320052007200920112013201520172019202120232025
StrategyCME

Findings

  1. “Sell in May and go away” does not beat buy-and-hold on CME: -11.1 points a year over 24 years.
  2. Against the S&P 500 over the same window: -2.8 points a year.
  3. Total return +599.0% versus ×70 for buy-and-hold, with 47 trades.
  4. The result does not hold out of sample: it is overfit.
  5. Maximum drawdown -66.7%.
  6. It beats in neither half of the history (split at 2014).
  7. It ranks #120 of 232 markets for this strategy by annual excess over the S&P 500.

Findings derived from the full panel. Each carries its number and its denominator; the computations are reproducible with artifact 0b534dd04389.

Exactly what was tested

Long from the first trading day of November to the last of April; cash from May to October. Calendar rules: simulated with our seasonal engine, same costs as everything else.

How to read it

The verdict compares the strategy with buying and holding CME over the same window, with round-trip costs per asset class. “Out of sample” is walk-forward: the rule is fit on one stretch and judged on the next. A result that beats in the full sample but not out of it is overfit. Full methodology in the protocol. How we test.

Open this backtest with its trades   Trades (CSV)

Every strategy on CME → · Full page for “Sell in May and go away” →

How to cite

Finaxion Research (2026). Does “Sell in May and go away” work on CME?. Daily backtest 1962-01-01–2026-08-31, artifact 0b534dd04389. https://finaxion.app/en/research/sell-in-may/cme

Not a recommendation. Past performance does not guarantee future results.