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

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

“Sell in May and go away” does not beat buy-and-hold on CSGP: -2.4 points a year over 28 years.

Total return
×19
Buy and hold
×35
CAGR
11.0%
Sharpe
0.48
Max drawdown
-77.9%
Trades
56
Out of sample
—
Years
28
1×10×100×19992001200320052007200920112013201520172019202120232025
StrategyCSGP

Findings

  1. “Sell in May and go away” does not beat buy-and-hold on CSGP: -2.4 points a year over 28 years.
  2. Against the S&P 500 over the same window: +2.2 points a year.
  3. Total return ×19 versus ×35 for buy-and-hold, with 56 trades.
  4. Maximum drawdown -77.9%.
  5. It beat before 2012 and stopped afterwards.
  6. It ranks #44 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 CSGP 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 CSGP → · Full page for “Sell in May and go away” →

How to cite

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

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