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

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

“Sell in May and go away” does not beat buy-and-hold on ICE: -5.6 points a year over 21 years.

Total return
770.4%
Buy and hold
×24
CAGR
11.0%
Sharpe
0.53
Max drawdown
-60.1%
Trades
41
Out of sample
overfit
Years
21
1×10×27×20062008201020122014201620182020202220242026
StrategyICE

Findings

  1. “Sell in May and go away” does not beat buy-and-hold on ICE: -5.6 points a year over 21 years.
  2. Against the S&P 500 over the same window: -0.2 points a year.
  3. Total return +770.4% versus ×24 for buy-and-hold, with 41 trades.
  4. The result does not hold out of sample: it is overfit.
  5. Maximum drawdown -60.1%.
  6. It beats in neither half of the history (split at 2016).
  7. It ranks #74 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 ICE 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 ICE → · Full page for “Sell in May and go away” →

How to cite

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

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