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

Does “Sell in May and go away” work on USD/MXN?

“Sell in May and go away” does not beat buy-and-hold on USD/MXN: -2.6 points a year over 23 years.

Total return
-16.8%
Buy and hold
49.9%
CAGR
-0.8%
Sharpe
-0.05
Max drawdown
-32.5%
Trades
45
Out of sample
overfit
Years
23
1×1.5×2.1×200420062008201020122014201620182020202220242026
StrategyUSD/MXN

Findings

  1. “Sell in May and go away” does not beat buy-and-hold on USD/MXN: -2.6 points a year over 23 years.
  2. Against the S&P 500 over the same window: -11.8 points a year.
  3. Total return -16.8% versus +49.9% for buy-and-hold, with 45 trades.
  4. The result does not hold out of sample: it is overfit.
  5. Maximum drawdown -32.5%.
  6. It beats in neither half of the history (split at 2015).
  7. It ranks #221 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 USD/MXN 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 USD/MXN → · Full page for “Sell in May and go away” →

How to cite

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

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