Sell in May? Why Calendar Trading Isn't Edge — And What Actually Is

By Glenn & Reid | Hawai’i Trading Academy

Every year, like clockwork, the trading internet loses its mind over five words: “sell in May and go away.”

Financial media runs the same recycled segments. Twitter threads pile up. And somewhere, a retail trader closes a perfectly good position because a 200-year-old British saying told them to.

Here’s the thing — we’ve looked at the data. And the data says this “rule” is mostly noise.

What Does “Sell in May” Actually Claim?

The idea is simple: stocks underperform between May and October compared to November through April. So you should sell your positions in May, sit in cash for six months, and buy back in November.

Sounds clean. Sounds disciplined. It’s also leaving massive money on the table.

Here’s one stat that should end the debate: a hypothetical $1,000 invested in the S&P 500 in 1976 and held continuously would have grown to roughly $294,795 by end of 2025. That same $1,000 following the sell-in-May strategy? About $46,351. You’d have missed over $248,000 in gains chasing a calendar pattern.

The Recent Data Is Even Worse for This “Rule”

Nine of the last ten years, stocks gained during the May-to-October window. The S&P 500 has averaged about a 2.1% return during this supposedly bearish stretch — and in recent years, closer to 4.4%.

For NQ traders specifically, there’s actually a bullish seasonal window from late May through late July that’s been profitable 15 out of 15 years in backtesting data. So not only is “sell in May” wrong — May has historically been one of the better months to be long Nasdaq futures.

Does that mean you should blindly go long in May? Absolutely not. That would be the same mistake in reverse.

Why Calendar-Based Decisions Aren’t Edge

This is the real lesson, and it’s one we hammer at Hawai’i Trading Academy: calendar patterns aren’t edge. Edge comes from positive expectancy — a defined setup, backtested over hundreds of trades, with a measurable statistical advantage.

“Sell in May” fails the most basic test we teach in our REPs framework: where’s the repeatable edge? There’s no entry trigger. No stop loss. No position sizing. No regime filter. It’s a vibes-based strategy dressed up as wisdom.

Compare that to how we approach setups at HTA. Our MID-range strategy, for example, has a 65% win rate across 2,052 trades. It doesn’t care what month it is. It cares about price structure, volume confirmation, and whether the setup meets defined rules logged in TradeZella.

What Should You Do Instead?

If you’re trading NQ or MNQ futures, here’s what actually matters this month — or any month:

Trade your regime, not the calendar. Is the market trending or chopping? What’s the ATR telling you? What does overnight inventory look like? These are the questions that produce edge. The date on your phone doesn’t.

Respect your process. If you have a documented trading plan, follow it regardless of what seasonal patterns suggest. Your journal and your backtest data are more reliable than any adage.

Watch for macro events, not macro superstitions. FOMC and CPI releases in mid-May will move NQ more in a single session than any seasonal pattern moves it in six months. Prepare for those. Listen to the Edge Up Podcast — we break down how to trade around macro events without guessing.

The Real Edge Is Boring

We get it. “Sell in May” is a clean narrative. It feels smart to repeat. But the traders who consistently extract money from the market aren’t following fortune-cookie rules. They’re doing the boring work: studying, journaling, backtesting, managing risk, and refining their psychology.

That’s the HTA approach. Risk first. Edge second. Psychology always. No shortcuts, no seasonal superstition.

If a calendar cliché is driving your trading decisions, it might be time to build a real framework. Explore our training programs and learn how we teach traders to find edge that doesn’t expire in October.

Mahalo for reading and trade well!
— Glenn & Reid | Hawai’i Trading Academy