Simon it is a fact that the historic monthly returns for June are the worst for any month of the year with DEC and JAN the historic best months...May has an average reyrn..may is no the problem its june that sucks.
an then of course, it depends which years you use to prove the theory .. expectably the years used make a huge difference .. (and oddly most who use the sell in May and buy in October idea discard October 1987 as an outlyer ?? huh ??) ..
look... I found a much closer relationship to the futures close out than may...sell 4 weeks from close out and buy back day after in a bull and do reverse in a bear..only tested 3 years..so hardly conclusive but it did yield great results....see what that supper computer and your clever brain can get using that as a test