We all saw Jess's post from last month. She showed that the "Sell in May and go away" strategy is often a profitable one - 82% returns versus 35% for the S&P 500.
Then, did you sell on May 1? If you did, you missed out on 2-3% of this nice rally. It got me thinking - is May 1st the right day? Or is it May 15th? Or later?
I modified Jess's algo so that it rebalances on May 15, not May 1. The result is even better! Over the last few years, you squeeze out a few more percentage points, up to 84% return.
So now I have a new question for everyone: What is the optimal way to run this strategy? Please clone my algo. The key controls are in line 26. Choose any month, any day - what'st the right time to get out of this seasonal rally? You can test anything you want.
Once you've think you know the answer, share it here, and start a live, papertrade of your algorithm. Track how it does going forward, and see how close you get to the peak.