Sell in May and go away

While this is an over-simplification, the same approach can be used for different periods that match with analysis need e.g. holiday return

Data downloaded from Yahoo! Finance

This was computed using Ox code:

main()
{

	ranseed(967537412);

	decl m,i,j,averageReturn,file;

	m = new matrix[OBSERVATIONS][2];
	m = loadmat(FILENAME);
	averageReturn = new matrix[12][2];

	for (i = 0 ; i < 12 ; )	averageReturn[i][0] = i++;

	for (i = 0 ; i < OBSERVATIONS ; i++)
	{
		for (j = 0 ; j < 12 ; j++)
		{
			if (m[i][0] == j+1)	averageReturn[j][1] += m[i][1];
		}
	}

	for (i = 0 ; i < 12 ; i++)	averageReturn[i][1] /= 252/12;

	file = fopen("monthOutput.csv","w");
	for (i = 0 ; i < 12 ; i++)
	{
		fprint(file, averageReturn[i][0]+1, ",");
		fprint(file, averageReturn[i][1], "\n");
	}
	fclose(file);
}

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