← ALL STRATEGIES · halloween_effect

Halloween / Sell in May

RESEARCH STRATEGY
RUNNING

Seasonal equity exposure from November through April, cash from May through October.

DEFAULT MARKETSPY
BAR INTERVAL1d
GROSS EXPOSURE1.0x
PAPER CASH$100,000.00
REALIZED P&L$+0.00
PROMOTION AUDIT

No AI qualification submitted

This strategy keeps its course or research provenance. A normal backtest snapshot cannot award the AI-generated label.

NOT TESTEDLocked evidenceRequires 100+ trades over 180+ untouched calendar days.
NOT TESTEDCost survivalMust beat exposure-matched Buy & Hold at 4 and 8 bps.
NOT TESTEDIntraday flatnessEvery position must close within its trading session.
NOT TESTEDImmutable provenanceExact algorithm, dataset, and trade-ledger SHA-256 fingerprints are mandatory.

How the strategy works

The Halloween indicator holds equities during the historically stronger November–April half-year and avoids equity exposure during May–October.

Concrete example

The system buys on the first November session, holds through winter and exits on the final April session, then stays in cash until November.

Published research

Bouman & Jacobsen — The Halloween Indicator

Published evidence motivates this candidate; it does not guarantee this implementation will pass our current sample.

Exact algorithm

Required data: ohlcv

Where it may work—and where it can fail

EXPECTED BEST CONDITIONS

Markets where the documented winter-versus-summer return difference persists.

IMPORTANT CONTEXT

Ten years provides fewer than ten independent winter holding periods.

Main risks

“Best conditions” is an interpretation of the strategy's mechanism, not an additional course entry rule and not a performance guarantee.

Forward paper transactions

LEDGER START2026-08-16T22:55:47.253018+00:00
PAPER VERSIONv2 · 596109bfc742
STATUSrunning
STATUS DETAILNo issue
EntrySideEntry priceExitExit priceCapital basisGross notionalOutcomeP&L
No forward-paper transactions yet. The ledger began at deployment and never imports historical P&L.

Capital basis is allocated paper equity. Gross notional uses the exposure stored with that exact fill; legacy fills with no recorded exposure are shown as unknown. A new semantic paper generation archives the prior run and restarts the forward clock.

Archived paper versions

Read-only prior runs preserve their executable manifest, balances, and fills. They never contribute to the active clock, cash, or qualification.

VersionMarketExposureAllocationCostCode hashStartedArchivedFillsStarting cashEnding cashRealized P&LFinal status
legacy-v1unknown · unknownunknownunknownunknownlegacy2026-08-16T16:54:09.212635+00:002026-08-16T22:55:47.253018+00:000$100,000.00$100,000.00$+0.00running
TRADES10
AVERAGE TRADE+615.55 bps
STRATEGY 1.0x / BUY & HOLD 1x+72.99% / +315.11%
VS 1x REFERENCE-242.12% · LAGS
DRAWDOWN: STRATEGY / B&H+10.53% / +33.72%
HITS / MISSES7 / 3
HIT RATE+70.00%
AVG HIT / MISS+11.41% / -6.10%
LONGEST MISS STREAK1

Rolling 70/30 diagnostic

This moving 70/30 split is a dashboard diagnostic, not frozen qualification evidence. It cannot award AI-qualified status.

FINAL 30% TRADES3
STRATEGY / B&H 1x+21.68% / +88.12%
FINAL 30% VS B&H-66.43%
FINAL 30% HIT RATE+66.67%
FINAL 30% DRAWDOWN+2.98%
INDEPENDENT EVIDENCE?No

Candles and execution signals

▲ BUY▼ SELLHover a candle or marker for exact values
779.37753.67727.98702.28676.582026-04-10T00:00:00+00:00 O 681.32 H 682.03 L 678.45 C 679.462026-04-13T00:00:00+00:00 O 677.41 H 686.30 L 676.58 C 686.102026-04-14T00:00:00+00:00 O 687.69 H 694.58 L 687.66 C 694.462026-04-15T00:00:00+00:00 O 695.26 H 700.28 L 694.20 C 699.942026-04-16T00:00:00+00:00 O 701.06 H 702.78 L 698.53 C 701.662026-04-17T00:00:00+00:00 O 706.14 H 712.39 L 705.76 C 710.142026-04-20T00:00:00+00:00 O 708.78 H 709.91 L 706.14 C 708.722026-04-21T00:00:00+00:00 O 710.28 H 711.28 L 702.64 C 704.082026-04-22T00:00:00+00:00 O 709.15 H 711.45 L 708.22 C 711.212026-04-23T00:00:00+00:00 O 709.50 H 712.36 L 702.28 C 708.452026-04-24T00:00:00+00:00 O 710.75 H 714.47 L 709.01 C 713.942026-04-27T00:00:00+00:00 O 713.17 H 715.63 L 712.30 C 715.172026-04-28T00:00:00+00:00 O 711.82 H 712.88 L 709.25 C 711.692026-04-29T00:00:00+00:00 O 711.00 H 712.20 L 708.37 C 711.582026-04-30T00:00:00+00:00 O 714.63 H 719.79 L 710.45 C 718.662026-05-01T00:00:00+00:00 O 721.25 H 724.87 L 720.47 C 720.652026-05-04T00:00:00+00:00 O 720.07 H 722.12 L 714.99 C 718.012026-05-05T00:00:00+00:00 O 721.77 H 725.04 L 721.49 C 723.772026-05-06T00:00:00+00:00 O 728.16 H 734.59 L 727.82 C 733.832026-05-07T00:00:00+00:00 O 735.05 H 736.13 L 729.75 C 731.582026-05-08T00:00:00+00:00 O 734.93 H 738.08 L 734.57 C 737.622026-05-11T00:00:00+00:00 O 736.45 H 740.79 L 736.45 C 739.302026-05-12T00:00:00+00:00 O 736.89 H 738.84 L 731.83 C 738.182026-05-13T00:00:00+00:00 O 738.47 H 743.91 L 735.47 C 742.312026-05-14T00:00:00+00:00 O 743.65 H 749.53 L 743.56 C 748.172026-05-15T00:00:00+00:00 O 741.79 H 743.46 L 737.96 C 739.172026-05-18T00:00:00+00:00 O 739.83 H 741.42 L 733.39 C 738.652026-05-19T00:00:00+00:00 O 734.78 H 737.65 L 731.53 C 733.732026-05-20T00:00:00+00:00 O 735.71 H 741.87 L 733.89 C 741.252026-05-21T00:00:00+00:00 O 738.64 H 744.87 L 737.03 C 742.722026-05-22T00:00:00+00:00 O 746.24 H 748.94 L 744.48 C 745.642026-05-26T00:00:00+00:00 O 750.01 H 752.13 L 748.37 C 750.592026-05-27T00:00:00+00:00 O 750.88 H 751.38 L 748.22 C 750.462026-05-28T00:00:00+00:00 O 750.25 H 755.15 L 749.23 C 754.602026-05-29T00:00:00+00:00 O 755.90 H 758.08 L 754.69 C 756.482026-06-01T00:00:00+00:00 O 755.36 H 760.28 L 754.69 C 758.542026-06-02T00:00:00+00:00 O 757.03 H 760.40 L 756.75 C 759.572026-06-03T00:00:00+00:00 O 758.15 H 758.80 L 753.57 C 754.242026-06-04T00:00:00+00:00 O 752.10 H 758.31 L 751.47 C 757.092026-06-05T00:00:00+00:00 O 752.31 H 752.82 L 735.53 C 737.552026-06-08T00:00:00+00:00 O 743.36 H 745.34 L 738.19 C 739.222026-06-09T00:00:00+00:00 O 743.63 H 746.90 L 722.59 C 737.052026-06-10T00:00:00+00:00 O 733.39 H 738.38 L 725.33 C 725.432026-06-11T00:00:00+00:00 O 728.76 H 740.00 L 724.41 C 737.762026-06-12T00:00:00+00:00 O 740.71 H 744.44 L 735.03 C 741.752026-06-15T00:00:00+00:00 O 751.85 H 756.68 L 751.76 C 754.832026-06-16T00:00:00+00:00 O 754.55 H 755.44 L 749.88 C 750.332026-06-17T00:00:00+00:00 O 751.29 H 752.15 L 739.22 C 740.962026-06-18T00:00:00+00:00 O 747.76 H 748.23 L 743.86 C 746.742026-06-22T00:00:00+00:00 O 747.70 H 750.18 L 743.13 C 744.392026-06-23T00:00:00+00:00 O 733.81 H 739.63 L 732.30 C 733.582026-06-24T00:00:00+00:00 O 735.17 H 739.95 L 730.84 C 733.242026-06-25T00:00:00+00:00 O 738.91 H 739.37 L 729.60 C 734.302026-06-26T00:00:00+00:00 O 728.95 H 736.53 L 716.58 C 728.992026-06-29T00:00:00+00:00 O 736.53 H 741.56 L 732.09 C 741.002026-06-30T00:00:00+00:00 O 741.29 H 748.02 L 740.89 C 746.772026-07-01T00:00:00+00:00 O 745.00 H 749.44 L 742.38 C 745.762026-07-02T00:00:00+00:00 O 747.40 H 751.31 L 740.03 C 744.782026-07-06T00:00:00+00:00 O 748.74 H 752.41 L 747.41 C 751.282026-07-07T00:00:00+00:00 O 750.22 H 750.96 L 745.21 C 747.712026-07-08T00:00:00+00:00 O 743.16 H 746.15 L 739.51 C 745.402026-07-09T00:00:00+00:00 O 747.35 H 751.97 L 745.59 C 751.712026-07-10T00:00:00+00:00 O 752.05 H 755.42 L 748.10 C 754.952026-07-13T00:00:00+00:00 O 752.47 H 753.91 L 748.00 C 749.172026-07-14T00:00:00+00:00 O 750.91 H 753.34 L 748.66 C 751.832026-07-15T00:00:00+00:00 O 754.24 H 755.58 L 750.20 C 754.812026-07-16T00:00:00+00:00 O 752.76 H 754.57 L 747.88 C 750.722026-07-17T00:00:00+00:00 O 742.08 H 747.29 L 740.80 C 743.292026-07-20T00:00:00+00:00 O 747.06 H 748.73 L 741.51 C 742.092026-07-21T00:00:00+00:00 O 746.29 H 749.04 L 744.18 C 748.282026-07-22T00:00:00+00:00 O 746.62 H 750.02 L 746.37 C 747.412026-07-23T00:00:00+00:00 O 739.37 H 742.56 L 735.21 C 738.182026-07-24T00:00:00+00:00 O 738.51 H 743.72 L 737.29 C 738.932026-07-27T00:00:00+00:00 O 744.91 H 745.53 L 735.87 C 739.092026-07-28T00:00:00+00:00 O 739.19 H 742.79 L 735.98 C 740.862026-07-29T00:00:00+00:00 O 739.97 H 742.68 L 729.10 C 729.462026-07-30T00:00:00+00:00 O 736.05 H 742.45 L 734.59 C 741.692026-07-31T00:00:00+00:00 O 744.68 H 748.90 L 737.68 C 747.032026-08-03T00:00:00+00:00 O 749.44 H 758.58 L 748.80 C 757.672026-08-04T00:00:00+00:00 O 760.63 H 773.41 L 760.52 C 771.332026-08-05T00:00:00+00:00 O 775.85 H 776.85 L 769.51 C 769.792026-08-06T00:00:00+00:00 O 770.21 H 771.82 L 767.46 C 768.562026-08-07T00:00:00+00:00 O 771.02 H 773.92 L 769.61 C 773.262026-08-10T00:00:00+00:00 O 772.60 H 775.05 L 771.62 C 773.032026-08-11T00:00:00+00:00 O 774.53 H 774.61 L 769.20 C 770.562026-08-12T00:00:00+00:00 O 774.71 H 774.90 L 771.28 C 772.492026-08-13T00:00:00+00:00 O 774.87 H 779.37 L 774.11 C 777.882026-08-14T00:00:00+00:00 O 778.54 H 778.80 L 775.43 C 776.342026-08-17T00:00:00+00:00 O 776.18 H 776.78 L 772.51 C 772.672026-08-18T00:00:00+00:00 O 768.70 H 769.50 L 766.92 C 767.452026-08-19T00:00:00+00:00 O 770.36 H 772.47 L 768.10 C 769.062026-08-20T00:00:00+00:00 O 765.96 H 768.15 L 762.04 C 762.602026-08-21T00:00:00+00:00 O 766.05 H 767.85 L 764.17 C 765.722026-08-24T00:00:00+00:00 O 764.78 H 765.22 L 762.08 C 763.472026-08-25T00:00:00+00:00 O 766.16 H 766.78 L 763.05 C 765.912026-08-26T00:00:00+00:00 O 764.73 H 767.35 L 763.93 C 766.082026-08-27T00:00:00+00:00 O 768.50 H 772.36 L 767.16 C 771.102026-08-28T00:00:00+00:00 O 771.76 H 775.30 L 768.31 C 769.352026-08-31T00:00:00+00:00 O 767.33 H 768.00 L 764.72 C 767.052026-09-01T00:00:00+00:00 O 762.01 H 764.67 L 759.48 C 761.782026-09-02T00:00:00+00:00 O 762.45 H 766.43 L 761.73 C 765.162026-09-03T00:00:00+00:00 O 767.90 H 774.03 L 767.45 C 773.172026-09-04T00:00:00+00:00 O 772.01 H 772.87 L 769.00 C 770.192026-09-08T00:00:00+00:00 O 769.07 H 769.70 L 765.14 C 765.962026-09-09T00:00:00+00:00 O 764.08 H 764.47 L 760.94 C 762.402026-09-10T00:00:00+00:00 O 758.03 H 760.11 L 756.64 C 757.832026-09-11T00:00:00+00:00 O 764.72 H 766.38 L 763.60 C 764.292026-09-14T00:00:00+00:00 O 759.00 H 763.52 L 757.93 C 760.882026-09-15T00:00:00+00:00 O 760.12 H 760.35 L 756.15 C 757.392026-09-16T00:00:00+00:00 O 759.50 H 761.67 L 749.60 C 754.052026-09-17T00:00:00+00:00 O 763.15 H 763.57 L 759.96 C 762.602026-09-18T00:00:00+00:00 O 761.31 H 762.00 L 757.97 C 761.692026-09-21T00:00:00+00:00 O 766.25 H 774.89 L 766.03 C 773.502026-09-22T00:00:00+00:00 O 774.03 H 775.14 L 772.57 C 773.382026-09-23T00:00:00+00:00 O 772.79 H 773.05 L 766.50 C 767.812026-09-24T00:00:00+00:00 O 764.07 H 768.95 L 763.25 C 767.182026-09-25T00:00:00+00:00 O 768.78 H 772.28 L 766.29 C 771.352026-09-28T00:00:00+00:00 O 768.35 H 769.54 L 763.72 C 765.612026-09-29T00:00:00+00:00 O 766.83 H 766.98 L 762.35 C 764.202026-09-30T00:00:00+00:00 O 766.45 H 769.41 L 766.00 C 766.79EXIT SELL · 2026-04-30 00:00:00+00:00 · 718.66SELL2026-04-102026-09-30

Shows the latest 120 available bars. BUY/SELL marks strategy entries and exits whose timestamps fall in this visible window.

Historical equity curve

Compounds each encoded net trade sequentially, including the strategy's declared exposure and modeled costs. The forward ledger starts only after deployment.

Backtest specification

STATUS / REPLICATIONcompleted · exact_course_rules
DATAYahoo Finance (delayed/unofficial)
MARKETSPY · 1d
HISTORY2016-09-30T00:00:00+00:00
2026-09-30T00:00:00+00:00
WIN RATE+70.00%
PROFIT FACTOR4.37

Ten years provides fewer than ten independent winter holding periods.

Historical transactions

Download JSONDownload all transactions as CSV

HIT = profitable after the 4 bps cost assumption; MISS = loss after costs; FLAT = break-even. Showing the most recent 100 of 10 transactions.

EntrySideEntry priceExitExit priceOutcomeNet return
2025-11-03 00:00:00+00:00LONG685.672026-04-30 00:00:00+00:00718.66HIT+4.771%
2024-11-01 00:00:00+00:00LONG571.322025-04-30 00:00:00+00:00554.54MISS-2.977%
2023-11-01 00:00:00+00:00LONG419.202024-04-30 00:00:00+00:00501.98HIT+19.707%
2022-11-01 00:00:00+00:00LONG390.142023-04-28 00:00:00+00:00415.93HIT+6.570%
2021-11-01 00:00:00+00:00LONG460.302022-04-29 00:00:00+00:00412.00MISS-10.533%
2020-11-02 00:00:00+00:00LONG330.202021-04-30 00:00:00+00:00417.30HIT+26.338%
2019-11-01 00:00:00+00:00LONG304.922020-04-30 00:00:00+00:00290.48MISS-4.776%
2018-11-01 00:00:00+00:00LONG271.602019-04-30 00:00:00+00:00294.02HIT+8.215%
2017-11-01 00:00:00+00:00LONG258.042018-04-30 00:00:00+00:00264.51HIT+2.467%
2016-11-01 00:00:00+00:00LONG212.932017-04-28 00:00:00+00:00238.08HIT+11.771%