but even the US data has holes in it because you need to find a safe alternative that yields more while you're out of stocks. Last year in the US was a perfect example, the SP500 rose ~10% between May and October. Hard to find an alternative yielding ~20% pa to replace the time out of equities.

On Sell in May - An Australian Perspective -

The original saying was Sell in May and go away, come back on St. Leger's Day dating back to the 1930s, when England still ruled India. St. Leger's Day is in September, however, the Stock Traders Almanac extended it to October, due to some large downward moves in the data

On Sell in May - An Australian Perspective -

We posit that mood is the major influence on these returns, not unlike the better than average returns that accompany stocks at Christmas & New Year. Other influences on these returns could be perceived investor relief that October is over, 1st week of the month positive bias, November through to the end of April marking the beginning of an historically positive period & thin markets around Melbourne Cup Day. Perhaps the Melbourne Cup also has a tendency to increase international investor focus on Australia.

On Melbourne Cup provides a Bullish Setup for Australian Equities -