INDEX / ETF · STRATEGY TEST
Does “sell in May” work on IWM?
Hold only from November through April and stay in cash for the summer months, on the old market adage.
Holding came out ahead
2.91%
“sell in May and go away” per year
-6.39%
Difference
rule vs held, over 9.2 years
41%
Worst drawdown
holding fell 41%
Holding IWM came out ahead of “sell in May and go away” over 9.2 years. Across the last 9.2 years of real prices, simply buying and holding the Russell 2000 made 6.39 percentage points a year more than “sell in May and go away” (9.30% versus 2.91%). The rule did give a gentler ride: its worst fall was 41.1% against 41.1% for holding — a smoother path, paid for with some of the return.
Every rule on IWM, ranked
Buy and hold · benchmark9.30%
127% total · worst drawdown 41.1% · in market 100%
200-day moving average timing5.07%
58% total · worst drawdown 29.0% · in market 68%
Buy the dip (RSI < 30, hold 20d)5.00%
57% total · worst drawdown 35.4% · in market 27%
Sell in May (hold Nov–Apr)2.91%
30% total · worst drawdown 41.1% · in market 48%
Golden cross (50/200)0.03%
0% total · worst drawdown 51.8% · in market 71%
the last 9.2 years · 2,312 trading days · $125.811 → $285.14
How to read this
One asset over one window is a single data point, not a law. A rule that comes out ahead on IWM may trail holding on the next ticker you try — which is exactly why the free tester exists: change the asset and see whether the edge survives. When it evaporates on a different market, it was fitted to this one.
Note the drawdown column as much as the return. Most timing rules earn less than holding but fall less in a crash, and whether that trade is worth it depends entirely on whether you would actually have held through the worst of it.
Method
All strategies are measured from the same starting bar so the comparison is like-for-like. Signals are read from the previous close and the next day's return is applied — no lookahead. Prices are dividend-adjusted so buy-and-hold is not handicapped. 0.05% cost per switch. No leverage, no shorting.
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Vorrik Research publishes tests of publicly discussed trading strategies using public market data. Where a test was also run with our own money, the article says so. It is factual reporting of what happened in historical and past live tests — not investment advice, and not a recommendation to buy or sell anything. Past results never predict future results.