Halloween strategy as an equity trading strategy can be seen as to completely sell stock portfolio holdings during the months of May to October and hold stock portfolios during the months of November to early April.
Table 6 Returns from Halloween Trading Strategy (HTS) and Buy and Hold Strategy (B&HS) Index Halloween Strategy Returns Buy & Hold Strategy Returns (HTS) (B&HS) Mean Stdev p-value Mean Stdev p-value DJIA 0.7745 2.7869 0.0000 (***) 0.7526 4.0788 0.0006 (***) S&P500 0.6914 2.7998 0.0000 (***) 0.7244 4.1275 0.0011 (**) NASDAQ 0.8102 4.5032 0.0008 (***) 1.0211 6.2183 0.0022 (**) RUSSELL3000 0.7242 2.8058 0.0000 (***) 0.7451 4.1874 0.0009 (***) (***), (**), and (*) denote the significance at the 1%, 5%, and 10% levels, respectively.