The seasonal stock investing strategy called Halloween Indicator, often also referred to as Sell in May and Go Away, does apparently work. As mentioned here earlier, it is one of a few seasonal timing approaches that are viable in terms of risk reduction. Updated through the end of 2015, using this method the twenty-year total return of the S&P 500 Index would have about tripled one's investment despite exposure to equity volatility only half the time, for one would have been invested in tradable securities during merely the six months between the market closings on October 31 and on April 30 (or the closest trading days prior to those dates if they would have fallen on a weekend).
While not as large a gain as one would have had by being fully invested in the S&P 500 Index year 'round, it is about 2/3 of the buy-and-hold return for the index over that 20-year period. Another way of putting it is that the results for November through April averaged about 50% more than those for May through October, definitely a nice treat offered by the Halloween Indicator method.
If more comfortable experiencing fewer downward swoons in the market than with the extra 1/3 total return associated with having your investments working for you 12 months a year, this technique may be for you. There are downsides to the Halloween Indicator (HI) approach, though: