Historical stock returns suggest that the premise of the Halloween strategy has been mostly true throughout the last half-century—that the months from November through April actually have provided investors with stronger capital gains than have the other months of the year. Results also show that a strategy of selling in May is successful in beating the market more than 80% of the time when employed over a five-year horizon, and more than 90% successful in beating the market when used with a 10-year time frame.