Sell in may and go away works because everyone thinks it does and acts accordingly.
If you want to see it stop working, pony up some cash and send it to me and i'll sell off my entire portfolio. We'll subsequently have a huge summer bull market and you'll all get rich. It'll be well worth the cash you send me.
Do note that I made this sort of offer once before...when I lived in MA, I finally got tired of driving in the snow and bought a 4wd truck. We then had three almost snowless winters. I then moved to CA and told all my friends that if they chipped in some money, I'd keep the 4wd truck in MA and keep it on active registration, as apparently my ownership of a 4wd truck kept the snow away.
They all laughed. I sold the truck and moved.
They then had something like 5 of the 6 worst winters in recorded history over the next 12 years.
A coincidence?
I dont think so...