There's an old saying that at least some of you may be familiar with..."Sell in May and go away." It's a reference to what the stock market is perceived to do as we enter into the spring and summer months. It's in May that the new-year rally is supposed to taper off, as investors start to lose interest in the market. Instead of trading stocks, they're worried about vacations, going to baseball games, and spending some time on the golf course. Of course, the question is whether or not the saying is true. It's considered 'conventional wisdom', but you know how I distrust what's supposed to be common knowledge. Let's take a look at the facts.

There are actually two sides to the "sell in May" strategy. While the first part of the rule is to exit positions in May, the second part of the rule assumes you're going to buy positions in October. Thus, the calendar year is roughly divided into the best six months and the worst six months. But does it work out that way in the real world? Actually, the strategy does have some merit. Going back the last 51 years, the average gain for the S&P 500 between May and October is a pitiful 0.4 percent. In comparison, the average gain between October and May is 7.1 percent. That disparity is a little too large to be random.

But of course that leads to the question of why. The explanation for the phenomenon will never be perfect, but here are several possibilities (and I suspect that the ultimate reason is some combination of all of them):

1. Pension funds adjustments and mutual fund inflows are at their greatest in the beginning of the year. This can jump-start a high volume rally that may not cool off for weeks, if not months.

2. Investors really do lose interest in stocks, with the distractions of the beach, little league games, and vacation time. This would only have a small effect on total market movement, but it would still be a factor.

3. Even a myth can become a reality if it is repeated often enough. Or to put it another way, investors have heard 'sell in May' so often, they actually do it. This creates self-fulfilling prophecy where stock owners sell their positions to avoid the very sell off they're creating themselves.

However, there are always exceptions. Could this year be one of them? Maybe, but so far it looks like 2005 is following the model pretty well. We're not exactly starting May off with a bang, and we're still dealing with a go-nowhere market that we've been stuck with since February. That lack of momentum (albeit with a downside bias), paired up with the negative effects that a slowing economy may create, poses something of a problem for the near future. While we'd much rather base our decisions on what's actually happening, the 'sell in May' rule doesn't seem completely crazy right now.

The thing is, you can't just take these broad ideas at face value and abandon the market altogether. Just bacause the general rule makes a little sense doesn't mean that you can't make money in the summer - the rule is in reference to just one broad index. Instead of taking half of a year off, think about implementing some of these strategies:

1. Look for the consumer staples stocks to be strong if things are weak. (This could be especially important this year) Some stocks behave differently when rates are rising or falling, and this time probably won't be any different. Odds are that we're close to the end of the rate hikes, if we're not there already. That's good and bad. It also means that you should be learning to sell short, or buy put options, if the bearish trend stays strong.

2. Learn to write credit spreads. Although spreads may seem exotic to most folks, this strategy really isn't difficult to grasp. Credit spreads are actually a way of profiting from a non-moving market.

3. Keep in mind that just because an index is moving sideways doesn't mean that all stocks are as well. Some stocks will go up this summer, while some will go down. The net effect of this on the S&P 500 may be a stagnant index. However, don't miss out on some individual stock movement because you didn't see the S&P 500 going anywhere. 

This is just some food for thought as we head into what most people consider the slower time of year. Just remember that it can still be a profitable time of year. All the same, you each deserve to take some vacation time, so don't spend the entire summer focused on stocks. Get out and enjoy the nice weather at least a little while.

Price Headley is the founder and chief analyst of BigTrends.com.