Halloween strategy is based on a theory that stocks tend to decline during the month of October. Statistics largely go against this line of thinking. Historically, there have been significant negative events in October including Black Monday, Black Tuesday and Black Thursday, all followed by the Great Depression. The crash of 1987 happened Oct. 19, so there’s that.Related: THE COMPANY’S DIVIDEND INFORMATION & METRICS WIDGETSSell In MayContributing to belief in Halloween strategy is another longtime market axiom, “sell in May and go away.” This theory suggests investors should sell holdings in May and stay out of the market until the end of October when (theory suggests) they will see stronger capital gains beginning in November and ending sometime in April.Historical returns suggest the idea has been generally true over the past 50 years. However, it’s also worth noting that returns of the S&P 500 over that period suggest October has provided investors with the 6th highest monthly returns – significantly ahead of February.Spooky StrategyRealistically, although there is statistical evidence to support a Halloween strategy, most experts give it little weight. That said, it is true that many traders go on vacation during summer months or otherwise slow down activity. The same traders come back full force in the fall. Following the “herd” could result in higher returns, simply based on volume of trading.There are, however, no guarantees. Some of the worse selloffs in history have happened in September and October. Keep in mind many hedge funds have redemption periods in the fall. This, combined with poor conditions in the market can create volatility.Related: WHAT YOU SHOULD KNOW ABOUT SEOTiming Is No Way To GoHalloween strategy is a timing strategy. Most individual investors are poorly equipped to implement a timing strategy. The truth is that returns can be high (or low) any time of year and unless you know precisely when each will happen, a generalized approach to timing is based more on blind luck than anything else.The key to solid investing, say most experts, is to invest “early and often.” In other words, stay in the market over a prolonged period and you will generally do better than you will trying to move in and out based on the calendar, seasons or holidays.