Sell In May and Go Away?

I am a bit confused each time when i hear others talking about "sell in May and go away". I assume that they mean that the market will go down from May till October. Statistically, this is correct for most of the time that the market tends to be more bearish during this period. I think it has become a self-fulfilling prophecy.

There are a few Self-Fulfilling Prophecies such as:
• Sell in May and Go Away
• October Effect
• Santa Claus Rally
• January Barometer

If most of us know that the market tends to be more bearish during May-October period, why don't we trade Put Warrants/Put Options during this period? By doing this, we still could earn a handsome profit when the market goes down. So why should sell in May and go away? I guess most of us are still trapped in the traditional way of thinking that we could only make money if the market goes up.

Warrants and options are very good financial instruments when stock market major trend is clear. When the market is bullish, it is good to trade call warrants/options, and when the market is bearish, it is good to trade put warrants/options.

There are a few put warrants listed on KLSE. They are ridiculously expensive in term of their high premium.I don't think the market markers/issuers for these put warrants are sincere enough to develop our Malaysian warrant market. I guess this is the reason why many full-time traders that I know are not trading our at KLSE instead they choose to trade oversea stock markets.

Personally, I also preferred our oversea stock market put warrants/option, at least i don't have to pay 20%-100%++ of premium for a put warrant. Moreover, these put warrants (KLSE) are extremely low in liquidity.


GOon