One of the oldest sayings on Wall Street is 'sell in May and go away'. What it means is that investors are supposed to sell their holdings sometime in May, go to cash and reinvest sometime in late September. You can see already some of the folly, which day to sell? which day to invest?
Anyway, you can see from the chart below that it does appear to pay off to be 'long' from October to April as opposed to May to September.