Has anyone done a study to compare CoT methods to simply entering seasonally as suggested here?

Clint,
on the face of it I would think it not worth it because both date ranges are positive in expectancy. So unless you had better uses for the money, taking it out during a period which, on average, has a positive expectancy won't increase the total return. Of course, I could be wrong. It just looks that way eyeballing it.
h

In SMR issue No. 65, I wrote about the concept of “stationarity” – the concept of ever-changing cycles. And I think the old “sell in May and go away” cliché is a good example of that. The problem with seasonal strategies is that they work for a long time. But as soon as everybody begins to realize that they work, they stop working. Seasonality does work if you can identify a seasonal pattern early, which is very difficult to do.

I think you’ll find that from 1990 (and maybe earlier) until today, the “sell in May and go away” strategy hasn’t been very profitable. In fact, (and I doing this from memory so I may be wrong) I think you’ll find that it is close to an even split between which period has been more profitable – November through May or May through November. If the strategy has been profitable, I know it hasn't been as profitable as it used to be.

The other thing I would keep in mind is that it is not only important that a strategy works, but it is also important that you can identify why it works. There must be a cause and effect that you can identify. And I’m not sure I can think of a good reason to just automatically sell in May and go away.

Larry