Here's a backtest of the famous "best 6 months" strategy purported to be useful by Stock Trader's Almanac. There are an endless amount of calendar strategies. This one buys on Yom Kippur (more or less) around Oct. 1st and sells on Passover (more or less) around April 15th. The claim is that this is the best stretch of time to own stocks, and also incorporates the "sell in May and go away" concept.
It doesn't beat the market over the last 14 years. This is yet another trading myth, it would seem.