SPX weekly ROI for the past 69 years. "Sell in May, come on back on St. Leger's Day." seems to be highly reasonable.
## codes begin
len <- length(index(to.weekly(SP5)))
w <- to.weekly(SP5)[,4][2:len]/as.vector(to.weekly(SP5)[,4][1:(len-1)])
w <- w-1
weekloc <- floor(length(seq(as.Date(paste(year(Sys.Date()),"-01-01",sep="")),Sys.Date(),by="days"))/7)
weekorder <- c(last(seq(1,52,1),weekloc),head(seq(1,52,1),52-weekloc))
mtrx <- matrix(last(w,floor(length(w)/52)*52),nrow=52)
df <- data.frame(data=apply(mtrx,1,mean)[weekorder],mon=factor(seq(1,52,1)))
p <- ggplot(df, aes(x=mon,y=data,fill=mon))
p <- p + scale_x_discrete(label=as.character(seq(1,52,1)))
p <- p + geom_bar(stat = "identity") # need identity to draw value itself.
p <- p + theme(legend.position = 'none') # erase legend
plot(p)
## codes end
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