Seasonal pattern are more pronounced in commodities than stock markets. For eg. Natural gas tend to bottom in August, wheat in April etc..
Only seasonal pattern some what relevant in stock market is "January Effect". Even though out performance of stocks in January is diminished compared to very early years, out performance of small cap over large cap exists today.http://www.cxoadvisory.com/3878/calenda ... -long-run/http://online.wsj.com/article/SB1000142 ... 26368.html
One need to think, what is driving those effects. Sell in May theory is based in theory that traders go for holiday in summer and come back to their desk just before school season is not very credible. But retail investors (and some pro's too) sell for tax loss during end of the season, and get back in to market in beginning of the year like clock work is plausible. Also investors start to contribute to their retirement, profit matching, invest bonus money etc at the beginning of the year. Small cap with higher beta tend to perform better during January.
Question is can you monetize it?
If you are an investor, then probably you wont. Better to invest in vanguard index funds, then forget till you reach retirement.
But if you are a trader, then these are better odds than casino, so trader will play with 1 or 2% of your trading portfolio. This can be easily replicated with futures with no directional risk. Basically you are there to capture the spread. Transaction costs are negligible (less than 100 non vanguard ETF transaction at crappy VBS, Taxes are at 60/40 less than short term gain tax of etfs and stocks)