The interesting result is that the average profit in May to October is only slightly positive for the US. Investing in the winter months has underperformed a buy and hold strategy only by about a percentage point or less.
Of course the situation is different once taxes are taken into account. Because selling an investment after six months triggers higher capital gains taxes the return of the Sell in May strategy is reduced. This can however be mitigated with the put/call techniques mentioned in another comment below.