There is no sector ETF that has a positive return from end of August to end of October

General
1

Buy: Ticker("xxx") & (Mod(Month,12)=8 & MonthDay>=22 & MonthDay<=31)

Sell: (Mod(Month,12)=10 & MonthDay>=22 & MonthDay<=31)

with transction cost set to 0.1%
and simulation starting Jan-1999 to 2025

Same applies for treasury ETFs. So best strategy is to stay in cash during September and October.

2

That is in line with the historic S&P 500 Monthly Returns (1950–1998). Average return for August= 0.06%, September= -0.31%, October= 0.46%.

Any suggestions from the community what we should invest in from August to October?

3

My stock strategies perform worse when I hedge them during September and October, so I don't see a reason to stay in cash during that period.

4

Yes, hedging does not work over those months. That is exactly my point.