A algorithm for easy cloning to go with the blog "Sell in May" https://www.quantconnect.com/blog/history-of-non-market-data-correlations/

The algorithm goes flat for May-November each year, and long all other times. Its a series algorithm running over about 15 years of minute data.

If you clone it yourself, I'd recommend adjusting to today's date and re-running on your account!