I calculated the 2011 results using this system:<p><pre><code> Buy and Hold the Dow: 5.5% gain
Investing only on the "best" days: 8.3% gain
Investing only in the "worst" days: -2.5%
</code></pre>
"best" and "worst" are defined by the formula at the beginning of the year, based on the historical data. Obviously some of the "worst" days were "up" days, and vice versa.<p>Regarding US tax laws, in taxable accounts:
"Buy and Hold" would generally be taxed at the Capital Gains rate (15%), while moving in and out of the market based on "seasonality" would be taxed at the personal income rate (which may be roughly 28%). Even considering the tax implications, the Seasonality method was better in 2011.