The rules from Mark Hulbert are slightly different from Keystone:
Mark Hulbert
To exploit positive seasonality around the turns of each month: Buy at the close of the third-to-last trading of each month, and sell at the close of the fifth trading session of the following month.
To exploit positive pre-holiday seasonality: Buy at the close of the third-to-last trading day prior to exchange holidays, and sell at the close of the last trading day before a holiday.
Exceptions: If the holiday falls on a Thursday, sell at Friday's close rather than Wednesday's. Also, if the last day before a holiday is the first trading day of the week, don't sell until the day after the holiday. Finally, never sell on the first trading day after options expire; instead wait an extra day.
Keystone
Rule 1. Always own equities on the last trading day of each month and first four trading days of each month (the “month-end” period).
Rule 2. If the next-to-last trading day of the month is anything other than the first trading session of the week, hold equities on that day, too. In other words, own equities on both of the last two trading days of the month except when the next-to-last trading day of the month is the first trading day of the week.
Rule 3. Also hold equities on the fifth trading day of the month, unless that fifth day is the first day of the week.
Rule 4. Own equities on the two trading days before each holiday closing (the “pre-holiday” period).
Rule 5. However, do not own equities on the second day before a holiday closing if that day happens also to be the first trading day of the week.
Rule 6. Continue to own equities on the first day after a market holiday closing if that day is also the last trading day of the week.
