Here's an interesting chart on Investor Confidence Index from State Street Global Markets (http://www.statestreetglobalmarkets.com/en/ici/index.htm#cod)
I've seen some people citing this chart as an indication that investors are looking for a downturn in the market. However, if you look at the three places in this chart where there's a bottom (4/09, 11/09, and 2/10), they correspond neatly to lows in the Dow. The latest reading is lower than any of those. I'm currently over 36% in cash and was planning on "selling in May and going away". Now I'm not so sure.
In fact, looking at the last ten years of the Dow, the only time the whole "sell in May" thing would have helped you very much was in 2008, and that was quite an extraordinary year. Last year, it would have been a terrible strategy. As Jim Cramer said, it was more like "Sell in May, go hang yourself". So I'm going to continue looking for investing opportunites next month, but I'm going to tighten my criteria for suitable candidates and good entry points.
Market update: my overnight long ES trade last night paid off nicely with a 2 1/4 point gain and the market was indeed up today. I'm looking for more of the same tomorrow. Tonight, I'm taking a long NQ position at 2008.50 at 5:28 PM.