Yes, you are allowed to travel outside the United States, but in order to return to the U.S., you should provide the following documents:
<ul>
<li>A valid passport </li>
<li>A valid F-1 entry visa stamped in the passport</li>
<li>A current SEVIS Form I-20 signed by your appropriate school official </li>
<li>A new SEVIS Form I-20 if there have been any serious changes in your course or place of study</li>
<li>Proof of your financial support </li>
</ul>