This section documents the historical backtesting of the ITM strategies The following results were generated strictly according to the rules described in the book. No optimisation, filtering, or discretionary overrides were applied.
The ETFs SPY, SPYG and QQQ were backtested separately using 50% and 60% strikes, from their inception to October 2025.
SPY – 50% and 60% in-the-money calls (1993 – 2025)
SPYG – 50% and 60% in-the-money calls (2000 – 2025)
QQQ – 50% and 60% in-the-money calls (1999 – 2025)
Only SPY is used in the bear market strategy, which was tested across historically recognised market declines since 1993.
2001–2003 (technology-led bear market)
2008 (global financial crisis)
2020 (pandemic-driven sell-off)
2022 (inflation and rate-driven decline)
All results shown in this section were generated mechanically from the published ITM rules. No optimisation, filtering, or discretionary overrides were applied.
The backtests were constructed from first principles using historical price data. Excel is sufficient for this purpose and allows full visibility into each step of the process.
Complete trade lists
Summary results
Performance graphs
Excel workbooks
Raw source data
User-modified or optimised tests
Independent Review of Backtesting
The historical backtesting results presented for SPY were independently reviewed for rule consistency and mechanical accuracy by a professional accountant. The review verified that the strategy rules were applied consistently across the full test period and that the calculations followed the stated methodology. The auditor did not evaluate the commercial merits of the strategy, make any judgement about future performance, or assess suitability for individual investors. The review was limited strictly to confirming that the backtesting was executed as described and without discretionary adjustments.
Backtesting documents and data are copyright and may be reproduced for the personal use of ITM Blog users, but may not be shared, redistributed, or publicised in any form without the express permission of Heather Cullen.
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Happy trading!