This section documents the historical backtesting of the ITM strategies…
SPY — 50% and 60% in-the-money call options (1993 – October 2025)
QQQ — 50% and 60% in-the-money call options (2000 – October 2025)
SPYG — 50% and 60% in-the-money call options (2000 – October 2025)
Bear Market Strategy
The bear strategy was tested across historically recognised market declines:
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
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.
The information on this website is general information only. The author is not a financial adviser. Information should not be taken as constituting professional advice. The author is not liable for any loss caused, whether due to negligence or otherwise arising from the use of, or reliance on, the information provided on this website or other related published material.
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Please note that Heather answers all questions at the end of the ITM Blog.
Happy trading!
