This page documents the methodology and assumptions used in the historical backtesting of the ITM strategies. The objective is to describe how the tests were constructed, what assumptions were applied, and the boundaries within which the results should be interpreted.
All backtests shown on this site are generated strictly from the published ITM rules. Trade entries and exits are triggered mechanically, with no discretionary judgement, hindsight adjustment, or parameter optimisation applied at any stage.
Historical price data used in the backtests is sourced from publicly available market data, including Excel’s STOCKHISTORY function and Yahoo Finance. These sources provide adjusted price series suitable for long-term historical testing.
The backtests apply consistent assumptions so results are comparable across time periods and instruments. Where an input cannot be taken directly from historical option chains, a fixed approximation is used and applied uniformly. For example, time value is modelled at a constant 1%.
Complete trade lists
Summary results
Performance graphs
Excel workbooks
Raw source data
User-modified or optimised tests
Thank you – your message has been sent.
You will be notified when there is a new blog post.
Please note that Heather answers all questions at the end of the ITM Blog.
Happy trading!