These are the exact results generated by ITM rules on SPYG from 2000 to 2025.
The SPYG backtest covers multiple full market cycles and applies the same entry and exit rules throughout the test period. Results are shown for both the 50% and 60% in-the-money variants of the ITM strategy, allowing comparison of behaviour under identical market conditions.
The following trade lists show all SPYG positions generated by the ITM rules 2000 – 2025
NOTE: The trade dates shown are identical for both the 50% and 60% in-the-money variants of the ITM strategy; only the option strike selection differs.
The graphs below show the cumulative performance of the ITM strategy applied to SPYG 2000 – 2025
All SPY results shown on this page are generated from the same underlying trade signals and timing. Differences between the 50% and 60% in-the-money variants arise from option structure rather than trade selection. Full methodology and assumptions are on the main Backtesting page.
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Please note that Heather answers all questions at the end of the ITM Blog.
Happy trading!