High-Probability, Mean-Reversion ETF Options Strategy

Hypothetical Monthly Returns (includes typical commissions and system fees)

	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec
2010											+3.7%	+8.7%
2011	+5.6%	-	(6.4%)	+10.1%	+6.7%	+1.3%	+2.4%	(3.6%)	+7.1%	(13.1%)	+13.4%	+0.6%
2012	(32.1%)	(98.7%)	(1362%)	(6.4%)	(6%)	(5.7%)	(5.4%)	(5.1%)	(4.9%)	(4.6%)	(4.4%)	(4.2%)
2013	(4.1%)	-	(3.9%)	(7.5%)	-

Strategy Summary

Options-based strategy uses proprietary overbought/oversold models coupled with Wilders RSI (2) to take advantage of technical extremes.

Remember there is a substantial risk of loss in trading. Past performance is not indicative of future results. Do not trade with money you cannot afford to lose.

Subscribe to System

30-day free trial, then $99 per month

Details

There is a free trial period of 30 days before you are charged. You may cancel at any time before this (we send you an email at least a day before, to remind you, so there are no surprises.)

Then, after the trial, you will be charged $99 per month. (That is, we will charge you every 30 days - not when the month name on the calendar changes. So it's okay to sign up towards the end of a calendar month. You'll still get a full 30 days.)

Or... Want to try AutoTrading without risking real money? Trade this with $100,000 simulated dollars, for free.

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Show chart: Standard | Monte Carlo
Technical Analysis: Moving Average daysX

Model Account Status

Started	$10,000
Buy Power	$758
Cash	$758
Equity	$0
Cumulative $	($9,241)
Total System Equity	$758
Margined	$0
Open P/L	$0

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Hypothetical Trading Results
Opened ET	B/S	#	Symbol		Price	Closed	Price	Risk	P/L
2/7/12 13:23	BUY	15	SPY1217O135	SPY Mar12 135 put (exp 03/17/2012)	3.13	3/189:02	0.00	Extreme	($4,709)
1/19/12 14:35	BUY	7	SPY1217O131	SPY Mar12 131 put (exp 03/17/2012)	3.96	3/189:00	0.00	Extreme	($2,779)
1/10/12 9:42	BUY	10	SPY1217O130	SPY Mar12 130 put (exp 03/17/2012)	4.90	3/189:00	0.00	Extreme	($4,910)
1/4/12 13:36	BUY	10	QQQ1217O58	QQQ Mar12 58 put (exp 03/17/2012)	2.75	3/189:00	0.00	Extreme	($2,760)
12/6/11 9:38	BUY	10	DIA1221M121	DIA Jan12 121 put (exp 01/21/2012)	4.10	12/812:30	4.40	Normal	$281
11/18/11 13:17	BUY	10	XLE1117L68	XLE Dec11 68 call (exp 12/17/2011)	2.97	11/309:53	3.70	Extreme	$711
11/21/11 11:10	BUY	10	QQQ1221A54	QQQ Jan12 54 call (exp 01/21/2012)	2.68	11/309:53	3.31	High	$611
11/8/11 14:40	BUY	12	USO1117X39	USO Dec11 39 put (exp 12/17/2011)	2.84	11/99:39	3.20	Low	$409
10/6/11 10:08	BUY	12	QQQ1119W54	QQQ Nov11 54 put (exp 11/19/2011)	2.89	10/2610:59	1.01	Extreme	($2,279)
10/10/11 13:13	BUY	8	DIA1119W114	DIA Nov11 114 put (exp 11/19/2011)	4.55	10/2610:59	2.21	Extreme	($1,887)
10/24/11 13:51	BUY	15	IWM1117X74	IWM Dec11 74 put (exp 12/17/2011)	4.19	10/2610:59	5.83	Low	$2,432
10/6/11 9:41	BUY	12	QQQ	POWERSHARES QQQ TRUST SERIE	53.57	10/69:45	53.46	Low	($3)
8/30/11 9:56	BUY	12	QQQ1122V56	QQQ Oct11 56 put (exp 10/22/2011)	3.02	9/29:31	3.57	Normal	$637
7/7/11 13:33	BUY	15	QQQ1117U61	QQQ Sep11 61 put (exp 09/17/2011)	2.77	7/119:34	3.23	Low	$662
7/6/11 14:44	BUY	15	QQQ1117U60	QQQ Sep11 60 put (exp 09/17/2011)	2.73	7/119:34	2.59	High	($239)

Hypothetical Trading Results
Opened ET	B/S	#	Symbol		Price	Closed	Close Price	Risk	P/L
2/7/12 13:23	BUY	15	SPY1217O135	SPY Mar12 135 put (exp 03/17/2012)	3.13	3/189:02	0.00	Extreme	($4,709)
2/7/12 13:23	BTO	15	SPY1217O135		3.13
3/18/12 9:02	exp	15	SPY1217O135		0.00
1/19/12 14:35	BUY	7	SPY1217O131	SPY Mar12 131 put (exp 03/17/2012)	3.96	3/189:00	0.00	Extreme	($2,779)
1/19/12 14:35	BTO	7	SPY1217O131		3.96
3/18/12 9:00	exp	7	SPY1217O131		0.00
1/10/12 9:42	BUY	10	SPY1217O130	SPY Mar12 130 put (exp 03/17/2012)	4.90	3/189:00	0.00	Extreme	($4,910)
1/10/12 9:42	BTO	10	SPY1217O130		4.90
3/18/12 9:00	exp	10	SPY1217O130		0.00
1/4/12 13:36	BUY	10	QQQ1217O58	QQQ Mar12 58 put (exp 03/17/2012)	2.75	3/189:00	0.00	Extreme	($2,760)
1/4/12 13:36	BTO	10	QQQ1217O58		2.75
3/18/12 9:00	exp	10	QQQ1217O58		0.00
12/6/11 9:38	BUY	10	DIA1221M121	DIA Jan12 121 put (exp 01/21/2012)	4.10	12/812:30	4.40	Normal	$281
12/6/11 9:38	BTO	10	DIA1221M121		4.10
12/8/11 12:30	STC	10	DIA1221M121		4.40
11/18/11 13:17	BUY	10	XLE1117L68	XLE Dec11 68 call (exp 12/17/2011)	2.97	11/309:53	3.70	Extreme	$711
11/18/11 13:17	BTO	10	XLE1117L68		2.97
11/30/11 9:53	STC	10	XLE1117L68		3.70
11/21/11 11:10	BUY	10	QQQ1221A54	QQQ Jan12 54 call (exp 01/21/2012)	2.68	11/309:53	3.31	High	$611
11/21/11 11:10	BTO	10	QQQ1221A54		2.68
11/30/11 9:53	STC	10	QQQ1221A54		3.31
11/8/11 14:40	BUY	12	USO1117X39	USO Dec11 39 put (exp 12/17/2011)	2.84	11/99:39	3.20	Low	$409
11/8/11 14:40	BTO	12	USO1117X39		2.84
11/9/11 9:39	STC	12	USO1117X39		3.20
10/6/11 10:08	BUY	12	QQQ1119W54	QQQ Nov11 54 put (exp 11/19/2011)	2.89	10/2610:59	1.01	Extreme	($2,279)
10/6/11 10:08	BTO	12	QQQ1119W54		2.89
10/26/11 10:59	STC	12	QQQ1119W54		1.01
10/10/11 13:13	BUY	8	DIA1119W114	DIA Nov11 114 put (exp 11/19/2011)	4.55	10/2610:59	2.21	Extreme	($1,887)
10/10/11 13:13	BTO	8	DIA1119W114		4.55
10/26/11 10:59	STC	8	DIA1119W114		2.21
10/24/11 13:51	BUY	15	IWM1117X74	IWM Dec11 74 put (exp 12/17/2011)	4.19	10/2610:59	5.83	Low	$2,432
10/24/11 13:51	BTO	15	IWM1117X74		4.19
10/26/11 10:59	STC	15	IWM1117X74		5.83
10/6/11 9:41	BUY	12	QQQ	POWERSHARES QQQ TRUST SERIE	53.57	10/69:45	53.46	Low	($3)
10/6/11 9:41	BTO	12	QQQ		53.57
10/6/11 9:45	STC	12	QQQ		53.46
8/30/11 9:56	BUY	12	QQQ1122V56	QQQ Oct11 56 put (exp 10/22/2011)	3.02	9/29:31	3.57	Normal	$637
8/30/11 9:56	BTO	12	QQQ1122V56		3.02
9/2/11 9:31	STC	12	QQQ1122V56		3.57
7/7/11 13:33	BUY	15	QQQ1117U61	QQQ Sep11 61 put (exp 09/17/2011)	2.77	7/119:34	3.23	Low	$662
7/7/11 13:33	BTO	15	QQQ1117U61		2.77
7/11/11 9:34	STC	15	QQQ1117U61		3.23
Auto Close: 7/11/11 (9:34)
7/6/11 14:44	BUY	15	QQQ1117U60	QQQ Sep11 60 put (exp 09/17/2011)	2.73	7/119:34	2.59	High	($239)
7/6/11 14:44	BTO	15	QQQ1117U60		2.73
7/11/11 9:34	STC	15	QQQ1117U60		2.59
Auto Close: 7/11/11 (9:34)

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Statistics

Analytics

All Statistics Based on Hypothetical Results
Trades	31
# Profitable	22 (71.0%)
# months tracked	31
Profitable months	10 (32.3%)
Avg trade duration	12.6 days
Annual return (compounded)	-63.6%
Average win	$503
Average loss	$2,256
Profit factor	0.5:1
Max peak-to-valley drawdown (historical)	95.23%
drawdown period	Dec 08, 2011 to March 18, 2012
Correlation w/ S&P	-0.044
Sharpe ratio	-1.76
Keep after worst-case slippage	100.0%
Probabilities of future account loss
Chance of 10% account loss	100.0%
Chance of 20% account loss	100.0%
Chance of 30% account loss	100.0%

Chance of 50% account loss	1.0%
Chance of 100% account loss	0.0%
Average Profit to Drawdown (APD)	-0.26
Average P/L per unit traded	($35.26)