Tuesday, June 20, 2006

Remember the posts on my OEX Option Model? Here are the results for November ’05 thru April ’06:

Nov 2005: 16.10%
Dec 2005: 4.48%
Jan 2006: 20.00%
Feb 2006: -12.10%
Mar 2006 : 7.08%
Apr 2006: 20.41%

Overall Return: 64.96%
Return after Slippage, Commissions & Interest: 58.68%

As you can see, the model did very well over the 6 month test period. The main performance driver came from accurately capturing the big moves in Oil & Gas stock options. I stopped testing the model after the end of April because I no longer work from home and can’t monitor the market properly while I’m at the office. Consequently, I missed an opportunity to test the model against the equities sell-off of the past several weeks. I think the model would have responded well compared to the broader market due to the fact that it was designed to capture gains from both long and short trend momentum for S&P 100 stocks.


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