2

Contents
Introduction ............................................................................................................................................ 4
Technical Analysis Performance Backtest ............................................................................................... 4
Primary Observations.......................................................................................................................... 5
Benchmark Returns............................................................................................................................. 6
Summary of Results – Technical Indicators (NDX) .............................................................................. 7
Summary of Results – Technical Indicators (SPX) ............................................................................... 8
Optimal Holding Periods ..................................................................................................................... 8
Option Strategy Performance Backtest .................................................................................................. 9
Option Strategy Backtest Observations ............................................................................................ 10
Nasdaq-100 vs. S&P 500 Option Strategy Performance ................................................................... 10
Strategy Performance Data............................................................................................................... 11
Optimal Option Strategy Parameters ................................................................................................... 13
Optimal Long Call .............................................................................................................................. 13
Optimal Short Put ............................................................................................................................. 13
Optimal Long Call Debit Vertical Spread ........................................................................................... 13
Optimal Short Put Credit Vertical Spread ......................................................................................... 13
Summary ............................................................................................................................................... 13

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Introduction
The purpose of this report is to provide trading and option insights that perform with technical
indicators in order to maximize the performance of 2 of the most popular indices tracked by investors:
The Nasdaq-100 Index (NDX) and the S&P 500 index (SPX). NDX and SPX are very popular indices that
track the collective performance of the largest publicly traded companies. Both NDX and SPX are
market-capitalization-weighted – the larger companies by market cap have a larger weighting.

The Nasdaq-100 index includes 100 of the largest domestic and international non-financial companies
listed in the Nasdaq Stock Market. Primarily, the constituents of this index are considered growth
companies that are at the forefront of innovation and include names such as Apple, Microsoft,
Alphabet, and Tesla. The S&P 500 index is comprised of the largest 500 companies that are listed on
U.S stock exchanges. SPX provides broad-based exposure to the U.S stock market and is an important
barometer of the health of U.S equities.

Both indices share similarities, such as their weighting methodology and large-cap constituents.
However, NDX has outperformed SPX for the past 11 out of 13 years. OptionsPlay has developed this
report to show investors how the performance of popular technical analysis indicators and options
strategies perform for both the NDX and SPX by backtesting 21 years of historical price data.

This report consists of 2 primary backtests:

• Technical Analysis Backtest – this section highlights the top-performing technical indicators
for NDX and SPX over multiple holding periods and how they compare to their relative
benchmarks. Historical data for technical analysis backtesting was sourced from Xignite1. We
built our own backtesting algorithms to calculate returns, volatility, and trade data.
• Options Strategy Backtest – using the benchmarks calculated in the Technical Analysis
Backtest, the top 2 performing holding periods and top 5 technical indicators are used to
generate trading signals. Using these signals, we backtested multiple options to analyze their
performance for both NDX and SPX. Historical options data for strategy backtesting was
sourced from OptionMetrics1 and built our own backtesting algorithms to calculate returns,
volatility, and trade data.

Technical Analysis Performance Backtest

Technical analysis utilizes historical price data to predict the future price movement of a financial
asset. There are many technical indicators to choose from that may look appealing, but in reality,
implementing some of these strategies can at times yield large deviations from the expected
performance. Investors have faced an overwhelming number of technical indicators without
sufficient backtesting which would provide evidence of long-term consistency.

OptionsPlay has evaluated some of the most popular technical indicators to provide investors with
metrics of long-term performance and the risks associated with these indicators. The Technical
Analysis Performance Backtest highlights the performance of indicators on the NDX and SPX. This will

1
The information and data contained in in this backtest was obtained from sources believed to be reliable, but
accuracy is not guaranteed. Neither the information, nor any opinion expressed, constitutes a
recommendation to purchase or sell a security, or to provide investment advice. The information contained is
provided for general informational purposes. OptionsPlay is not engaged in rendering any legal or professional
services by placing these general informational materials.

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allow investors to easily compare the performance of a technical signal against a buy and hold
strategy.

The historical price data used in this backtest is from October 1999 to May 2021.

The first step of the technical analysis backtest is to calculate the benchmark return. The benchmark
represents the target annualized return percentage for an indicator to beat for it to be considered an
outperforming indicator. Only bullish entries were utilized for this backtest, with the testing period
based on historical price data from October 1999 to May 2021. The benchmark return was calculated
by entering a long position at random dates, which were held for multiple holding periods (measured
in days) for both NDX and SPX. From there, long positions were entered based on the historical buy
signals generated from the indicators and held for multiple holding periods. The performance of the
indicators was then compared to the benchmark return. Indicators that outperformed the benchmark
for the NDX or SPX are shown in the Summary of Results.

Primary Observations
• There were more outperforming indicators on the NDX when compared to SPX for almost
all holding periods included in the backtest. The only exception to this was in the case of
the 7-day holding period where SPX had more outperforming indicators.
• The RSI indicator was the top-performing indicator by a large margin for all holding
periods in the NDX and SPX backtest (the only exception was the seven-day holding period
for NDX, where the RSI indicator was the 2nd best-performing indicator). However, the
number of trades it produced during the 22 years backtest was incredibly low. Despite the
outperformance in annual returns, the RSI indicator had, in many holding periods, a lower
win rate compared to the other outperforming indicators. This provides evidence that the
RSI indicator has an excellent risk/reward ratio as it has a high annualized return but an
average win rate.
• Our research shows that the EMAs had an edge on the SMAs for the NDX backtest,
however, the SMAs performed slightly better than the EMAs for SPX. There has been much
debate between the Exponential Moving Average (EMA) and the Simple Moving Average
(SMA) in terms of performance. The EMA places a larger weighting on the more recent data
points, while the SMA places an equal weighting on all data points.
• Another interesting observation with moving averages, was that the longer period EMAs
(100, 200) performed exceptionally well for the NDX backtests, even for smaller holding
periods. This may be due to the large number of publications and retail and institutional
investors who track moving average crossovers and use them to time entry signals.
• Many outperforming indicators had a surprisingly high number of consecutive false
signals. It is vital for investors to have data for the amount of consecutive false signals an
indicator can produce. This only further emphasizes the importance of using sound risk
management to protect trading accounts from the possibilities of compounding losses.

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Benchmark Returns
NDX Benchmarks:
Holding Period # of Trades Win Rate (%) Avg Win (%) Avg Loss (%) Average Return (%) Max Win Streak Max Loss Streak
7 1000 58.20% 2.28% -2.52% 0.28% 14 9
10 1000 58.20% 2.73% -3.05% 0.31% 17 10
14 1000 60.10% 3.29% -3.68% 0.51% 19 16
21 1000 61.50% 4.03% -4.31% 0.82% 23 12
30 1000 63.80% 4.79% -5.51% 1.06% 40 14
45 1000 63.90% 5.96% -6.50% 1.46% 38 26

SPX Benchmarks:
Holding Period # of Trades Win Rate (%) Avg Win (%) Avg Loss (%) Average Return (%) Max Win Streak Max Loss Streak
7 1000 58.30% 1.74% -1.88% 0.23% 22 8
10 1000 60.80% 1.95% -2.25% 0.31% 17 9
14 1000 62.50% 2.27% -2.67% 0.42% 19 10
21 1000 62.40% 2.84% -3.18% 0.57% 26 12
30 1000 65.20% 3.38% -4.20% 0.74% 38 18
45 1000 64.90% 4.12% -4.71% 1.02% 38 20

The benchmarks for NDX and SPX were calculated by generating a long position in the index at random
dates and holding the trade for a specified number of days (holding period). Please note the table
observations below:

• Overall, the average return per trade of NDX is greater than SPX for all holding periods,
with the exception of the 10-day holding period where both the SPX and NDX generated
an average return of 0.31%.
• There is a clear difference in volatility when observing the ranges between the average
win and average loss percentages between the NDX and SPX. The range for NDX for all
holding periods is larger than that of SPX. This shows that NDX is more volatile than SPX.
• With the higher volatility, NDX awards investors with a higher average return for almost
all holding periods compared to SPX. The difference in average returns between NDX
and SPX grew larger as the holding period increased. This indicates that NDX can provide
consistently higher average returns over SPX.
• The maximum win streak and losing streak is almost identical for both NDX and SPX. SPX
does outperform NDX in terms of limiting consecutive for longer holding periods.

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Summary of Results – Technical Indicators (NDX)
The following table represents all the indicators that outperformed the benchmark for the relevant
holding period for NDX:
Strategy Holding Period # of Trades Win Rate (%) Avg Win (%) Avg Loss (%) Average Return (%) Max Win Streak Max Loss Streak
EMA100 7 142 59.86% 2.17% -2.05% 0.48% 7 4
RSI20 cross above 30 7 12 50.00% 3.53% -2.84% 0.34% 4 2
EMA200 7 73 63.01% 2.51% -3.42% 0.32% 5 4
SMA14 7 405 58.52% 2.54% -2.83% 0.31% 9 6
SMA20 7 340 60.59% 2.44% -3.00% 0.30% 13 7
NDX Benchmark 7 1000 58.20% 2.28% -2.52% 0.28% 14 9
RSI20 cross above 30 10 12 50.00% 6.90% -4.44% 1.23% 6 5
EMA200 10 73 63.01% 3.12% -3.20% 0.78% 5 4
EMA100 10 142 61.97% 2.73% -2.73% 0.65% 7 3
SMA14 10 405 58.52% 2.87% -3.10% 0.40% 11 7
SMA50 10 187 60.43% 2.68% -3.11% 0.39% 8 4
SMA20 10 340 60.29% 2.93% -3.47% 0.39% 11 6
MACD (26, 12, 9) 10 232 59.05% 2.73% -3.12% 0.33% 8 6
CCI20 cross above 100 10 335 57.31% 2.24% -2.23% 0.33% 8 5
NDX Benchmark 10 1000 58.20% 2.73% -3.05% 0.31% 17 10
RSI20 cross above 30 14 12 41.67% 9.89% -4.98% 1.22% 3 4
EMA200 14 73 68.49% 3.76% -5.29% 0.91% 9 4
EMA100 14 142 65.49% 3.09% -3.36% 0.87% 10 6
RSI20 cross above 25 14 3 66.67% 4.12% -5.97% 0.76% 2 1
CCI20 cross above 100 14 335 62.09% 2.73% -2.95% 0.58% 16 6
SMA20 14 340 58.82% 3.54% -3.77% 0.53% 18 8
MACD (26, 12, 9) 14 232 59.48% 3.34% -3.62% 0.52% 11 5
NDX Benchmark 14 1000 60.10% 3.29% -3.68% 0.51% 19 16
RSI20 cross above 25 21 3 66.67% 9.83% -2.43% 5.75% 2 1
RSI20 cross above 30 21 12 41.67% 11.59% -3.44% 2.82% 3 4
EMA200 21 73 71.23% 4.74% -5.08% 1.92% 9 4
EMA100 21 142 69.01% 3.88% -4.58% 1.26% 10 7
SMA50 21 187 64.17% 4.03% -3.85% 1.21% 10 4
NDX Benchmark 21 1000 61.50% 4.03% -4.31% 0.82% 23 12
RSI20 cross above 25 30 3 66.67% 9.87% -7.01% 4.24% 2 1
EMA200 30 73 76.71% 5.58% -5.12% 3.09% 16 4
RSI20 cross above 30 30 12 50.00% 12.11% -7.07% 2.52% 3 4
EMA100 30 142 73.24% 4.97% -5.57% 2.15% 14 7
SMA50 30 187 70.05% 4.79% -5.46% 1.72% 14 5
SMA100 30 135 71.11% 4.89% -6.35% 1.64% 12 5
EMA50 30 238 67.65% 4.84% -6.08% 1.30% 21 10
MACD (26, 12, 9) 30 232 62.93% 4.84% -5.29% 1.09% 13 5
NDX Benchmark 30 1000 63.80% 4.79% -5.51% 1.06% 40 14
RSI20 cross above 25 45 3 66.67% 15.20% -1.20% 9.73% 2 1
RSI20 cross above 30 45 12 50.00% 17.31% -7.92% 4.69% 3 4
EMA200 45 73 75.34% 6.73% -8.01% 3.10% 14 4
EMA100 45 142 73.24% 5.91% -5.99% 2.72% 24 7
SMA100 45 135 68.89% 6.34% -7.04% 2.18% 16 6
SMA50 45 187 71.12% 5.43% -7.25% 1.77% 18 6
MACD (26, 12, 9) 45 232 62.50% 6.39% -6.01% 1.74% 12 6
SMA20 45 340 62.94% 6.34% -6.41% 1.62% 16 10
WR14 cross above -80 45 378 65.87% 6.62% -8.33% 1.51% 22 14
KST 45 162 63.58% 5.88% -6.14% 1.50% 10 5
SMA25 45 301 64.12% 6.07% -6.69% 1.49% 16 10
NDX Benchmark 45 1000 63.90% 5.96% -6.50% 1.46% 38 26
SMA21 45 339 62.24% 6.18% -6.33% 1.46% 20 10

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Summary of Results – Technical Indicators (SPX)

The following table represents all the indicators that outperformed the benchmark for the relevant
holding period for SPX:
Strategy Holding Period # of Trades Win Rate (%) Avg Win (%) Avg Loss (%) Average Return (%) Max Win Streak Max Loss Streak
RSI20 cross above 25 7 6 83.33% 3.09% -3.63% 1.97% 5 1
RSI14 cross above 25 7 13 76.92% 2.17% -5.94% 0.30% 6 1
SMA20 7 338 59.76% 1.66% -1.85% 0.25% 12 6
SMA200 7 82 63.41% 1.76% -2.39% 0.24% 12 4
SMA21 7 326 58.90% 1.67% -1.83% 0.23% 17 7
EMA200 7 86 61.63% 1.67% -2.08% 0.23% 14 5
SMA100 7 144 56.25% 1.82% -1.82% 0.23% 7 4
SPX Benchmark 7 1000 58.30% 1.74% -1.88% 0.23% 22 8
RSI20 cross above 25 10 6 50.00% 3.89% -2.57% 0.66% 2 2
SMA100 10 144 64.58% 1.87% -2.45% 0.34% 9 4
EMA100 10 164 61.59% 2.04% -2.43% 0.32% 10 6
SPX Benchmark 10 1000 60.80% 1.95% -2.25% 0.31% 17 9
RSI20 cross above 25 14 6 66.67% 3.67% -1.23% 2.03% 2 1
SMA100 14 144 58.33% 2.38% -2.21% 0.47% 11 6
SPX Benchmark 14 1000 62.50% 2.27% -2.67% 0.42% 19 10
RSI20 cross above 25 21 6 100.00% 5.11% 5.11% 6 0
EMA100 21 164 63.41% 2.96% -2.92% 0.81% 13 5
SPX Benchmark 21 1000 62.40% 2.84% -3.18% 0.57% 26 12
RSI20 cross above 25 30 6 66.67% 7.21% -0.84% 4.52% 3 1
RSI14 cross above 30 30 57 63.16% 5.27% -4.69% 1.60% 5 4
EMA100 30 164 66.46% 3.43% -3.66% 1.05% 15 7
SPX Benchmark 30 1000 65.20% 3.38% -4.20% 0.74% 38 18
RSI20 cross above 25 45 6 83.33% 6.80% -3.08% 5.15% 3 1
RSI14 cross above 30 45 57 68.42% 5.83% -4.80% 2.47% 10 4
SMA200 45 82 63.41% 5.10% -5.22% 1.32% 10 6
EMA100 45 164 64.63% 4.36% -4.61% 1.19% 17 11
RSI20 cross above 30 45 18 55.56% 5.78% -4.57% 1.18% 5 3
EMA200 45 86 63.95% 4.46% -4.91% 1.08% 13 7
CCI20 cross above -100 45 235 66.38% 4.52% -5.76% 1.07% 22 8
SPX Benchmark 45 1000 64.90% 4.12% -4.71% 1.02% 38 20

Optimal Holding Periods

To provide insights into the best technical indicators, we tested each indicator against multiple holding
periods. We looked for holding periods that provided the largest outperformance to the benchmark.
The measure of the deviation between the benchmark return for a holding period and the average
return for all indicators in the holding period, gives an indication as to which holding periods are best
suited for the technical indicators mentioned in this report.

NDX:

Holding Period NDX Benchmark Average Outperformance

Indicator Return
21 0.82% 1.43% 0.61%
30 1.06% 1.64% 0.58%
45 1.46% 1.80% 0.34%
14 0.51% 0.62% 0.11%
10 0.31% 0.41% 0.10%
7 0.28% 0.34% 0.06%

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SPX:

Holding Period SPX Benchmark Average Outperformance

Indicator Return
30 0.74% 1.28% 0.54%
21 0.57% 0.96% 0.39%
45 1.02% 1.29% 0.27%
14 0.42% 0.52% 0.12%
10 0.31% 0.34% 0.03%
7 0.23% 0.25% 0.02%

The data concludes that for both indices, the 21 and 30-day holding periods for trading indicators
provide the highest outperformance relative to their benchmarks.

Option Strategy Performance Backtest

The Technical Analysis backtest highlighted the indicators that provided the best performance for each
holding period. Using this information, we tested 4 of the most popular indicators to examine how
well they performed relative to a buy and hold investment strategy of NDX and SPX. Additionally, our
backtest was designed to give investors insights into the optimal expiration dates and strike prices to
choose for each strategy.

The first step was to calculate a benchmark return. This was calculated by simply buying the index
start date of the backtest and holding it until the end of the backtest. An annualized return was
calculated from this method which acted as the benchmark for the options strategies to beat. The
options strategies were then tested with various expiration dates and strike prices when a technical
indicator generated a buy signal. Only bullish options strategies were used for the backtest – Long Call,
Short Put, Call Debit Spread, and Put Credit Spread.

In total, 210 tests were completed using different parameters on all four strategies. Of the 210 tests,
65 outperformed their respective benchmarks for NDX and SPX (displayed in the Strategy Performance
section). This backtest allows investors to view how different strike prices and expirations performed
in an equal setting for varying strategies. Additionally, the backtest highlights important statistics for
investors to consider when designing a trading plan using options strategies.

Calculation of Benchmark Returns:

Index Start End Days Total Return Annualized Return

SPX $ 1,244.78 $3,733.27 8032 299.91% 5.12%
NDX $ 1,903.00 $12,888.28 8032 677.26% 9.08%

Note: NDX had a much higher annualized return benchmark which set a higher bar for each options
strategy to outperform the NDX.

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Option Strategy Backtest Observations
Some of the conclusions that we can draw from the backtesting data are as follows:

• Buying “Out of the Money” Calls provided the highest absolute return and had the largest
volatility and risk. This high return strategy saw most trades ending in a loss (60-65%) with a
few large “home runs” to turn the strategy profitable. It also suffered through a streak of 27
consecutive losing trades.
• Buying “In-the-Money” Calls had a slightly lower absolute return compared to OTM calls but
had far more stable returns with 62% winners, the biggest win streak of 17 consecutive
trades, and a losing streak of only 8.
• Buying Call Debit Vertical Spreads, provided absolute returns that were almost as high as
buying OTM calls with far less risk and a 60% win rate. This strategy combines the best of
both worlds, with higher returns similar to OTM calls and win rates similar to ITM calls.
• Short Puts had the highest win rate of any strategy of 80-81%. However, this was the
strategy with the lowest average absolute return of 5-7%. Additionally, only the Short Put on
SPX was able to outperform the benchmark. NDX’s best performing short put strategy of
6.76% annualized return outperformed SPX, but not its benchmark.
• Selling Put Credit Vertical Spreads provided a win rate similar to selling puts with a better
absolute return. This strategy won over 77% of trades and suffered only four consecutive
losing trades with a winning streak of 26 consecutive trades.

These data points solidify our belief that no single strategy is “best” for traders. Each strategy
provides a trade-off. A higher return strategy simply comes with less risk and an increased chance of
a large string of losses, while higher probability of success strategies have a lower but more stable
return. The overwhelming evidence shows that using multileg option strategies such as Debit and
Credit vertical spreads, allows investors to combine the best of both worlds. Both multileg strategies
help investors achieve higher absolute returns with lower amounts of risk and better win rates.

Nasdaq-100 vs. S&P 500 Option Strategy Performance

While option strategies on the two indices were similar in performance, the Nasdaq-100 did have
higher performance overall across the four strategies. The S&P 500 was only able to beat the
Nasdaq-100 when buying Out of the Money calls by 18bps, a minimal margin.

• Buying “Out-of-the-money” Calls

o SPX outperformed NDX. 13.92% vs. 13.74% respectively.
• Buying “In-the-money” Calls
o NDX outperformed SPX. 11.68% vs. 11.28% respectively. However, NDX notched 17
consecutive wins vs. 13 for SPX.
• Buying Call Debit Vertical Spread
o NDX outperformed SPX. 13.70% vs. 12.31% respectively. Moreover, NDX had a
higher win streak vs. losing streak, whereas SPX suffered a higher losing streak than
its biggest win streak.
• Selling Puts
o NDX outperformed SPX. 6.76% vs. 5.87% respectively. Both indices had a similar win
rate, but NDX did suffer through a longer win streak of 6 vs. 3 for SPX.
• Selling Put Credit Vertical Spreads
o NDX outperformed SPX. 9.87% vs. 9.21% respectively. NDX had a slight edge in win
rates of 77.4% vs. 75% for SPX. Additionally, both NDX and SPX had a very low
consecutive losing streak of only 5 trades.

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Strategy Performance Data
For each options strategy, different variations of days to expiration and Deltas were used. For each
variation, the backtest produced the best performing indicator for both indices displayed in the tables
below and are sorted based on annualized return.

Abbreviations:

• DTE – Days to Expiration

• HP – Average Holding Period

NDX (Benchmark: 9.08% Annualized Return)

Indicator Strategy DTE Delta Total Annual Annual Best Worst Average Win Rate Win Loss HP
Target Target Trades Return Volatility Trade (%) Trade (%) Trade (%) (%) Streak Streak
EMA Long Call 30 0.3 139 13.74% 46.08% 779.20% -99.79% 9.99% 39.57% 6 27 25
100
EMA 50 Long Call 30 0.5 231 12.43% 27.71% 539.06% -99.93% 5.09% 49.35% 7 11 25

EMA 50 Long Call 30 0.7 231 11.68% 19.41% 431.89% -99.93% 4.34% 62.34% 17 8 26

EMA Long Call 30 0.7 139 11.57% 19.57% 431.89% -99.79% 6.44% 66.91% 10 7 26
100
EMA Long Call 30 0.3 73 11.45% 50.07% 857.23% -99.56% 11.38% 35.62% 4 11 25
200
SMA Long Call 30 0.3 131 11.44% 42.28% 737.04% -99.79% 7.11% 38.17% 5 14 26
100
MACD Long Call 30 0.3 227 11.37% 42.61% 1098.38% -99.76% 4.14% 33.48% 4 9 25

SMA 50 Long Call 30 0.5 181 10.64% 27.82% 539.06% -99.93% 4.43% 50.28% 13 8 26

SMA 50 Long Call 45 0.7 181 9.77% 15.30% 227.50% -99.70% 3.64% 62.98% 14 6 29

MACD Long Call 60 0.7 227 9.13% 13.32% 239.67% -99.93% 2.51% 53.74% 12 9 30

Indicator Strategy DTE Delta Total Annual Annual Best Worst Average Win Rate Win Loss HP
Target Targets Trades Return Volatility Trade (%) Trade (%) Trade (%) (%) Streak Streak
EMA Debit 30 0.5/0.2 139 13.70% 24.20% 537.14% -100.00% 9.91% 60.43% 10 7 25
100 Spread
EMA 50 Debit 30 0.5/0.2 231 13.22% 22.58% 224.12% -100.00% 6.00% 54.11% 9 11 25
Spread
SMA 50 Debit 30 0.5/0.2 181 12.04% 22.51% 224.12% -100.00% 5.98% 52.49% 13 8 26
Spread
MACD Debit 30 0.5/0.2 227 11.85% 22.98% 225.54% -100.00% 4.59% 48.46% 10 6 26
Spread
SMA Debit 30 0.5/0.2 131 10.20% 23.76% 222.70% -100.00% 5.41% 55.73% 8 14 26
100 Spread
SMA 50 Debit 60 0.5/0.2 181 9.66% 15.07% 167.01% -100.00% 3.55% 61.88% 14 6 29
Spread
MACD Debit 60 0.5/0.2 231 9.53% 15.40% 167.01% -100.00% 2.70% 58.44% 13 15 30
Spread

Indicator Strategy DTE Delta Total Annual Annual Best Worst Average Win Win Loss HP
Target Targets Trades Return Volatility Trade (%) Trade (%) Trade (%) Rate (%) Streak Streak
SMA 50 Credit 30 0.25/0.45 181 9.87% 23.66% 100.00% -275.94% 3.72% 77.35% 20 5 25
Spread
EMA 50 Credit 30 0.25/0.45 231 9.84% 28.50% 100.00% -887.86% 2.89% 77.49% 21 6 25
Spread

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SPX (Benchmark: 5.12% Annualized Return)
Indicator Strategy DTE Delta Total Annual Annual Best Worst Average Win Win Loss HP
Target Target Trades Return Volatility Trade (%) Trade (%) Trade (%) Rate (%) Streak Streak
EMA Long 30 0.3 164 13.92% 35.63% 544.74% -99.57% 9.48% 34.76% 9 22 25
100 Call
CCI -100 Long 30 0.3 230 12.59% 38.79% 747.31% -99.70% 5.37% 35.22% 5 26 26
Call
EMA Long 30 0.7 164 11.28% 16.50% 188.31% -99.89% 5.49% 58.54% 13 8 26
100 Call
CCI 100 Long 30 0.5 363 10.39% 22.51% 408.33% -99.82% 2.13% 45.18% 7 13 26
Call
CCI -100 Long 30 0.7 230 10.11% 17.54% 210.55% -99.93% 3.13% 53.91% 8 8 27
Call
CCI 100 Long 30 0.7 363 9.66% 15.78% 231.59% -99.88% 1.81% 55.65% 11 10 26
Call
EMA 50 Long 30 0.7 225 7.88% 16.23% 178.87% -99.89% 1.87% 55.11% 9 8 26
Call

Indicator Strategy DTE Delta Total Annual Annual Best Worst Average Win Win Loss HP
Target Target Trades Return Volatility Trade (%) Trade (%) Trade (%) Rate (%) Streak Streak
EMA Short 45 0.45 164 5.87% 23.68% 99.71% -421.59% 1.47% 81.10% 30 3 29
100 Put
EMA Short 60 0.5 164 5.81% 19.38% 95.59% -335.51% 1.45% 77.44% 27 3 29
100 Put

Indicator Strategy DTE Delta Total Annual Annual Best Worst Average Win Win Loss HP
Target Targets Trades Return Volatility Trade (%) Trade (%) Trade (%) Rate (%) Streak Streak
CCI 100 Debit 30 0.5/0.2 363 12.31% 20.69% 196.30% -100.00% 3.24% 51.79% 8 12 26
Spread
EMA Debit 30 0.5/0.2 164 12.28% 20.93% 181.93% -100.00% 6.78% 54.88% 9 11 26
100 Spread
CCI -100 Debit 30 0.5/0.2 230 11.79% 22.01% 211.72% -100.00% 4.53% 48.70% 8 10 26
Spread
EMA Debit 60 0.5/0.2 164 9.86% 13.99% 127.91% -99.51% 4.01% 55.49% 13 11 29
100 Spread
CCI -100 Debit 60 0.5/0.2 230 9.55% 14.67% 141.32% -100.00% 2.76% 53.48% 10 10 30
Spread
EMA 50 Debit 30 0.5/0.2 225 9.40% 21.65% 234.90% -100.00% 2.69% 50.22% 9 8 26
Spread
CCI 100 Debit 60 0.5/0.2 363 8.80% 12.99% 125.84% -100.00% 1.48% 55.10% 19 12 29
Spread

Indicator Strategy DTE Delta Total Annual Annual Best Worst Average Win Win Loss HP
Target Targets Trades Return Volatility Trade (%) Trade (%) Trade (%) Rate (%) Streak Streak
EMA Credit 30 0.25/0.45 164 9.21% 26.53% 100.00% -290.29% 3.45% 75.00% 26 4 25
100 Spread
CCI -100 Credit 30 0.25/0.45 230 7.91% 27.27% 99.87% -307.79% 1.86% 72.17% 23 8 26
Spread
EMA 50 Credit 30 0.25/0.45 225 7.18% 28.10% 100.00% -335.67% 1.56% 73.33% 21 7 26
Spread
EMA Credit 60 0.25/0.45 164 7.16% 18.51% 100.00% -270.88% 2.09% 72.56% 15 4 29
100 Spread
CCI 100 Credit 30 0.25/0.45 363 7.01% 28.71% 98.57% -526.96% 0.94% 72.45% 20 6 26
Spread
CCI -100 Credit 60 0.25/0.45 230 6.27% 18.59% 100.00% -292.75% 1.21% 68.26% 16 7 30
Spread
CCI 100 Credit 60 0.25/0.45 363 6.21% 18.07% 99.48% -357.97% 0.76% 68.87% 20 6 29
Spread

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Optimal Option Strategy Parameters
Using the data from our backtest, we can also extract the optimal parameters for expiration dates
and strike prices for each option strategy. We have listed those observations below for investors to
understand where to start their research when trading these option strategies:

Optimal Long Call

• 30 Days to Expiration
• 70 Delta (In the Money)

Optimal Short Put

• 45 Days to Expiration
• 45 Delta (At the Money)

Optimal Long Call Debit Vertical Spread

• Buy 50 Delta Call (Slightly In the Money)
• Sell 20 Delta Call (Out of the Money)

Optimal Short Put Credit Vertical Spread

• 30 Days to Expiration
• Sell 45 Delta Put (At the Money)
• Buy 25 Delta Put (Out of the Money)

Summary
Our technical analysis and options strategy backtest was designed to provide investors with a clear
understanding of how to extract the best performance for the major indices with options. Using this
data, we can convincingly conclude that technical analysis has the power to outperform a buy-and-
hold investing strategy. Additionally, when applying the optimal parameters for the four options
strategies that we tested, one can achieve even higher risk-adjusted returns than buying an ETF to
invest in the index. Moreover, we can confirm that option strategies on the Nasdaq-100 Index provide
higher absolute return over similar strategies on the S&P 500 with 4 of the 5 tested strategies. Lastly,
we can confidently say that there is no single options strategy that performed “best.” Each strategy
has its benefits and trade-offs, and our backtest provide insights into both, so that investors can select
the appropriate strategy based on their risk profile.

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