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ITS - Index Trading System

SPDRs (SPY) Trading System Past Performance

Trading system, SPY trading system, trading, SPY

SPY - 2008 Year

(real-time monitored trading system results)

Signal Open Date Open Price Close Date Close Price Return Compound
Return		 Margin
Compound
Return
Short 9/5/2008
09:34		 $123.5 9/5/2008
11:51		 $123.04 0.37%   2.89%   3.87%  
Short 9/2/2008
12:26		 $129.21 9/2/2008
12:51		 $129 0.16%   2.51%   3.10%  
Long 9/2/2008
09:34		 $130.14 9/2/2008
12:26		 $129.21 -0.71%   2.34%   2.77%  
Long 8/26/2008
09:45		 $127.29 8/28/2008
15:35		 $130.05 2.17%   3.08%   4.26%  
Long 8/22/2008
09:34		 $128.81 8/25/2008
14:26		 $127.23 -1.23%   0.89%   -0.08%  
Short 8/18/2008
14:35		 $127.96 8/19/2008
15:45		 $126.99 0.76%   2.14%   2.44%  
Short 8/13/2008
09:51		 $128.41 8/15/2008
14:15		 $129.68 -0.99%   1.37%   0.91%  
Short 8/7/2008
15:05		 $127.24 8/8/2008
13:36		 $129.43 -1.72%   2.39%   2.94%  
Long 8/5/2008
10:02		 $126.44 8/6/2008
10:25		 $128.06 1.28%   4.18%   6.61%  
Long 7/29/2008
10:10		 $124.87 7/31/2008
15:13		 $128.04 2.54%   2.86%   3.95%  
Long 7/23/2008
14:07		 $128.16 7/25/2008
11:26		 $125.82 -1.83%   0.32%   -1.07%  
Long 7/23/2008
09:31		 $127.91 7/23/2008
11:57		 $128.1 0.15%   2.18%   2.67%  
Short 7/21/2008
10:26		 $126.4 7/23/2008
09:31		 $127.91 -1.19%   2.03%   2.37%  
Long 7/16/2008
12:29		 $122.73 7/21/2008
10:26		 $126.4 2.99%   3.26%   4.88%  
Short 7/15/2008
10:09		 $120.16 7/16/2008
12:29		 $122.73 -2.14%   0.26%   -1.04%  
Long 7/1/2008
10:59		 $127.94 7/15/2008
10:09		 $120.16 -6.08%   2.46%   3.38%  
Short 6/26/2008
15:52		 $128.33 7/1/2008
10:59		 $127.94 0.30%   9.09%   17.69%  
Long 6/25/2008
09:45		 $132.25 6/26/2008
15:52		 $128.33 -2.96%   8.76%   16.98%  
Short 6/20/2008
15:26		 $131.77 6/23/2008
13:42		 $131.85 -0.06%   12.08%   24.36%  
Long 6/19/2008
15:57		 $134.66 6/20/2008
15:26		 $131.77 -2.15%   12.15%   24.51%  
Long 6/12/2008
13:26		 $135.11 6/17/2008
12:18		 $136.18 0.79%   14.61%   30.09%  
Long 6/4/2008
10:48		 $138.39 6/6/2008
10:27		 $138.89 0.36%   13.71%   28.06%  
Long 6/2/2008
13:41		 $138.4 6/3/2008
12:59		 $139.07 0.48%   13.30%   27.14%  
Long 5/27/2008
13:24		 $137.99 5/30/2008
12:43		 $140.52 1.83%   12.75%   25.92%  
Short 5/23/2008
14:24		 $137.83 5/27/2008
13:24		 $137.99 -0.12%   10.72%   21.47%  
Long 5/22/2008
13:24		 $139.65 5/23/2008
14:24		 $137.83 -1.30%   10.85%   21.75%  
Short 5/16/2008
14:26		 $142.23 5/20/2008
12:40		 $141.78 0.32%   12.32%   25.01%  
Long 5/8/2008
11:26		 $139.86 5/13/2008
13:26		 $140.19 0.24%   11.96%   24.22%  
Short 5/5/2008
11:26		 $140.67 5/7/2008
15:47		 $139.71 0.68%   11.70%   23.64%  
Long 4/24/2008
13:24		 $138.94 4/28/2008
10:33		 $139.97 0.74%   10.94%   21.98%  
Short 4/21/2008
13:24		 $138.53 4/24/2008
13:24		 $138.94 -0.30%   10.12%   20.19%  
Long 4/16/2008
10:26		 $135.21 4/21/2008
13:24		 $138.53 2.46%   10.45%   20.91%  
Short 4/15/2008
11:26		 $132.53 4/16/2008
10:26		 $135.21 -2.02%   7.80%   15.25%  
Long 4/14/2008
14:26		 $132.99 4/15/2008
11:26		 $132.53 -0.35%   10.03%   20.11%  
Short 4/11/2008
10:26		 $134.47 4/14/2008
14:26		 $132.99 1.10%   10.41%   20.94%  
Long 4/10/2008
15:57		 $135.92 4/11/2008
10:26		 $134.47 -1.07%   9.21%   18.34%  
Short 4/4/2008
11:26		 $136.92 4/7/2008
13:26		 $138.13 -0.88%   10.39%   20.92%  
Long 3/31/2008
11:27		 $131.98 4/4/2008
11:26		 $136.92 3.74%   11.37%   23.10%  
Short 3/28/2008
13:27		 $132.53 3/31/2008
11:27		 $131.98 0.42%   7.35%   14.52%  
Long 3/28/2008
10:27		 $132.9 3/28/2008
13:27		 $132.53 -0.28%   6.91%   13.58%  
Short 3/26/2008
14:27		 $133.8 3/28/2008
10:27		 $132.9 0.67%   7.21%   14.22%  
Long 3/18/2008
15:58		 $133.27 3/26/2008
14:27		 $133.8 0.40%   6.49%   12.70%  
Short 3/14/2008
10:29		 $129.72 3/18/2008
15:58		 $133.27 -2.74%   6.07%   11.81%  
Long 3/11/2008
14:29		 $130.46 3/14/2008
10:29		 $129.72 -0.57%   9.05%   18.28%  
Short 3/6/2008
13:29		 $131.68 3/11/2008
14:29		 $130.46 0.93%   9.68%   19.64%  
Long 3/5/2008
13:29		 $133.17 3/6/2008
13:29		 $131.68 -1.12%   8.67%   17.46%  
Short 2/27/2008
15:58		 $138.15 3/5/2008
13:29		 $133.17 3.60%   9.90%   20.15%  
Long 2/25/2008
10:29		 $135.96 2/27/2008
15:58		 $138.15 1.61%   6.08%   12.07%  
Long 2/20/2008
12:29		 $135.27 2/21/2008
15:29		 $134.55 -0.53%   4.39%   8.58%  
Short 2/14/2008
15:29		 $135.66 2/20/2008
12:29		 $135.27 0.29%   4.95%   9.74%  
Long 2/7/2008
14:29		 $134 2/11/2008
11:29		 $133.05 -0.71%   4.65%   9.12%  
Short 2/4/2008
15:58		 $137.91 2/7/2008
14:29		 $134 2.84%   5.40%   10.69%  
Long 1/31/2008
15:58		 $137.53 2/4/2008
15:58		 $137.91 0.28%   2.49%   4.75%  
Short 1/31/2008
15:29		 $137.96 1/31/2008
15:58		 $137.53 0.31%   2.21%   4.17%  
Long 1/23/2008
15:29		 $132.73 1/31/2008
15:29		 $137.96 3.94%   1.89%   3.53%  
Short 1/22/2008
11:29		 $130.84 1/23/2008
15:29		 $132.73 -1.44%   -1.97%   -4.04%  
Long 1/18/2008
14:29		 $131.97 1/22/2008
11:29		 $130.84 -0.86%   -0.53%   -1.18%  
Short 1/17/2008
12:29		 $134.92 1/18/2008
14:29		 $131.97 2.19%   0.33%   0.54%  
Long 1/16/2008
14:29		 $138.31 1/17/2008
12:29		 $134.92 -2.45%   -1.82%   -3.67%  
Long 1/9/2008
10:29		 $139.24 1/10/2008
11:29		 $140.14 0.65%   0.65%   1.29%  
@Index-Trading-System

SPY - 2007 Year

(back tested trading system results)

Signal Open Date Open Price Close Date Close Price Return Compound
Return		 Margin
Compound
Return
Short 12/27/2007
11:29		 $148.5 1/9/2008
10:29		 $139.24 6.24%   30.70%   68.88%  
Long 12/19/2007
11:29		 $145.7 12/27/2007
11:29		 $148.5 1.92%   23.02%   50.15%  
Short 12/11/2007
12:29		 $151.88 12/12/2007
10:29		 $150.79 0.72%   20.70%   44.59%  
Short 12/3/2007
12:29		 $148.27 12/5/2007
14:29		 $148.09 0.12%   19.84%   42.55%  
Long 11/23/2007
12:29		 $144.14 12/3/2007
12:29		 $148.27 2.87%   19.70%   42.20%  
Short 11/15/2007
14:29		 $146.12 11/23/2007
12:29		 $144.14 1.36%   16.37%   34.49%  
Long 11/12/2007
13:29		 $146.15 11/15/2007
14:29		 $146.12 -0.02%   14.81%   30.95%  
Short 11/7/2007
12:29		 $149.98 11/12/2007
13:29		 $146.15 2.55%   14.83%   31.00%  
Long 11/6/2007
15:29		 $151.5 11/7/2007
12:29		 $149.98 -1.00%   11.97%   24.63%  
Short 11/1/2007
11:29		 $152.87 11/6/2007
15:29		 $151.5 0.90%   13.11%   27.19%  
Long 10/23/2007
10:29		 $151.35 11/1/2007
11:29		 $152.87 1.00%   12.10%   24.95%  
Short 10/19/2007
11:29		 $151.91 10/23/2007
10:29		 $151.35 0.37%   10.99%   22.49%  
Long 10/18/2007
15:57		 $153.87 10/19/2007
11:29		 $151.91 -1.27%   10.58%   21.59%  
Short 10/2/2007
11:29		 $154.24 10/5/2007
12:29		 $155.37 -0.73%   12.01%   24.77%  
Long 10/1/2007
15:57		 $154.42 10/2/2007
11:29		 $154.24 -0.12%   12.83%   26.62%  
Short 9/28/2007
10:29		 $152.54 10/1/2007
15:57		 $154.42 -1.23%   12.97%   26.92%  
Short 9/21/2007
15:29		 $152.51 9/25/2007
15:29		 $151.33 0.77%   14.38%   30.13%  
Short 9/14/2007
14:29		 $148.77 9/18/2007
14:29		 $150.71 -1.30%   13.50%   28.14%  
Long 9/11/2007
15:57		 $147.48 9/14/2007
14:29		 $148.77 0.87%   15.00%   31.58%  
Short 9/5/2007
15:57		 $147.53 9/11/2007
15:57		 $147.48 0.03%   14.00%   29.31%  
Long 8/30/2007
10:29		 $146.38 9/5/2007
15:57		 $147.53 0.79%   13.96%   29.23%  
Short 8/22/2007
13:29		 $145.71 8/30/2007
10:29		 $146.38 -0.46%   13.07%   27.23%  
Long 8/17/2007
12:29		 $143.6 8/22/2007
13:29		 $145.71 1.47%   13.60%   28.41%  
Long 7/31/2007
11:29		 $147.96 8/3/2007
11:29		 $146.35 -1.09%   11.95%   24.74%  
Short 7/26/2007
10:29