Covered Call & ES Momentum Trading Strategy

The Momentum &  Covered Calls Trading Strategy places swing trades on the Emini-S&P Futures.  It also sells out-of-money covered calls, to collect premium and help minimize losses should the market move against our position. This is traded in the S&P Crusher v2. The momentum algorithm (without the covered calls) is traded in The Swing Trader. This trading strategy can be traded stand-alone, however it is best traded as part of a larger portfolio of trading strategies as seen in the S&P Crusher or Swing Trader.

Our lead developer reviews the details of the Momentum & Covered Calls swing trading strategy in this video. Trading futures & options is not for everyone and involves substantial risk of loss.

Covered Call & ES Momentum Trading Strategy Features:

Places Swing Trades

This strategy places a relatively short term swing trade on the S&P 500 Emini’s. It can hold anywhere from 1 to 5 days. It buys when momentum is building and gets out when certain targets are hit.

Places Covered Call Trades

In addition to buying the S&P 500 Emini’s, it will also sell out of money weekly calls against that long position. This allows us to collect premium and in the event the market closes lower than our strike price, we keep that premium.

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Rigorously Back-Tested 15 Years

We back-test each of our algorithms over 15 years. View the back-testing detail on our system and each algorithm.

Traded Live

The Long futures algorithm has traded live since October 2015 in various portfolios offered by algorithmictrading.net. The covered calls are a newer feature and have traded live since October 2016.

Product Dashboard – Covered Call & Momentum Trading Strategy

The following data is taken from compiled back-tested Tradestation reports. 

Yearly Analysis (per $20,000 traded) 
Average % gain per year 40.24%
Average $ gain per year +$8,049
Monthly Analysis (per $20,000 traded)  
Average % gain per month +3.54%
Average $ gain per month +$709
Monthly win rate 66.21%
Trade Analysis (per $20,000 traded)  
Total Num Trades 1573
Trades With > 5% Loss 35
Trade Win Rate 78.39%
Packages Which Use the Momentum + Covered Calls Algorithm   
S&P Crusher v2 Yes
The Swing Trader Momentum Only (no calls)
Period Analyzed
Historical period analyzed May 1, 2003 – Oct 31, 2016
Slippage & Commission Used in Analysis
Commission used in all reports (Futures Trade) $6.50 per round trip trade (all-in)
Commission used in all reports (Options Trade) $20 per round trip trade (all-in)
Slippage used in all reports (ES) $12.50 per round trip trade
Draw-Down (per $10,000 traded)
Worst percent draw-down (closing trade to closing trade) -34.74%**
Period Seen 4/29/11-9/22/11
**Estimated draw-down based on back-testing data (see disclaimer, below). Note that heavier losses than indicated are possible.
Momentum (ES) + Covered Calls
Instrument traded Emini S&P 500 (ES) & Weekly Options (ES)
Outperforms during Sideways & Up moving markets
Ability to hold overnight Yes
Algorithm type Momentum Swing Trade & Covered Calls
Account Details
Minimum account size $20,000
Allocation 1 Contract per $20,000 in account
Number of algorithms traded 2 (momentum + covered calls)
Instrument traded ES + ES Weekly Options
Trades Futures Yes
Trades Options Yes
Account types allowed Cash, IRA, Roth IRA
Pricing
Licenses available Yes
Licensing fee Call or Contact Us for a quote

CFTC RULE 4.41: Results are based on simulated or hypothetical performance results that have certain inherent limitations. Unlike the results shown in an actual performance record, these results do not represent actual trading. Also, because these trades have not actually been executed, these results may have under-or over-compensated for the impact, if any, of certain market factors, such as lack of liquidity. Simulated or hypothetical trading programs in general are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to these being shown. This package trades both futures and options on futures. Backtesting an options algorithm poses many challenges due to the unknown estimates for premium collected. Depending on (among other things) market volatility, the premium collected when selling an option can vary greatly. In general, the higher the volatility, the more premium we might expect to collect. In addition, ES Weekly Options were not available to trade for the entire backtested period. All back-testing has limitations, however back-tested options algorithms have even more in our opinion due to the potential inaccuracies used in determining premium collected estimates. 

Covered Call & Momentum Trading Strategy Trade List: Trading $20,000 (1 Unit)

Data assumes $20,000 starting account, trading 1 Contract. Includes slippage & commission. Results are taken from compiled back-tested/hypothetical accounts which have limitations (see CFTC RULE 4.41 below).

CFTC RULE 4.41: Results are based on simulated or hypothetical performance results that have certain inherent limitations. Unlike the results shown in an actual performance record, these results do not represent actual trading. Also, because these trades have not actually been executed, these results may have under-or over-compensated for the impact, if any, of certain market factors, such as lack of liquidity. Simulated or hypothetical trading programs in general are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to these being shown. This package trades both futures and options on futures. Backtesting an options algorithm poses many challenges due to the unknown estimates for premium collected. Depending on (among other things) market volatility, the premium collected when selling an option can vary greatly. In general, the higher the volatility, the more premium we might expect to collect. In addition, ES Weekly Options were not available to trade for the entire backtested period. All back-testing has limitations, however back-tested options algorithms have even more in our opinion due to the potential inaccuracies used in determining premium collected estimates. 

Back-Tested Reports from Tradestation

Want to see more detail on how each algorithm performs? Download back-tested data for the F1-BullFire/Momentum ES. This report is for the swing trade element of this trading strategy. Email us for more details on the covered call element of this strategy. Estimates where used for premium collected using a look up table based on the VIX and day of the week the option was sold.

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AlgorithmicTrading.net provides trading algorithms based on a computerized system, which is also available for use on a personal computer. All customers receive the same signals within any given algorithm package. All advice is impersonal and not tailored to any specific individual's unique situation. AlgorithmicTrading.net, and its principles, are not required to register with the NFA as a CTA and are publicly claiming this exemption. Information posted online or distributed through email has NOT been reviewed by any government agencies — this includes but is not limited to back-tested reports, statements and any other marketing materials. Carefully consider this prior to purchasing our algorithms. For more information on the exemption we are claiming, please visit the NFA website: http://www.nfa.futures.org/nfa-registration/cta/index.html. If you are in need of professional advice unique to your situation, please consult with a licensed broker/CTA.

DISCLAIMER: Commodity Futures Trading Commission Futures trading has large potential rewards, but also large potential risk. You must be aware of the risks and be willing to accept them in order to invest in the futures markets. Don't trade with money you can't afford to lose. This is neither a solicitation nor an offer to Buy/Sell futures. No representation is being made that any account will or is likely to achieve profits or losses similar to those discussed on this website or on any reports. The past performance of any trading system or methodology is not necessarily indicative of future results.

Unless otherwise noted, all returns posted on this site and in our videos is considered Hypothetical Performance. HYPOTHETICAL PERFORMANCE RESULTS HAVE MANY INHERENT LIMITATIONS, SOME OF WHICH ARE DESCRIBED BELOW. NO REPRESENTATION IS BEING MADE THAT ANY ACCOUNT WILL OR IS LIKELY TO ACHIEVE PROFITS OR LOSSES SIMILAR TO THOSE SHOWN. IN FACT, THERE ARE FREQUENTLY SHARP DIFFERENCES BETWEEN HYPOTHETICAL PERFORMANCE RESULTS AND THE ACTUAL RESULTS SUBSEQUENTLY ACHIEVED BY ANY PARTICULAR TRADING PROGRAM. ONE OF THE LIMITATIONS OF HYPOTHETICAL PERFORMANCE RESULTS IS THAT THEY ARE GENERALLY PREPARED WITH THE BENEFIT OF HINDSIGHT. IN ADDITION, HYPOTHETICAL TRADING DOES NOT INVOLVE FINANCIAL RISK, AND NO HYPOTHETICAL TRADING RECORD CAN COMPLETELY ACCOUNT FOR THE IMPACT OF FINANCIAL RISK IN ACTUAL TRADING. FOR EXAMPLE, THE ABILITY TO WITHSTAND LOSSES OR ADHERE TO A PARTICULAR TRADING PROGRAM IN SPITE OF TRADING LOSSES ARE MATERIAL POINTS WHICH CAN ALSO ADVERSELY AFFECT ACTUAL TRADING RESULTS. THERE ARE NUMEROUS OTHER FACTORS RELATED TO THE MARKETS IN GENERAL OR TO THE IMPLEMENTATION OF ANY SPECIFIC TRADING PROGRAM WHICH CANNOT BE FULLY ACCOUNTED FOR IN THE PREPARATION OF HYPOTHETICAL PERFORMANCE RESULTS AND ALL OF WHICH CAN ADVERSELY AFFECT ACTUAL TRADING RESULTS.

With the exception of the statements posted from live accounts on Tradestation and/or Gain Capital, all results, graphs and claims made on this website and in any video blogs and/or newsletter emails are from the result of back-testing our algorithms during the dates indicated. These results are not from live accounts trading our algorithms. They are from hypothetical accounts which have limitations (see CFTC RULE 4.14 below and Hypothetical performance disclaimer above). Actual results do vary given that simulated results could under — or over — compensate the impact of certain market factors. Furthermore, our algorithms use back-testing to generate trade lists and reports which does have the benefit of hind-sight. While back-tested results might have spectacular returns, once slippage, commission and licensing fees are taken into account, actual returns will vary. Posted maximum draw downs are measured on a closing month to closing month basis. Furthermore, they are based on back-tested data (refer to limitations of back-testing below). Actual draw downs could exceed these levels when traded on live accounts.

CFTC RULE 4.41 - Hypothetical or simulated performance results have certain limitations. Unlike an actual performance record, simulated results do not represent actual trading. Also, since the trades have not been executed, the results may have under — or over — compensated for the impact, if any, of certain market factors, such as lack of liquidity. Simulated trading programs in general are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profit or losses similar to those shown.

Statements posted from our actual customers trading the algorithms (algos) include slippage and commission. Statements posted are not fully audited or verified and should be considered as customer testimonials. Individual results do vary. They are real statements from real people trading our algorithms on auto-pilot and as far as we know, do NOT include any discretionary trades. Tradelists posted on this site also include slippage and commission.

This strictly is for demonstration/educational purposes. AlgorithmicTrading.net does not make buy, sell or hold recommendations. Unique experiences and past performances do not guarantee future results. You should speak with your CTA or financial representative, broker dealer, or financial analyst to ensure that the software/strategy that you utilize is suitable for your investment profile before trading in a live brokerage account. All advice and/or suggestions given here are intended for running automated software in simulation mode only. Trading futures is not for everyone and does carry a high level of risk. AlgorithmicTrading.net, nor any of its principles, is NOT registered as an investment advisor. All advice given is impersonal and not tailored to any specific individual.

* Published percentage per month is based on back-tested results (see limitations on back-testing above) using the corresponding package. This includes reasonable slippage and commission. This does NOT include fees we charge for licensing the algorithms which varies based on account size. Refer to our license agreement for full risk disclosure.