Jan. 3, 2017

Options Backtesting Results

Historical average return: +$662.55 (backtested over 16.5 years)
Historical success probability: 46.6%

Summary

The Brazilian stock market is up 65% over the last year but down 40% over the past five years for U.S. investors (dollar denominated). Many are betting that the recent rally will continue as oil prices rebound and governmental reforms are promised by the new administration. The MSCI Brazil ETF (EWZ) currently offers the cheapest upside call spreads across macro equity markets. This trade has positive options backtesting results using historical data since 2000.

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