CME Backtesting (from 5/21 to 8/22/07):
- 15 trades (8 bullish, 7 bearish)
- 8 Profits (57%)
- 6 Costs (43%)
- Ratio Profit:Cost = 10:1
- Longest Trade Duration = 8 days
- Shortest Trade Duration = 2 days

CME Notes:
- Buy front monthunles it's 5 trading days before expiration, then next month out
- 2-3 strikes OTM
- 1 contract for CME

I love trading CME, but you sometimes have to have a strong stomach to take the big moves it has. Setting stops too close can cause you to be taken out too early if you are trading the trend. I like buying strikes 2-3 strikes OTM because of the cost of the options. I like to pay between $4-15 for a contract. Normally I won't want to pay more than $10-11, though. When I buy 2-3 srikes OTM, my target puts my OTM options ITM by the time the stock reaches the target.

You need to be able to read the chart properly. This is the stock is the stock I get the greatest ROI cosistently on, but it means to not sit and watch the stock all day long. However, in these highly volatile markets, some daytrading may be in order.
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