A lot of the efficacy of this depends on when you started.
The S&P500 total return last year (2013) was 32.39%. The year before (2012), 16%. [1] The two year annualized: 23.92% which is really near your 24% compounded. Weekly trading sounds like a lot of transaction cost for not much alpha. It sounds like you are doing better this year-to-date, but be careful drawing conclusions on a system when the market is going gangbusters.
Does this strategy involve a lot of covered calls? That would seem to fit better returns in flat/down markets and lesser in raging markets (since you'd be taken out early).
The strategy performs optimally in markets that are flat to +-5% on a given year. Last year's 32% gain in the S&P 500 was essentially the nightmare year and yielded 6%. 2008 would have been a nightmare year and yielded around the same. The strategy involves selling strangles with European contracts with portfolio margin using algorithms to determine a 95% likelihood of contracts expiring OTM, with a couple dozen adjustment techniques that occur if the 5% scenario plays out.
The S&P500 total return last year (2013) was 32.39%. The year before (2012), 16%. [1] The two year annualized: 23.92% which is really near your 24% compounded. Weekly trading sounds like a lot of transaction cost for not much alpha. It sounds like you are doing better this year-to-date, but be careful drawing conclusions on a system when the market is going gangbusters.
Does this strategy involve a lot of covered calls? That would seem to fit better returns in flat/down markets and lesser in raging markets (since you'd be taken out early).
[1] http://en.wikipedia.org/wiki/S%26P_500