I can't find my internet files on the 6/3 Options. Once candidates are found, purchase ~6-month-to-expiry slightly OTM Call options and sell at ~3-months-til-expiry?

My approach for the last 24 years has been:
Use the VL Timeliness 1+2 stocks (400 stocks) as a starting point.
Remove the 10% (40 stocks) with highest 5 day return.
Rank the remaining stocks by RRS126-2s. This means ranking by regression relative strength over the last six months, minus 2* price volatility over the last 12 months. i.e. looking for stocks with high price momentum and relatively low volatility.
Select the 5 highest ranking stocks that have options available and for which I don't already own call options.
For each stock select a call option that is 0 to 10% OTM (closer to 10% is better) and has an expiry 6 to 8 months away.
Invest a total of 1/9 of the portfolio in these five options. Sell the options exactly three months after purchase, and repeat.
This is done every month on the week after option expiration. Over a three month cycle about 1/3 of the portfolio is invested in options. The rest is held in cash or something close to cash.

Elan

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