This year, an article series in Active Trader is exploring the challenging process of designing a trading system — from picking markets, uncovering trade opportunities, testing and interpreting performance, controlling risk, and finally, trading with real money. The selected strategy identifies short-term pullbacks, or weakness, in daily prices of the S&P 500 tracking stock (SPY) and goes long in anticipation of a quick rebound. When picking markets, we dismissed stock options because of their complications — time value, strikeprice selection, and illiquidity. But this Options Lab tests whether the basic pullback pattern could be profitable by purchasing at-the-money (ATM) calls on the S&P 500 futures (SP) from March 2001 to March 2009. (For a test of E-Mini S&P 500 futures, see "Nerves of steel pullback system," Futures & Options Trader, October 2008.)