226: Does Adding a "Trend Filter" Improve Directional Option Selling Strategies?
The Option Alpha Podcast
The Difference Between Strategy a and Strategy B in Gold Short Call Spreads
strategy A still outperformed, which would actually suggest in some cases that including the trend filter again for the GLD short call spread, did not improve the performance of the strategy. Strategy B had lower win rates across the board than strategy number A and significantly less trades. With no trend filter, you had 208 trades and an 82.2% win rate. When you implemented a trend filter,You had 113 trades at a 77.9% win rate,. Okay, so we're through GLD now, that's gold. Now TLT is bonds, so we wanted to test gold, bonds, broad markets, just get a little bit of variation in our testing to make sure we're
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