
226: Does Adding a "Trend Filter" Improve Directional Option Selling Strategies?
The Option Alpha Podcast
How to Improve Your Trend Trading Strategy
In test number C, we sold short put spreads but only sold them when the symbol was above and it's 200 day moving average. The return on capital went from 63.3% with the trend filter to 74.3%. Kager went from 3.1 to 3.5, drawdown went from negative 24.1 to negative 22.9. So again, another really nice improvement in the max drawdown. If you don't sell put spreads right before the market takes a little tank or a little retracement or pullback, you probably improve the performance of the strategy.
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