
226: Does Adding a "Trend Filter" Improve Directional Option Selling Strategies?
The Option Alpha Podcast
The Effect of Trend Trading on Short Put Spreads
When you implemented a trend trading filter on a short put spread, out of the money short put spread on SPY, you saw return on capital go to 63.3%. Compound annual growth rate was about the same at 3.1%. Maximum drawdown reduced to 24.1%. You saw this also with the profit factor going from 1.2 to 1.31. Sharp ratio went from 0.18 to 0.27. So pretty much across the board, you saw improvements in all of these performance metrics by implementing the trend trading filter.
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