Example of Trend Following /GC Using Options

In this session, we walk through a trade-by-trade study of using GC options on the underlying 30-period Donchian (Price) Channel.

Looking back, I would have picked a period of time that had more losers because this specific study makes it look like you can almost never lose. Either way, this session shows you the process of cranking out studies using a list of signals. We discuss how to make sure the fill-price of the study is reasonable, what to do with missing/bad data, why the options technique turns the mediocre signals into a solid series of trades, and more.

We also briefly review the portfolio benefits of using multiple markets for this specific strategy.

Chat Log:

00:01:50 derek clemens: yep
00:01:52 Preston: Yes, the majority
00:06:06 Preston: Good luck!
00:20:20 derek clemens: what exit criteria do you have on this?
00:27:30 derek clemens: thank you
00:45:53 Jon: Take it off 16:10
00:46:25 derek clemens: dont tell falde your breaking the rules of the backtest!
00:46:44 Jon: Ha!
00:47:25 Jon: When you said the matrix was blank
00:47:37 Preston: Sorry, are you looking for early exits based on how far it moves?
00:47:50 Preston: Oh I see
00:49:33 Preston: Sure, that makes sense. Thanks.
01:00:26 Jon: Andrew can you please get into a short discussion about the views expressed earlier about liquidity. I read your remarks and tend to agree – it was difficult to understand the other side.
01:13:39 Preston: Thanks, Andrew