CL Netzero, Portfolio Trading, Directional Filtering, Solving Data Overload

Note: Jump to 03:45 in the video

Chris Gursansky’s 46-30-(Net Positive), 100 DTE, /CL Options Study

Entry:

  • The last touch of 20 Period Donchian (Price) Channel was on the upside (this was verified by Chris after the meeting)
  • First expiration more than 100 DTE
  • Put Broken Wing Butterfly
  • Upper and Middle strikes nearest to 46 and 30 Delta
  • Lower strike at the first strike that gives you a net positive Delta (around 14 Delta)

Exit:

  • When short is <20 or >50 Delta
  • No profit target or minimum DTE

Portfolio trend/momentum study:

This is an early stage study of directional trend and momentum filtering on a basket of low correlation assets. The chart below is for the underlying signals only. I highly suspect that converting this to cash-secured short premium will improve results.

The basket includes GLD, TLT, SPY, SLV, IWM, and DTO. (I forgot to include USO.)

Plain English description: If above the 200-day average, then buy the 20-day upper Price/Donchian channel. Share size = 10,000/Channel Height, representing a 10,000 stop loss at the other side of the channel.

This study was completed using Portfolio Maestro inside of Tradestation. EasyLanguage Code:

Inputs: 
LB(10);

Vars:
udc(0),
ldc(0),
size(0);

udc = highest(h,lb)[1];
ldc = lowest(l,lb)[1];
size = 10000/(udc-ldc);


if C > average(c,200) then Buy size shares next bar udc stop;
Sell next bar ldc stop;