3. The Objectives of the 3D Channeling Strategy
• Use the statistical benefits of LRC Channel
• Maintain positions on both sides of the market
• Reduce draw down in extended cycles
• Increase theta decay by holding contracts
closer to expiration
• An entirely systematic strategy
• Reduce Gamma and Vega exposure with
double diagonals
4. The Back Testing Team
• Cesar Huaman
• Roland Smitas
• Chris Stockton
• Dave Stewart
• Preston Girard
• Jerry Roberts
• Jeff Thompson
• Joe Moore
• Andrew Falde
• Vincent Jean
• Ken Brandeu
5. The Data
• June 2012 was the launch of multiple weekly
expirations in SPX
• This is a relatively new opportunity and we
have just enough data to build a strategy using
these contracts
• Ideally, a back test includes many market
conditions. We saw mostly rally with one 9%
correction in the fall of 2012.
7. The Modified Channel
• Rounded to $10 increments
• Exported to Excel
• Back tested ten versions (so far)
8. Results
• 150% on max margin
• Close to 200% on max risk
• Over 7 times max draw down
These are hypothetical results; simulated using historical data.
9. Benefits of the Strategy
• The 3D Channeling strategy adapts to the
trends, maintains a statistical bias, and benefits
most from sideways markets
Statistical
(Contrarian)
Trend Neutral
•LRC Credit Spreads
•SwingSET
•Iron Condors
•Double Diagonals
•Momentum
•Directional
10. Continued Development
• We have begun the third and final round of
planned back testing of the 3D Channeling
Strategy.
• The end result will actually be a few versions
that can be traded based on individual
preferences and account size.
11. How to Learn 3D Channeling
• Start with LRC Credit Spreads course that will
become available later this month
• Email me
– andrew@lessthanrandom.com
– afalde@smbcap.com
• Subscribe for free at lessthanrandom.com for
back test reports and training announcements
