the system is such that you look at a price for each day, and when the current price either hits a high for the past 20Ds or a low, that is the entry signal for a trend. Depending on which you purchase a Call (for a high) or Put (for a low). For each entry there are two exits. One assumes you are wrong about the impending trend and gets you out. This is the 2ATR (2x Average True Range (more here: https://en.wikipedia.org/wiki/Average_true_range)with Range = 20days). The second assumes you were correct and you want the trend to ride. You let it ride until it basically hits a point where it hits a low based on the previous ten days of prices (on a chart it would look like you missed the "top" of the trend by a few days, but in theory still keeps you in the profitable zone). It also has criteria for a secondary entry/exit points in case someone implementing the system misses the first entry point, but I am ignoring those at the moment in my stuff.
This is the basic system discussed through the story of the book. I've taken it a step further and am applying it to a list of symbols that i feel are liquid options (list is below - based on a study I did where I evaluated Bid/Ask Spread and maximum Volume, I'm currently looking at others to add).
It's been an interesting thing to play with. For example, on Friday it flagged a put for KMI that has been riding with success (currently up 50%), JPM that has been bouncing between profitable and not (currently at 5%). Today it flagged AAPL (up 3%) and SPY (currently up 9%).
Been fun to implement if nothing else, just curious what others have looked at criteria wise.
tickers=['AAPL','ALTR','BABA','BAC','F','GE','HPQ','INTC','JPM','KMI','MGM','MU','PFE','QCOM','T','UAL','DXJ','DIA','EFA','EWZ','IWM','QQQ','SPY','EEM','FXI','GDX']
Is it this? I found a bunch of other books here.