Yes and no, that's the problem. Direction is decided upon range of trend following systems and this is backtested. When it comes to options, I plug in current numbers (volatility, days to expiration, distance to strike) to my model and look what would have happened if I bought only such options/spreads. Only if equity in last 10 years is good enough, I make a trade.Quote from EliteTraderNYC:
Were you able to backtest this? What do the results show?