Buy / Write - Lately I have been chasing the GDXJ with near month buy writes a bit below the price where the calls are fat and I have a point or so of upside. If the stock moves up, I add to ithe position with higher buy/writes.  As GDXJ moves up each lower position maxes out but provides downside protection as the position grows. When the expiration arrives, I roll out the calls reasonably close to the price to the next month and let the lower positions cash out.

I have considered using Matt's higher low technique as a trigger to write a higher position so that I take in money as the price moves up and gradually increase my position with as I have downside protection. I result of all this is that I end up a larger position if the price moves up than I would normally be comfortable with. If the price turns down, I can likely rewrite some of the positions and stop out some others.