There was another post on RVE talking about the Dragon which I have also been interested in after reading Cole's paper. I went looking around to understand the long vol slice and stumbled on some videos that Patrick Ceresna did with George Gammon on youtube specifically about constructing the dragon. The two videos were about the commodities trend following and long vol. If you sign up for a free trial at big picture trading Patrick has a 2+ hour long video of him building a dragon portfolio step by step on his (I believe) brokerage account. I've been wanting to check out Big Picture Trading for a while as a fan of Macro Voices and this was finally my excuse for jumping in.
Commodities trend following: