Does Trend-Following Still Work on Stocks?
This study revisits Wilcox and Crittenden’s 2005 work on trend following in stocks, analyzing 66,000+ trades from 1950–2024. Results confirm that less than 7% of trades drive profitability, with strong out-of-sample performance (2005–2024). A backtested portfolio shows high gross returns but faces turnover challenges. A Turnover Control algorithm mitigates costs, making the strategy viable across portfolio sizes after fees.