Summary
Winton Capital’s research team, including founder David Harding, tests trend-following systems on a portfolio of large futures markets from the mid-1980s.
Trend following remains effective at forecasting price moves, but the fastest systems show a significant and persistent decline. Slower trends hold up.
Source
- Title
- Historical Performance of Trend Following
- Author
- Jonathan Duke, David Harding and Kate Land
- Year
- 2013
- Published by
- Winton Capital Management working paper
- Length
- 7 pages
- File
- PDF · 365 KB