Download This PaperThe Effective Win Rate of Trend-Following Strategies
3 Pages Posted: 7 Mar 2023
Date Written: February 27, 2023
Abstract
I provide a method for estimating the effective win rate of trend-following strategies so that fair comparisons can be made with higher-frequency methods. As trend-following strategies make money from outlier trades with long holding periods, changing the average holding period based on hypothetical rebalancing results in a higher effective win rate than what is measured by the fraction of winning trades.
Keywords: trading, trend-following, finance, investing
Suggested Citation: Suggested Citation
Harris, Michael, The Effective Win Rate of Trend-Following Strategies (February 27, 2023). Available at SSRN: https://ssrn.com/abstract=4372151 or http://dx.doi.org/10.2139/ssrn.4372151
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