A Guide to Trend Following Strategies

8 Pages Posted: 18 May 2023

Date Written: March 31, 2022

Abstract

Trend following is one of the most popular and enduring systematic trading strategies. An attractive long-term track record and strong returns during market crises have resulted in trend following becoming a vital component in many portfolios.

In this paper we analyze the general profile of trend following strategies, and demonstrate how to build such a strategy in four steps.

Keywords: trend following, CTA, RSI, MACD, L1 filter, volatility smile

JEL Classification: C0, C10, C21, C22

Suggested Citation

Broadfoot, Stuart and Leveau, Daniel, A Guide to Trend Following Strategies (March 31, 2022). Available at SSRN: https://ssrn.com/abstract=4438260 or http://dx.doi.org/10.2139/ssrn.4438260

Daniel Leveau (Contact Author)

affiliation not provided to SSRN

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