Subject: Re: Does Trend Following Still Work on Stocks?
Ok. Here's the last part of the abstract. I'm going to "torpedo" this.

"While the theoretical portfolio exhibits exceptional gross-of-fees performance from 1991 until 2024 (e.g., a CAGR of 15.19% and an annualized alpha of 6.18%), its extensive daily turnover poses a significant challenge once transaction costs are considered. Examining net-of-fee performance across various asset under management (AUM) levels, we find that the base trend-following approach is not viable for smaller portfolios (AUM less than $1M) due to the dampening effect of trading costs. However, by incorporating a Turnover Control algorithm, we substantially mitigate these transaction cost burdens, rendering the strategy attractive across all tested portfolio sizes even after fees."

Extensive daily turnover? They didn't, did they really?

The one trend method they tested was "we use an all-time high breakout as the trend signal".

An automatic exit based on Average True Range violation? "We implement a trailing stop designed to adapt dynamically as the trade progresses. At the close of day t, the trailing stop level is calculated using the 42-day ATR..."

<yeah, they did do daily stop-loss via the ATR>

# of open positions varied from barely above 0 to just under 1,600 depending on market conditions, interest rates, other exogenous.
1600 positions? daily new highs?

The red line in Figure 16 reveals that the daily number of trades, driven primarily by frequent small position rebalancements, is so high that it could pose significant challenges to
implementing this portfolio in real-world scenarios, especially for less-capitalized trading
accounts.

cough...

FC's pompous analysis conclusion: this analysis is an ivory tower exercise and the headline is clickbait. Based on
- an unimplementable strategy for anyone, even an ETF
- two (2) trend factors, one bullish and one bearish: all time high paired with violating lower ATR
- daily turnover
- didn't bother reading through Daily Turnover Control algorithm, whatever at that point
- "less capitalized trading accounts"? NO ONE with a job and a life is going to commit money to this approach. Even if you had over $1M. Come on.

Bottom line: Trend following CAN work and DOES work - with realistic, achievable real world criteria with widely available data. In the famous old Monty Python episode including the Argument sketch, Graham Chapman played it:
https://youtu.be/3ANufwUPFm8