A paper, Does Trend Following Still Work on Stocks? by Carlo Zarattini1, Alberto Pagani2, Cole Wilcox which updates a paper from 2005. Their conclusion is that trend following still works.

SSRN: Research paper

I tried to replicate the paper using GTR1 but had to make some modifications. The paper uses all time high to enter a position. I used 52 week high.

The paper used an escalating stop loss that is shown on page 6 of the paper. It uses power value of 10, When I used a value of 10, the stop loss was never invoked. I used a power of 5 (there may well be an error in my code for determining ATR over 42 days).

For the NAS100 since 1985,GTR1 (see link below) had:

CAGR 16%
SAWR 9.6%
MDD -62%

I have not included friction. If I were to implement this screen I would not rebalance so friction would be fairly low. However, with GTR1 using shrink and a rebalance period of one day, GTR1 would show substantial friction

^N1T for the period is:

CAGR 14%
SAWR 4.7%
MDD -81%

My conclusion: Nice to see that trend following works! I won't be implementing their method.

Aussi

https://gtr1.net/2013/?s19850201h1::nas100.a:et1:r...