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<p id="isPasted">Trend following or time series momentum is a well known and very simple strategy to implement, therefore offers low returns.</p><p>The winning percentage of trades is around 30%, most of the time people are in a drawdown waiting for the big winner to come. People try to overcome this by diversifying to many uncorrelated markets and using leverage, that is what most CTAs do, using futures contracts.</p><p>It was very successful in the seventies, with the Turtle experiment being such a case but even Richard Dennis (co-creator of the experiment) went bust in the eighties . Recently one of the …</p>
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