Trend-Following Trading Strategies in U.S. Stocks: A Revisit

Andrew C. Szakmary and M. Carol Lancaster

The Financial Review, 2015, vol. 50, issue 2, 221-255

Abstract: We show that previous findings regarding the profitability of trend-following trading rules over intermediate horizons in futures markets also extend to individual U.S. stocks. Portfolios formed using technical indicators such as moving average or channel ratios, without employing cross-sectional rankings of any kind, tend to perform about as well as the more commonly examined momentum strategies. The profitability of these strategies appears significant, both statistically and economically, through 2007, but evidence of profitability vanishes after 2007. Market-state dependence, while clearly present, does not explain the post-2007 reduction in returns to these strategies.

Date: 2015
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