Trading timing and the returns to trend-following

Adrian Zoicas-Ienciu

Applied Economics Letters, 2019, vol. 26, issue 4, 311-315

Abstract: We document a negative impact of realistic trading timing on trend-following profits, across an international sample of equity indexes and stocks. The discount effect is substantial but reduces as trend signals become less accurate. The size of this trading timing bias is largely driven by the volatility of buy-and-hold returns and that of trend signals.

Date: 2019
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DOI: 10.1080/13504851.2018.1468547

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