In November 2005 Cole Wilcox and Eric Crittenden of Blackstar Funds LLC* (now Longboard Asset Management) published a research report analyzing the effectiveness in using a Trend Following trading strategy in the US equity markets. Both fund managers were using Trend Following successfully in the futures markets for many years. Their success with Trend Following, as well as their peer's results in similar markets , piqued their curiosity and led them to conduct this research. The strategy tested is a long-only Trend Following program. Trend Following uses absolute price change to delineate strength or weakness in a particular security. In this case, the researchers added long exposure on positive absolute price changes that resulted in an all-time high on a one week closing basis. Before actual testing began, Wilcox and Crittenden made sure to address any data issues. For example, given the expansive time horizon for testing, the authors account for security-sp
Price-based perspective on market behavior