Skeptics love to say trend-following "used to work but doesn't anymore." A team of researchers answered that by testing it across 137 years of data — from 1880 to 2016 — through the Great Depression, two world wars, and the 2008 crash. The strategy held up the whole way.
Who found it, and where
The paper, "A Century of Evidence on Trend-Following Investing," is by Brian Hurst, Yao Hua Ooi, and Lasse Heje Pedersen of AQR Capital Management — a firm that manages tens of billions and publishes academic-grade research. It appeared in the Journal of Portfolio Management in 2017.
What they actually did
They built a simple trend system across 67 markets (commodities, stock indexes, bonds, currencies): when a market had been rising, be long; when it had been falling, be short — judged over 1, 3, and 12-month windows. Then they ran it, after realistic costs, across every decade back to 1880. The result was remarkably steady positive performance that didn't depend on any single era or asset.
Why it should work
Trends exist because humans and institutions are slow. News gets priced in gradually, people chase winners, and big funds take weeks to shift billions. Trend-following also tends to do well in crises, because crashes are themselves long moves — which is why it's often called "crisis insurance."
Does it still hold — honestly?
The evidence is about a diversified basket of 67 markets, not one contract — a single instrument will be far bumpier. And trend-following has had multi-year flat stretches (2011–2019 was tough). It's a long-horizon, patience-required approach. But as a principle, few trading ideas have this much honest evidence behind them.
Build it in TapeScript
The classic version: "Go long when price is above its 200-day moving average and the 50-day is above the 200-day; go short when it flips. Exit on the opposite cross." TapeScript turns that into tested code, checks it for lookahead, and runs walk-forward and Monte-Carlo so you can see the flat stretches before you live through them — plus it will tell you honestly if a single instrument is too choppy to trend-trade on its own.
Citation: Hurst, B., Ooi, Y. H., & Pedersen, L. H. (2017). "A Century of Evidence on Trend-Following Investing." The Journal of Portfolio Management, 44(1), 15–29. Free PDF via Yale or on SSRN.