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This chapter explores the origins of trend-following and the historical development of moving averages as a core tool in technical analysis. It then examines the academic perspective on trend-following, tracing its evolution from early skepticism—rooted in the efficient market hypothesis—to growing recognition of the momentum effect in financial markets. Finally, the chapter highlights the challenges of using moving averages for trend-following, such as the tradeoff between responsiveness and smoothness, the shortcomings of conventional lag metrics, and the proliferation of exotic moving averages with unverified claims of superiority. It sets the stage for how this book addresses these challenges by developing an objective framework to analyze and compare different trend-following strategies, providing new insights into their effectiveness.

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Introduction

  • 章节

  • 发表日期：

    2025年

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  • Valeriy Zakamulin,
  • Javier Giner

摘要

This chapter explores the origins of trend-following and the historical development of moving averages as a core tool in technical analysis. It then examines the academic perspective on trend-following, tracing its evolution from early skepticism—rooted in the efficient market hypothesis—to growing recognition of the momentum effect in financial markets. Finally, the chapter highlights the challenges of using moving averages for trend-following, such as the tradeoff between responsiveness and smoothness, the shortcomings of conventional lag metrics, and the proliferation of exotic moving averages with unverified claims of superiority. It sets the stage for how this book addresses these challenges by developing an objective framework to analyze and compare different trend-following strategies, providing new insights into their effectiveness.