Determining the optimal parameters of a trading rule requires specific assumptions about market dynamics and trading frictions. This chapter presents a general model of a persistent return process and identifies the optimal technical indicator for trend-following under these conditions. By explicitly modeling return persistence, we derive the optimal weighting function for past returns in a trading rule, ensuring maximum strategy performance. The analysis also incorporates transaction costs, demonstrating how they alter the properties of the optimal trend-following indicator. In particular, while the optimal return weights closely follow the structure of the return process in a frictionless market, transaction costs necessitate a smoothing adjustment to reduce excessive trading. These findings highlight the fundamental tradeoffs in designing efficient trend-following strategies, emphasizing the importance of aligning trading rules with market structure and cost considerations.