“How to improve trend following performance” – David Lundgren

David Lundgren explains why momentum doesn't work - and how trend following solves the problems that make momentum a flawed signal for systematic traders. ► Full article: https://bettersystemtrader.com/194-ho... In this episode: • Why momentum has failed during deflationary regimes (1930s and post-tech bubble) but works in reflation • How trend following solves momentum's turnover problem and captures more of each major move • The relative performance mindset from 30 years of institutional portfolio management 0:00 Introduction 9:21 Momentum deciles from 1927 - what the data actually shows 18:46 The two periods when momentum failed and why they matter now 28:04 How trend following solves the momentum signal problem 37:26 Using relative strength and higher highs/higher lows in practice 46:45 From Wellington Management to trading for yourself 56:05 Regime effects on factor performance - inflation vs. deflation Related episodes: • Entries, Exits and Trend Following with Larry Tentarelli:    • 076: Entries, Exits and Trend Following wi...   • Simple but effective techniques to identify trends:    • "Simple but effective techniques to identi...   David Lundgren spent 30 years in the investment industry including the technical analysis team at Fidelity and 13 years as co-PM at Wellington Management. Using Ken French's momentum decile data back to 1927, he shows that momentum fails in deflationary regimes and explains why trend following - which uses higher highs and higher lows as its signal rather than lookback performance - solves the turnover problem that makes momentum expensive and inefficient. --- ► Better System Trader: https://bettersystemtrader.com ► Follow on X:   / bettersystrader   #TrendFollowing #MomentumTrading #SystemTrading Disclaimer: Trading in the financial markets involves a substantial risk of loss. All content produced by Better System Trader is for informational or educational purposes only and does not constitute trading or investment advice.