Trendfollowing

Intraday trading strategies have gained increasing attention as advances in computing power and market data availability have made intraday strategy analysis more accessible. While many trading strategies are traditionally developed and evaluated using daily price data, shorter timeframes can provide additional opportunities to identify and exploit market trends within a single trading session. In this article, we investigate the performance of trend-following strategies based on selected technical indicators computed from one-minute price data for SPY ETF. The historical dataset, provided by Algoseek, serves as the basis for designing, backtesting, and comparing several intraday trading approaches.

Average strategy performance is one of the most common shortcuts in portfolio research. It gives the researcher a clean benchmark, a single reference line, and a simple way to compare one strategy against a broader group of similar strategies. In many cases, this is useful. But it can also be misleading.

This case study shows how Quantpedia API can be used to go beyond the average peer group return and measure yearly performance dispersion across a group of trend-following strategies. The goal is not only to ask how the average strategy performed, but also how different the individual strategies were from each other.

Time-series momentum stands as one of the most reliable and heavily backtested anomalies in quantitative finance, serving as a foundational alpha source for modern managed futures and trend-following strategies. However, a recent academic paper by Matti Suominen and Erik Hjalmarsson, titled “Boundaries of Time Series Momentum,” uncovers a structural vulnerability that every practitioner must account for. The authors demonstrate that while equity market trends persist reliably during normal business cycles, they systematically break down and aggressively reverse when market valuations reach historical extremes. This phenomenon establishes clear macro “boundaries” where chasing the trend shifts from a highly profitable strategy to a severe drawdown risk.

A single backtest can show that strategy was profitable, but it does not always show whether the strategy was competitive. This is especially true for systematic futures strategies. A trend-following strategy can have a positive Sharpe ratio, a long live-like performance history, and a reasonable drawdown, but those numbers are difficult to interpret without a relevant comparison group.
A broad equity index is often not the right benchmark for this type of strategy. A monthly rebalanced multi-asset futures strategy has a different objective, different risk profile, and different return drivers than a long-only stock index. A more useful question is whether the strategy performs well compared with other systematic trend-following futures strategies.
This case study shows how the Quantpedia API can be used to build a custom peer group benchmark for strategy evaluation. The workflow has two steps. First, Quantpedia strategy metadata is used to screen and define a comparable peer group. Second, the historical equity curves of the selected strategies are downloaded, converted into daily returns, and aggregated into an equal-weighted peer group benchmark.

Trend following was one of the most persistent anomalies in finance for nearly two centuries, yet its performance deteriorated sharply after the 2008 financial crisis. An analysis of approximately 100 liquid futures contracts from 1995 to 2025 shows that this decline is highly selective. The decisive factor is not asset class, liquidity, market electronification, or strategy crowding, but volatility-normalized tick size. After 2008, trend-following profits collapsed almost entirely on small-tick contracts across all signal horizons, while remaining largely intact on large-tick contracts. This finding suggests that modern trend-following portfolios are fundamentally split into two distinct regimes governed by market microstructure rather than traditional asset classifications.

This paper tests whether that rotation in attention leaves a systematic footprint. Using Donchian breakout signals across QQQ and Bitcoin, with cash as a fallback during periods of consolidation, we examine whether investors can harvest momentum without remaining permanently exposed to either asset’s full drawdown profile. The results suggest that the answer is yes: retail attention does not move randomly. It rotates, it concentrates, and—when measured through price breakouts—it can be systematically exploited.