Trend following is the philosophy that strong directional moves continue more often than they reverse, and that catching even a fraction of the eventual move pays for the many false starts along the way. Buy strength, sell weakness, let winners run.
The math is well documented. Win rates are typically 30-45% — most trades are small losses or break-evens. The strategy works because the occasional big winners (5R, 10R, 20R+) more than offset the small losses. Average R-expectancy of 0.3-0.5R per trade is realistic for a disciplined trend system over a multi-year sample.
The psychological cost is the published academic finding that gets ignored most. Trend-followers spend 60-70% of their trading time in drawdown or grinding sideways, waiting for the breakout that pays the year. Most traders cannot tolerate this — they abandon the strategy mid-drawdown, right before the big winner that would have made the year. The strategy works on paper; almost nobody runs it long enough to capture the math in real life.
Famous practitioners include the Turtles, Bill Dunn, John W. Henry, and the entire CTA industry. The academic literature (Hurst, Ooi, Pedersen — 'A Century of Evidence on Trend-Following Investing') shows the edge has persisted across asset classes and decades. The fact that it still works is itself evidence of how hard it is to actually execute through the drawdowns.