TSeries Momentum - technical papers

2010 Time series momentum Tobias J. Moskowitz, Yao Hua Ooi, Lasse Heje Pedersen

https://www.aqr.com/Insights/Research/Journal-Article/Time-Series-Momentum

2013 Baltas Momentum Strategies in Futures Markets and Trend-following Funds

• 2013 Trend Following, Risk Parity and Momentum in Commodity Futures Steve Cohen

2012 Trend Following, Risk Parity and Momentum in Commodity Futures Andrew Clare

• Alternative Risk Premia: What Do We Know? Thierry Roncalli, Quantitative Research - Amundi

Overall this leads to an attractive strategy for investing in commodity futures and emphasises the importance of trend following as an investment strategy in the commodity futures context

AQR

• https://www.aqr.com/Insights/Research/Journal-Article/Demystifying-Managed-Futures

https://www.aqr.com/Insights/Research/Journal-Article/A-Century-of-Evidence-on-Trend-Following-Investing

• 2019 https://www.aqr.com/Insights/Research/Journal-Article/You-Cant-Always-Trend-When-You-Want

Our findings suggest that the lower returns in the current decade are due to fewer large moves across markets over this time period, as opposed to a decline in the strategy’s ability to profit from trends

2022 JP Bouchaud The persistence of medium-term Trend Following (or “momentum”) is one of the most scathing indictment of the Efficient Market Hypothesis

https://www.cfm.fr/assets/Uploads/Insights/A-Good-Time-for-Trend-Following-FINAL.pdf

• Trend followers lose more often than they gain

Total time of staying in the winning trade for trend-follower even without autocorrelation.
Even with average PnL is equal to zero, winning probability is less than $50\%$ but the gain amount is significantly higher.

More interesting is to generalise Kelly criterion for time-series with autocorrelation
https://en.wikipedia.org/wiki/Kelly_criterion