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TSeries Momentum - technical papers

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

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

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


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

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