Time series reversal in trend‐following strategies

Jiadong Liu, Fotis Papailias

Research output: Contribution to journalArticlepeer-review

10 Downloads (Pure)


This paper empirically studies the reversal pattern following the formation of trend-following signals in the time series context. This reversal pattern is statistically significant and usually occurs between 12 and 24 months after the formation of trend-following signals. Employing a universe of 55 liquid futures, we find that instruments with sell signals in the trend-following portfolio (‘losers’) contribute to this type of reversal, even if their profits are not realised. The instruments with buy signals in the trend-following portfolio (‘winners’) contribute much less. A double-sorted investment strategy based on both return continuation and reversal yields to portfolio gains which are significantly higher than that of the corresponding trend-following strategy.
Original languageEnglish
Pages (from-to)76-108
Number of pages33
JournalEuropean Financial Management
Issue number1
Early online date30 Dec 2021
Publication statusPublished - 01 Jan 2023


  • General Economics, Econometrics and Finance
  • Accounting


Dive into the research topics of 'Time series reversal in trend‐following strategies'. Together they form a unique fingerprint.

Cite this