I recently came across a simple trend following system.
The rules for an uptrend goes like this (reverse it for a downtrend):
- When 20 SMA > 40 SMA, it is in an uptrend, only go long, not allowed to short.
- Enter on short-term weakness, when CCI(5) < -100
- Sell everything when price crosses below 40 SMA.
In terms of position sizing, at each buy point (i.e. when CCI(5) < -100), buy in the following sizes: 50%, 30%, 20%, and 5% for each new signal.
This shows that a profitable trading system need not be complicated at all. What is more difficult is being able to develop or find a profitable trading system where you are psychologically able to follow its rules.