Ep. 820: Tell Me Something I Don't Know with Michael Covel on Trend Following Radio
Michael Covel's Trend Following
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How to Ride Your Winners, Cut Your Losers
The win stay part of it is momentum almost. It's kind of like just follow the momentum. You might not be able to answer the why, but the win stay, stay with it and there's a lot of value to that. That's very counter to human intuition, I believe. The basic logic, at least, if you're thinking about the formal version of the problem is if at time T, let's say, it made sense to go with a certain choice. If it already made sense to do that and then you do it and it pays off, well, it can only make more sense to do it again.
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