This study confirms the long-term profitability of long-only trend-following strategies in U.S. equities, using over 75 years of data.

Performance is driven by a small number of large winners that offset frequent smaller losses, and the strategy remains effective across different market conditions, indicating structural robustness.

However, high turnover and transaction costs limit practical implementation, especially for small accounts.

Introducing turnover control significantly improves cost efficiency, bringing realized performance closer to theoretical results.

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