Trends exist at almost all time scales

The new paper "Trend and Reversion in Financial Markets on Time Scales from Minutes to Decades" does an exhaustive analysis of trend behavior from the shortest time possible to long time periods and find good evidence of trend and reversion based on the strength of the trend. Weak trends persist and strong trends are likely to reverse. Reversal coefficients are relatively stable while trends show the strongest pattern in the 3-6 month period which is consistent with most trend-following managers. There is a lot going on with this paper given the large number of markets and time horizons tested and the number of transformations used to tease-out the results.

 The overall conclusions are summarized as follows:

• Intraday horizons at the tick level show strong reversal properties based on tick size
• Time horizons up to 15 minutes - weak trends reverse and strong trend persist
• Time horizon 30 minute to few hours - start to show trend patterns 
• Time horizon of hours to several days - small trends persist and strong trend reverse
• Time horizon from days to one year - trends persist if weak and a reversal of strong trends
• Longer time horizon - trend pattern exist out to two years then there is reversal of weak and persistence of strong trend which reflect longer-term cycles.

I learned from this paper is that weak trends will persist, but strong trends will reverse. Wait until the trend is very clear and you will be whipsawed. Look for the weak persistent trends but you will be subject to noise and the maddening effects of drawdowns and periods of poor performance as you wait to accumulate return.