Trend-Following P&L Is a Function of Autocorrelation (Closed Form) [Aligrithm] Ask a CTA salesperson why their fund makes money and you get a story: markets trend, we ride the trend, we cut losers and let winners run. That story is untestable. Sepp and Lucic did something the industry rarely does. They wrote down the exact profit-and-loss of a standard European trend-follower and factored it into two things you can measure directly: the autocorrelation of the traded returns