I don't really know how else to say it ARS.
There are about 15 heuristics in Kahneman's thinking fast and slow that explain our inexorable performance chasing tendencies.
Off the top of my head.
Recency bias (our consistent non statistical overemphasis on the importance of recent events (ie winners/losers.)
Loss aversion (our drive to avoid loss at all cost ((which makes it hard to buy recent losers and sell recent winners.))
Representativeness. (Our need to attribute causality to that which reinforces our own non statistical biases. ( this stock made a killing for me, proving I'm smart, which again makes me attached to its ongoing performance which makes it hard for me to sell it. ))
Which are all subtle aspects in our cognitive make up which make it hard to buy recent losers and easy to buy recent winners.
And when you get to the institutional level, the effects are only amplified. Money flows towards recent winners, because if you are paying someone 2 and 20 to outperform the market they had better have proof of their recent outperformance.
I recognized this tendency in myself even when it came time to rebalance my buy and hold portfolio.
It is non statistical, and illogical, and powerful, and it shades almost every trade that people make, which in combination makes price momentum. A tendency for recent price movement to be perpetuated.
It could be that I am exceptionally illogical or greedy or non statistical in my thinking, who knows?
But that's how I see the market. (At least after having become aware of the momentum effect.)
All of which only describes relative strength momentum.
Trend following and absolute momentum, on the other hand, are 2 different methods of accomplishing the same thing, namely finding a reproducible signal that gets you on the side line during bear markets.
If the price of your index is below its 200 day moving average or has performed worse than cash over the last 3-12 months it tells you the same thing: you are probably in a bear market. It's not 100% of course, but its pretty close, and bear markets in anything almost always last several years and can eat away as much as 80% of equity value in a 100% equity portfolio (and that is only the biggest bear market to date, no reason we can't have a greater depression in the future.)
This is a consistent pattern of all US bear and most foreign bear markets to date, and I don't honestly know why markets always take years to right themselves, I assume it has to do with size effects and the consequent latency from the time that economies and governments recognize that they are in trouble, to the time that corrective action begins to stop the bleeding, but the fact that trend following always but always minimizes max drawdowns in diverse markets and asset types, in backtesting of 10 years or more, is enough empirical evidence for me. I don't need a better story than that. Call it technical trading if you like. I call it a smart probabilistic play, and I am willing to put my penny down (and have.)
The cost is tracking error and whipsaw risk, which generally means that its a coin flip whether or not the trend follower will outperform in a bull market (relative momentum helps here, of course).
I don't see this play as much different from overweighting equities in a buy and hold portfolio. Equities have always outperformed superiorly in 30 year periods in the past, so it's smart to imagine that this trend will persist, whether or not you believe in the unstoppable intrinsic wealth expanding prowess of corporations.