When talking about about trading systems and expectancy, the bigger the sample of trades, the better. However, it is important to ensure that the sample covers both periods of success and failure. Selecting a sample from a timeframe which is either favourable or not favourable in isolation can give a misleading picture.
When trend following, over time you you will encounter the various market states (trending or non-trending, stable or volatile), which can have a significant effect on your performance. Ideally you want to concentrate your exposure when conditions are favourable to your chosen method, and step back when conditions are less conducive to making profits.
The chart below shows the number of trades I have placed on a month by month basis.
The month where I was busiest was July 2013. While I suffered a number of failed trades, which led to my biggest drawdown in cash terms (click on this post for more), this was also my most profitable month in terms of open profits gained, as several trends developed nicely.
One thing that markets dislike is uncertainty - October 2013 shows this was the quietest month for me. The reason? Increased volatility in the markets, combined with a lack of direction. This was driven by the US government shutdown and debt ceiling talks. During late September/early October, I took no new trades for three weeks. Similarly, this December so far is a quiet month, with again higher volatility and a pullback or trend reversal in the general market, leading to failed signals. Even December 2012, which followed a failed breakout on the indices to the downside, and the Fiscal Cliff negotiations, led me to be lightly invested.
The charts also shows that the average is around 15 trades per month - less than one new position taken per trading session. Bearing in mind I can trade stocks in markets around the globe, I take very few signals - I prefer to go for quality rather than quantity. I have self imposed limits on the number of positions I can open per day. Also remember that any losing positions are closed very quickly, sometimes within a day of being opened - only if trades start moving in my favour are they kept open.
Trying to utililse a trend following strategy when the market conditions are not favourable will only lead to losses and frustration. That is not the time for taking more trades than normal. Cash is a position that individual traders can use in those periods. The time to step up your exposure is when the market conditions are in your favour.