Trend Following starts with market selection. You have to know what you want to trade. Market can be any single item in which you can take a position. Market is also a mix of single markets to which you will use for your Trend Following but we will call this your portfolio selection. Although Trend Following doesn't use discretion on other parts of the system, you will use your discretion to come up with your portfolio selection. You must choose the type of instrument from Futures, Forex, Equities including stocks, ETFs, options or a combination.
Choose markets that are liquid. They need to have sufficient volume so you are able to get in and out of your positions easily as well as your positions not causing the price to move. As your trading capital increases and depending on what type of market you are trading, you may need to make adjustments.
Some markets move together so when you make your portfolio selection, limit correlation to avoid unexpected risk. Correlated positions will move against you at the same time. You can do this in several ways. One is to only trade the first correlated market that meets your entry trigger. Another is to limit the number of positions you will take among groups of correlated markets.
Any single position is not going to be trending all the time. Your best chances of success is a mix of markets so your capital needs to be able to have multiple positions at one time. Using an investment type that has leverage available will allow your capital to have more markets in your portfolio selection. Use leverage as a tool as it will increase your risk if used carelessly.
Choose the timeframe that best fits your trading style. Long term or very long term Trend Following using weekly or monthly charts can reduce transaction costs and limit the noise of daily activity. An example of shorter term Trend Following is trading the Forex market using hourly charts.
For whatever markets you choose, pick markets that have a high probability of trending. If a market is always sideways, it will slowly chip away at your trading capital. Of the markets you do trade, you need to trade them consistently. Picking and choosing when to take a trade can cause you to miss the trend which could be the trade that makes your trading profitable. In Market Wizards, Jack Schwager mentions of Richard Dennis, "According to his own estimate, 95 percent of his profits have come from only 5 percent of his trades."
If you have substantial capital, you will be able to have a large portfolio selection and increase your chances of finding and riding a trend. If your account size is small and you can only take on a small portfolio selection, you will need to choose even more carefully as your chances of catching a trend are reduced.
After you have selected what you want to trade, you have to decide how you want to identify the beginning of a trend. The next page is about entries.