I've read that trend-following strategies perform well in high-volatility regime... and I've also read opposite statement saying that trend-following strategies perform well in low-volatility regime... But I seem to find it hard visualize intuitively either case. It seems to me "volatility" is not a good dividing line for good/bad performance of trend-following strategies. I am thinking of "auto-correlation"... but not so sure. If "auto-correlation" is a good dividing line for the good/bad regimes, then is there a way to "forecast" auto-correlation? How about mean-reverting strategies?