  We solve exactly a simple model of trend following strategy, and obtain the
analytical shape of the profit per trade distribution. This distribution is non
trivial and has an option like, asymmetric structure. The degree of asymmetry
depends continuously on the parameters of the strategy and on the volatility of
the traded asset. While the average gain per trade is always exactly zero, the
fraction f of winning trades decreases from f=1/2 for small volatility to f=0
for high volatility, showing that this winning probability does not give any
information on the reliability of the strategy but is indicative of the trading
style.
