Using recent US financial market data, this study tested whether relative strength trading strategy was profitable in two different sample periods (1990 to 2012 and 1965 to 2012). In contrast to the previous findings, our study finds no clear evidence for profitable zero-cost buy and hold strategy for 3- to 12-month periods for the period 1990 to 2012. However, we find few profitable zero-cost strategy for the period 1965 to 2012, but the returns are much smaller than previously reported. These findings may imply gain in market efficiency in the US financial markets in recent period.