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There are so many people out there trying to sell you something and relying on your human nature of wanting to do the best for your horse that you end up buying things you probably don't need. I mean the catalogues sell them so surely we must need them, right?
The thing is that horses evolved to take care of themselves more efficiently and better than humans could ever realise. Their blood systems and coats change dramatically for Winter to be able to cope with the drop in temperature.
Firstly try to let your horse be outside all day, every day, if you can. His coat will start to thicken up and the oils of his coat will begin to work to keep his coat waterproof, for this reason do not over groom him. His mane and tail should be left naturally long to help keep his neck and quarters warm, feathers should be left to keep water off the heels and in general he should be left alone to be a horse.
What we can do is give him good quality forage (hay or haylage) to keep him in good condition, give him some sort of shelter in case he wants to use it (trees are usually better than a man made shelter), plenty of ice free water, succulents for treats now and then and not to be worked too hard so that we don't have to clip him and therefore have to rug him up in the first place. I know this isn't possible for everyone, some people compete, others keep their horses fit all year but generally, most horse owners could help their horses be more natural throughout the year.
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Healthy horses left to their own devices often have no problems dealing with the cold, it's the wet and freezing cold that they have trouble with so this is when rugging to stop chills is good. What we need to do is take rugging on a daily basis, don't over rug and let the horse be a horse for as long as possible in the Winter and rug when necessary, sometimes maybe just at night. But don't put human thoughts onto the horse, cold for a horse that is healthy with a good Winter coat is not a problem.
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My theory is to allow the horse to be as natural as possible but don't allow it to suffer, either by being too cold or wet OR too hot, both are uncomfortable ;)