How to draw trail behind an object?

Well, not sure if this is exactly what you want and I only thought to chime in because I did something similar in my SMB engine with the fireballs.

Here's a screen cap of what I did, but basically I had an object with an animation of something fading out that was created at the fireballs every so many seconds. The animation was basically a cinder that would decrease in size each frame of the animation and when the animation was done, it would destroy itself. I know you said you wanted something that was drawn dynamically and not baked. Not sure if this is considered baking into animation since technically the cinder is a separate object/animation than the fireball. I personally can't think of any other more complex way of doing it.

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I know this is a really generic way of doing it and hope the idea helps, but I have a feeling you wanted something different. I'm actually curious to see the responses on this besides mine to see if there's some kind of way of trailing/fading without using animations.

You basically constantly create an object at the position of your bullet. Then you destroy them after a few split seconds. or you could always scale the trail object down until it's invisible and destroy it.

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I made this video which may help.