Your clothing needs to allow free movement, keep you warm, and protect you from the wind.
While jeans are great for most uses, they don’t always offer much flexibility of movement, and they’re awful once wet. Your best option is to wear something that keeps you warm, and dries quickly.
Strenuous activity could make you break into a sweat, even in the middle of winter. Ensure that your top is made from a quick drying material and your coat should be well ventilated.
Woollen clothing isn’t great for outdoor activity as it can be quite heavy and bulky. New clothing technology has developed materials that are much lighter, impervious to wind, and offer excellent insulation.