Is he on (and been on) a regular worming schedule? I also got a neglected horse and high quality feed + a comprehensive worming plan and he's looking much better, though i'm still battling the worms. Rough coat and tail rubbing are added signs of a possible worm problem. However, there are many many many reasons a horse may not be keeping on weight, some more serious than others! Definitely have a vet do a thorough exam!