[Frank]

Thanks for the feedback, nice to know it helped.

I got that terminology from a book I read on quant trading -- what is interesting about your comments is that the theme of the book was that you need to put your quant models within a 'super model' which switches on and off depending on the 'regime' -- which is what you intuitively did. Nice job.

[Frank]

well, October did a small seasonal uptick and that was it --- then a ski slope down... January usually better than December but so far not the case - thinking this seasonal should kick in soon -- but we'll see.

[i trade]

Interesting stuff Frank...please keep us updated!

[86834]

Fantastic stuff. Hopefully the volatility that we've seen in the market today will bring things back into the 'norm' so to say....

[DugDug]

Also ties in with the idea a lot of systemised managed futures traders go with of continually adjusting their models for the type of market and the volatility of the market at the time.
While some traders are purists and claim that a robust system needs to be maintained over the long run to be any good - through good and bad times - others realise that certain markets and systems work well together.
(I hear with recent volatility reductions in both implied and historical volatilities that many option trading firms are felling the pinch as well. Changes in volatility definitely affects traders opportunities and mindsets.)

[Frank]

chart of TPO counts picking up as would be expected on seasonal basis (January usually up vs December)

[Frank]

Here were the 'good ole days' of volatility -- End of 2008 and first half of 2009 TPO counts:

[Frank]

ok, 1 more chart:

you do not really need to 'guess' -- you can just watch the morning session -- if its high TPO count -- that generally begets high afternoon count. conversely, 'crap begets crap' (no range in morning means day is probably a dud)... I find this concept very very useful for thinking about profit targets. keep them low if range is low -- but expand them a bit if range expands: