Posted By: topannuity   Date: Tue Dec 8, 2009

Title: ANO Volatility

Message:
  Hi Rich- What is your explanation for the volatility in ANO. Seems the past weeks the volatility and size of daily up/down moves are "off the charts". Is this volativity correlated with major trend change (topping) behavior?

Response:
  I don't have an explanation for the wild swings in the ANO. I can't complain too much as the model is doing quite well predicting the market. I believe the move to cash yesterday was mainly due to the big drop in the Dow transports. Why the model moved long tonight is a mystery. The model is non-linear so small changes in the inputs can cause large swings in the output.