Using a Trend Following Model to Measure the Volume and Open Interest in the Market

The median trend follow was 13%. So they're not far off. If their number is a little bit biased higher than that would be fair enough. But still 300 billion, I would say, since as maybe been conservative and certainly on the high side as opposed to the low side. And what to do then is construct a trend following model. You could be running 300 billion at six vol and it's only going to have half the market footprint of 300 billion at 12 vol. They assume 12 vol is the kind of how they calculated the positions.

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