This chapter analyses a trading regime indicator called Trend Following Performance Indicator (TFPI). The TFPI can give the trading regime analyst a very good idea of where the probabilities lie in terms of the likely trading environment for a market. Not only does the TFPI give a measure of the trend of the trading regime, and therefore its longevity, it also gives a measure of how extreme the trading regime has become and therefore an indicator of a possible regime reversal. The TFPI can be used in a mean‐reverting fashion in that the analyst would be thinking it would be prudent to at least lock in some gains on the trend now that the market appeared primed to start the regime‐switching process. However, like any mean‐reverting type of indicator that exists to indicate an overbought or oversold condition like relative strength or stochastics, the sensible thing to do is to wait until the indicator stops going up, even though it is in record extreme territory already.