Sentiment Data Backtest Statistics: CBOE Put Call Ratios

CBOE Equity Put Call Ratio Fear Greed Signals Backtest Results:

Trading strategy 1: Buy at the Put Call Ratio first Fear Signal, Sell at the Put Call Ratio first Greed Signal.
Stock: SPY
Data: Equity Put Call Ratios, daily data
Tested date range: 10 Years 2012/1/1 to 2021/12/31
Number of trades matched: 46
Win rate: 86.96% (Winning trades: 40, Losing trades: 6) 
Total return: 193.39%
Median holding time: 23 days
Sharpe Ratio: 0.39

Trading strategy 2: Buy at the Put Call Ratio first Fear Signal, Sell at the Put Call Ratio first Very Greed Signal.
Stock: SPY
Data: Equity Put Call Ratio, daily data
Tested date range: 10 Years 2012/1/1 to 2021/12/31
Number of trades matched: 6
Win rate: 83.33% (Winning trades: 5, Losing trades: 1) 
Total return: 249.32%
Median holding time: 74 days
Sharpe Ratio: 0.06

Trading strategy 3: Buy at the Put Call Ratio first Very Fear Signal, Sell at the Put Call Ratio first Greed Signal.
Stock: SPY
Data: Equity Put Call Ratio, daily data
Tested date range: 10 Years 2012/1/1 to 2021/12/31
Number of trades matched: 19
Win rate: 73.68% (Winning trades: 14, Losing trades: 5) 
Total return: 57.47%
Median holding time: 49 days
Sharpe Ratio: 0.10

 

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