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

 

Have any questions or suggestions? Please contact us using our Online Ticket System.
Are you interested in making contributions to our platform? Join in our W3Data Creator Team.

Disclaimer: Megapro provides data solely for educational or informational purposes. All investment strategies and investments involve the risk of loss. Nothing contained in this website should be construed as investment advice.  Any reference to an investment’s past or potential performance is not, and should not be construed as, a recommendation or as a guarantee of any specific outcome or profit. Any decisions or actions based on the information presented here are done at your own risk and discretion.