Sentiment Data Backtest Statistics: CNN Fear & Greed Index

CNN created an indicator called the Fear & Greed Index. Its goal is to assess the level of greed or fear in the market at any given time, providing positive or negative readings. The Fear & Greed Index can range from 0 to 100. According to the index’s creators, the closer the index gets to 100, the more greedy investors become. In contrast, the closer it gets to zero, the more fear there is in the market.

CNN Fear & Greed Index (FGI) Trading Signal Backtest Results:

Trading strategy 1: Buy at FGI first Fear Signal, Sell at FGI first Greed Signal.
Stock: SPY
Data: FGI, daily data
Tested date range: 6 Years 2016/3 to 2022/3
Number of trades matched: 10
Win rate: 80% (Winning trades: 8, Losing trades: 2) 
Total return: 72.49%
Median holding time: 127 days
Sharpe Ratio: 0.13

Trading strategy 2: Buy at FGI first Fear Signal, Sell at FGI first Very Greed Signal.
Stock: SPY
Data: FGI, daily data
Tested date range: 6 Years 2016/3 to 2022/3
Number of trades matched: 6
Win rate: 83.33% (Winning trades: 5, Losing trades: 1) 
Total return: 88.03%
Median holding time: 173 days
Sharpe Ratio: 0.10

Trading strategy 3: Buy at FGI first Very Fear Signal, Sell at FGI first Greed Signal.
Stock: SPY
Data: FGI, daily data
Tested date range: 6 Years 2016/3 to 2022/3
Number of trades matched: 6
Win rate: 100% (Winning trades: 6, Losing trades: 0) 
Total return: 51.1%
Median holding time: 120 days
Sharpe Ratio: 0.11

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