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One of our users just ran a super clean backtest of the CNN Fear & Greed Index using WealthLab — and the results were *way* more interesting than expected.
Worth a read if you’re into sentiment signals or regime testing:
https://backtest.substack.com/p/i-backtested-the-cnn-fear-and-greed
Curious what you all think… does this indicator actually have a place in a strategy?
One of our users just ran a super clean backtest of the CNN Fear & Greed Index using WealthLab — and the results were *way* more interesting than expected.
Worth a read if you’re into sentiment signals or regime testing:
https://backtest.substack.com/p/i-backtested-the-cnn-fear-and-greed
Curious what you all think… does this indicator actually have a place in a strategy?
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As far as I understand, the whole strategy consists of buying when the F/G value falls within a certain range and then waiting for a set number of days. Either I coded it incorrectly, or something else is off, because my results are significantly worse than the benchmark.
However, when I was googling, I came across a similar strategy published by a WL user also, possibly by the same https://www.reddit.com/r/StockMarket/comments/1f6fjyn/cnn_fear_greed_index_at_a_closing_50_day_high_a/
However, when I was googling, I came across a similar strategy published by a WL user also, possibly by the same https://www.reddit.com/r/StockMarket/comments/1f6fjyn/cnn_fear_greed_index_at_a_closing_50_day_high_a/
That other post is me as well. The 50 day high one.
In response to ww5. What you're missing is that it's not falling into that range. Run an optimization for each decile and then have the individual holding periods. If it closes between 30 to 50 and I hold for 5 days etc. I loaded the optimization file to the discord. We are not actually optimizing anything we just want to see all the trades for all the holding periods and decile ranges.
I'd like to explore this, but I haven't been able to locate the complete historical data for the Fear and Greed index. Where did you find it?
QUOTE:
locate the complete historical data for the Fear and Greed index
You need to first install the WL PowerPack extension. It's an indicator in the PowerPack folder called CNNFearGreed.
Have fun.
That's interesting, but I wonder what would happen, if they would test the short side (falling markets)?
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