Sentiment extremes: 33 Backtests
Data last updated
Rules that act on crowd mood measures, such as the Fear and Greed index.
9 of 33 strategies finished ahead of the benchmark on the raw number, and 1 had an unadjusted p-value under 0.05. None cleared the correction for trying 1,774 tests in total (a q-value below 0.10), so no result here is a confirmed edge. Scored 2026-10-31, using data up to 2025-03-15.
Strategies here tested on crypto, ETFs, US stocks. See the full family index, the full method and every result, or download the raw registry (JSON).
Results
| Rule | Market | Vs benchmark | Sample | p-value | Corrected q | Receipt |
|---|---|---|---|---|---|---|
| r2-09 leg (a): two-week momentum top 4 in greed, cash in fear, equal weight when neutral or unavailable, weekly receipt Source: c1024/r3 | crypto | +54.2 pts/yr | 228 rebalances | 0.094 | 1.000 | On-site receipt |
| Crypto 4-week momentum plus a 90-day extreme-fear override receipt Source: u/Corey_Blake, r/CryptoMarkets 1wp3tyi ('11 episodes of F&G <=10 since 2018, 8 of 8 green 90 days later'; his signal held up in the drop-best-run check); Baker & Wurgler 2006 JF | crypto | +40.6 pts/yr | 1,197 trades | 0.068 | 0.956 | On-site receipt Full test: Fear & Greed Timing |
| r3-07 with the greed leg replaced by the low-BTC-correlation sleeve: sleeve in greed, equal weight when neutral, cash in fear, weekly receipt Source: c1031/r4 | crypto | +35.1 pts/yr | 230 rebalances | 0.186 | 1.000 | On-site receipt |
| Two-week momentum in greed, low-BTC-correlation sleeve in fear, weekly receipt Source: c1023/r2 | crypto | +30.4 pts/yr | 393 rebalances | 0.037 | 0.830 | On-site receipt |
| r3-07 with Fear & Greed thresholds 50/30 (-10) and a one-week hysteresis on regime flips, weekly receipt Source: c1031/r4 | crypto | +17.2 pts/yr | 287 rebalances | 0.270 | 1.000 | On-site receipt |
| Low-BTC-correlation sleeve in greed only, cash in neutral and fear, weekly receipt Source: c1031/r4 | crypto | +17.0 pts/yr | 122 rebalances | 0.348 | 1.000 | On-site receipt |
| r2-09 leg (b): rank-weighted low-BTC-correlation sleeve in fear, equal weight in greed and neutral, weekly receipt Source: c1024/r3 | crypto | +11.3 pts/yr | 393 rebalances | 0.064 | 0.946 | On-site receipt |
| Max of the fear grid and the SMA grid: trend or capitulation, daily receipt Source: c1022/redteam | crypto | +1.1 pts/yr | 2,766 rebalances | 0.449 | 1.000 | On-site receipt |
| Crypto held while Fear & Greed is 50 or above receipt Source: alternative.me Crypto Fear & Greed Index (a composite of volatility, momentum/volume, social media, BTC dominance and search trends); Liu & Tsyvinski 2021 RFS (investor attention predicts crypto returns); Baker & Wurgler 2007 JEP | crypto | +0.6 pts/yr | 1,335 trades | 0.483 | 1.000 | On-site receipt Full test: Fear & Greed Timing |
| Contrarian to sector dollar-volume share inflows (dumb money) receipt Source: Frazzini & Lamont 2008 JFE ('Dumb money: mutual fund flows and the cross-section of stock returns') | ETFs | −0.3 pts/yr | 96 rebalances | 1.000 | 1.000 | On-site receipt |
| Arms index (TRIN) oversold buy on the 40-stock breadth receipt Source: Arms 1989 'The Arms Index (TRIN)' | US stocks | −0.7 pts/yr | 1,924 rebalances | 1.000 | 1.000 | On-site receipt |
| Stock beta tilt against crypto Fear & Greed extremes (wide US stocks) receipt Source: Baker & Wurgler 2006 JF; Stambaugh, Yu & Yuan 2012 JFE (speculative overpricing is stronger after high sentiment) | US stocks | −1.5 pts/yr | 102 rebalances | 1.000 | 1.000 | On-site receipt |
| Kumar-Persaud risk appetite index across 25 ETFs receipt Source: Kumar & Persaud 2002 International Finance ('Pure contagion and investors' shifting risk appetite') | ETFs | −3.3 pts/yr | 1,040 rebalances | 1.000 | 1.000 | On-site receipt |
| Crypto fear as a contrarian entry for tech equities: buy QQQ, XLK, DIA, XLY and XLF when the Fear & Greed index is 24 or less, hold 20 bars receipt Source: c1031/macro | ETFs | −9.9 pts/yr | 120 trades | 1.000 | 1.000 | On-site receipt |
| Crypto sentiment surge spills into tech and discretionary ETFs receipt Source: Baker & Wurgler 2006 (speculative assets most sentiment-sensitive); Corbet, Meegan, Larkin, Lucey & Yarovaya 2018 Econ. Letters (crypto-asset spillovers); alternative.me F&G | ETFs | −10.6 pts/yr | 267 trades | 1.000 | 1.000 | On-site receipt |
| VIX spike mean reversion (fear-spike buy) receipt Source: Whaley 2000, Journal of Portfolio Management | ETFs | −14.0 pts/yr | 10 trades | 1.000 | 1.000 | On-site receipt |
| Crypto high-beta tilt for 90 days after extreme fear receipt Source: u/Corey_Blake, r/CryptoMarkets 1wp3tyi (extreme fear <= 10 followed by 90-day gains 8 of 8 times); Baker & Wurgler 2006 JF (high sentiment-beta assets rebound most); Da, Engelberg & Gao 2015 RFS (FEARS reversals) | crypto | −14.5 pts/yr | 2,766 rebalances | 1.000 | 1.000 | On-site receipt |
| VIX spike mean reversion (fear-spike buy) (wide US stocks) receipt Source: Whaley 2000, Journal of Portfolio Management | US stocks | −15.7 pts/yr | 1,024 trades | 1.000 | 1.000 | On-site receipt |
| Crypto Fear & Greed Index (alternative.me) extreme buy/sell receipt Source: alternative.me Crypto Fear & Greed Index API (free, keyless) | crypto | −39.9 pts/yr | 15 trades | 1.000 | 1.000 | On-site receipt Full test: Fear & Greed Index |
| Rising sentiment inside an uptrend: 14-day Fear & Greed improvement receipt Source: c1031/cryptoderiv | crypto | −41.4 pts/yr | 711 trades | 1.000 | 1.000 | On-site receipt |
| Fear & Greed Index contrarian extreme receipt Source: alternate.me Fear & Greed API + viral crypto-Twitter/YouTube 'buy the fear' threads | crypto | −43.2 pts/yr | 21 trades | 1.000 | 1.000 | On-site receipt Full test: Fear & Greed Index |
| Price down 10% while market sentiment held up (idiosyncratic sell-off) receipt Source: Da, Engelberg & Gao 2015 (sentiment vs price divergence); alternative.me F&G | crypto | −53.6 pts/yr | 716 trades | 1.000 | 1.000 | On-site receipt |
| Crypto-specific fear while US equity volatility is calm receipt Source: Baker & Wurgler 2006; Da, Engelberg & Gao 2015 RFS; alternative.me F&G | crypto | −59.4 pts/yr | 289 trades | 1.000 | 1.000 | On-site receipt |
| Double capitulation: extreme fear plus negative funding receipt Source: alternative.me Fear & Greed; Schmeling, Schrimpf & Todorov 2023 (negative funding = short crowding); contrarian-sentiment literature (Baker & Wurgler 2006) | crypto | −61.9 pts/yr | 246 trades | 1.000 | 1.000 | On-site receipt |
| Sentiment residual: Fear & Greed z-score minus 20-day return z-score receipt Source: c1031/cryptoderiv | crypto | −64.1 pts/yr | 1,271 trades | 1.000 | 1.000 | On-site receipt |
| Fibonacci 61.8% retracement bounce in an uptrend receipt Source: Instagram/TikTok 'Fibonacci golden pocket' trading content | crypto | −66.6 pts/yr | 945 trades | 1.000 | 1.000 | On-site receipt Full test: Fibonacci Retracement |
| Sentiment surge out of fear (7-day Fear & Greed jump) receipt Source: Baker & Wurgler 2006 JF (sentiment shifts); alternative.me Crypto Fear & Greed index | crypto | −67.2 pts/yr | 368 trades | 1.000 | 1.000 | On-site receipt |
| Panic day: one-day Fear & Greed drop of 12+ points, buy receipt Source: c1031/cryptoderiv | crypto | −67.5 pts/yr | 967 trades | 1.000 | 1.000 | On-site receipt |
| Fear streak exhaustion: first neutral close after 7+ days of fear receipt Source: c1031/cryptoderiv | crypto | −68.9 pts/yr | 332 trades | 1.000 | 1.000 | On-site receipt |
| Greed streak exhaustion: first non-greedy close after 7+ days of greed, short receipt Source: c1031/cryptoderiv | crypto | −76.3 pts/yr | 324 trades | 1.000 | 1.000 | On-site receipt |
| Fear plus open-interest purge: buy receipt Source: c1031/cryptoderiv | crypto | −87.7 pts/yr | 166 trades | 1.000 | 1.000 | On-site receipt |
| Trend with an exit when greed and record open interest coincide receipt Source: Baker & Wurgler 2006 (sentiment peaks); Adrian & Shin 2010 (leverage peaks); crypto desk 'euphoria + OI ATH' warnings | crypto | −88.6 pts/yr | 384 trades | 1.000 | 1.000 | On-site receipt |
| Greed plus open-interest exit: distribution short receipt Source: c1031/cryptoderiv | crypto | −96.0 pts/yr | 172 trades | 1.000 | 1.000 | On-site receipt |
- r2-09 leg (a): two-week momentum top 4 in greed, cash in fear, equal weight when neutral or unavailable, weekly
crypto · +54.2 pts/yr · 228 rebalances · corrected q 1.000
Source, p-value and result file
- Source
- c1024/r3
- p-value
- 0.094
- Corrected q
- 1.000
- Receipt
- On-site receipt
- Crypto 4-week momentum plus a 90-day extreme-fear override
crypto · +40.6 pts/yr · 1,197 trades · corrected q 0.956
Full test: Fear & Greed Timing
Source, p-value and result file
- Source
- u/Corey_Blake, r/CryptoMarkets 1wp3tyi ('11 episodes of F&G <=10 since 2018, 8 of 8 green 90 days later'; his signal held up in the drop-best-run check); Baker & Wurgler 2006 JF
- p-value
- 0.068
- Corrected q
- 0.956
- Receipt
- On-site receipt
- r3-07 with the greed leg replaced by the low-BTC-correlation sleeve: sleeve in greed, equal weight when neutral, cash in fear, weekly
crypto · +35.1 pts/yr · 230 rebalances · corrected q 1.000
Source, p-value and result file
- Source
- c1031/r4
- p-value
- 0.186
- Corrected q
- 1.000
- Receipt
- On-site receipt
- Two-week momentum in greed, low-BTC-correlation sleeve in fear, weekly
crypto · +30.4 pts/yr · 393 rebalances · corrected q 0.830
Source, p-value and result file
- Source
- c1023/r2
- p-value
- 0.037
- Corrected q
- 0.830
- Receipt
- On-site receipt
- r3-07 with Fear & Greed thresholds 50/30 (-10) and a one-week hysteresis on regime flips, weekly
crypto · +17.2 pts/yr · 287 rebalances · corrected q 1.000
Source, p-value and result file
- Source
- c1031/r4
- p-value
- 0.270
- Corrected q
- 1.000
- Receipt
- On-site receipt
- Low-BTC-correlation sleeve in greed only, cash in neutral and fear, weekly
crypto · +17.0 pts/yr · 122 rebalances · corrected q 1.000
Source, p-value and result file
- Source
- c1031/r4
- p-value
- 0.348
- Corrected q
- 1.000
- Receipt
- On-site receipt
- r2-09 leg (b): rank-weighted low-BTC-correlation sleeve in fear, equal weight in greed and neutral, weekly
crypto · +11.3 pts/yr · 393 rebalances · corrected q 0.946
Source, p-value and result file
- Source
- c1024/r3
- p-value
- 0.064
- Corrected q
- 0.946
- Receipt
- On-site receipt
- Max of the fear grid and the SMA grid: trend or capitulation, daily
crypto · +1.1 pts/yr · 2,766 rebalances · corrected q 1.000
Source, p-value and result file
- Source
- c1022/redteam
- p-value
- 0.449
- Corrected q
- 1.000
- Receipt
- On-site receipt
- Crypto held while Fear & Greed is 50 or above
crypto · +0.6 pts/yr · 1,335 trades · corrected q 1.000
Full test: Fear & Greed Timing
Source, p-value and result file
- Source
- alternative.me Crypto Fear & Greed Index (a composite of volatility, momentum/volume, social media, BTC dominance and search trends); Liu & Tsyvinski 2021 RFS (investor attention predicts crypto returns); Baker & Wurgler 2007 JEP
- p-value
- 0.483
- Corrected q
- 1.000
- Receipt
- On-site receipt
- Contrarian to sector dollar-volume share inflows (dumb money)
ETFs · −0.3 pts/yr · 96 rebalances · corrected q 1.000
Source, p-value and result file
- Source
- Frazzini & Lamont 2008 JFE ('Dumb money: mutual fund flows and the cross-section of stock returns')
- p-value
- 1.000
- Corrected q
- 1.000
- Receipt
- On-site receipt
- Arms index (TRIN) oversold buy on the 40-stock breadth
US stocks · −0.7 pts/yr · 1,924 rebalances · corrected q 1.000
Source, p-value and result file
- Source
- Arms 1989 'The Arms Index (TRIN)'
- p-value
- 1.000
- Corrected q
- 1.000
- Receipt
- On-site receipt
- Stock beta tilt against crypto Fear & Greed extremes (wide US stocks)
US stocks · −1.5 pts/yr · 102 rebalances · corrected q 1.000
Source, p-value and result file
- Source
- Baker & Wurgler 2006 JF; Stambaugh, Yu & Yuan 2012 JFE (speculative overpricing is stronger after high sentiment)
- p-value
- 1.000
- Corrected q
- 1.000
- Receipt
- On-site receipt
- Kumar-Persaud risk appetite index across 25 ETFs
ETFs · −3.3 pts/yr · 1,040 rebalances · corrected q 1.000
Source, p-value and result file
- Source
- Kumar & Persaud 2002 International Finance ('Pure contagion and investors' shifting risk appetite')
- p-value
- 1.000
- Corrected q
- 1.000
- Receipt
- On-site receipt
- Crypto fear as a contrarian entry for tech equities: buy QQQ, XLK, DIA, XLY and XLF when the Fear & Greed index is 24 or less, hold 20 bars
ETFs · −9.9 pts/yr · 120 trades · corrected q 1.000
Source, p-value and result file
- Source
- c1031/macro
- p-value
- 1.000
- Corrected q
- 1.000
- Receipt
- On-site receipt
- Crypto sentiment surge spills into tech and discretionary ETFs
ETFs · −10.6 pts/yr · 267 trades · corrected q 1.000
Source, p-value and result file
- Source
- Baker & Wurgler 2006 (speculative assets most sentiment-sensitive); Corbet, Meegan, Larkin, Lucey & Yarovaya 2018 Econ. Letters (crypto-asset spillovers); alternative.me F&G
- p-value
- 1.000
- Corrected q
- 1.000
- Receipt
- On-site receipt
- VIX spike mean reversion (fear-spike buy)
ETFs · −14.0 pts/yr · 10 trades · corrected q 1.000
Source, p-value and result file
- Source
- Whaley 2000, Journal of Portfolio Management
- p-value
- 1.000
- Corrected q
- 1.000
- Receipt
- On-site receipt
- Crypto high-beta tilt for 90 days after extreme fear
crypto · −14.5 pts/yr · 2,766 rebalances · corrected q 1.000
Source, p-value and result file
- Source
- u/Corey_Blake, r/CryptoMarkets 1wp3tyi (extreme fear <= 10 followed by 90-day gains 8 of 8 times); Baker & Wurgler 2006 JF (high sentiment-beta assets rebound most); Da, Engelberg & Gao 2015 RFS (FEARS reversals)
- p-value
- 1.000
- Corrected q
- 1.000
- Receipt
- On-site receipt
- VIX spike mean reversion (fear-spike buy) (wide US stocks)
US stocks · −15.7 pts/yr · 1,024 trades · corrected q 1.000
Source, p-value and result file
- Source
- Whaley 2000, Journal of Portfolio Management
- p-value
- 1.000
- Corrected q
- 1.000
- Receipt
- On-site receipt
- Crypto Fear & Greed Index (alternative.me) extreme buy/sell
crypto · −39.9 pts/yr · 15 trades · corrected q 1.000
Source, p-value and result file
- Source
- alternative.me Crypto Fear & Greed Index API (free, keyless)
- p-value
- 1.000
- Corrected q
- 1.000
- Receipt
- On-site receipt
- Rising sentiment inside an uptrend: 14-day Fear & Greed improvement
crypto · −41.4 pts/yr · 711 trades · corrected q 1.000
Source, p-value and result file
- Source
- c1031/cryptoderiv
- p-value
- 1.000
- Corrected q
- 1.000
- Receipt
- On-site receipt
- Fear & Greed Index contrarian extreme
crypto · −43.2 pts/yr · 21 trades · corrected q 1.000
Source, p-value and result file
- Source
- alternate.me Fear & Greed API + viral crypto-Twitter/YouTube 'buy the fear' threads
- p-value
- 1.000
- Corrected q
- 1.000
- Receipt
- On-site receipt
- Price down 10% while market sentiment held up (idiosyncratic sell-off)
crypto · −53.6 pts/yr · 716 trades · corrected q 1.000
Source, p-value and result file
- Source
- Da, Engelberg & Gao 2015 (sentiment vs price divergence); alternative.me F&G
- p-value
- 1.000
- Corrected q
- 1.000
- Receipt
- On-site receipt
- Crypto-specific fear while US equity volatility is calm
crypto · −59.4 pts/yr · 289 trades · corrected q 1.000
Source, p-value and result file
- Source
- Baker & Wurgler 2006; Da, Engelberg & Gao 2015 RFS; alternative.me F&G
- p-value
- 1.000
- Corrected q
- 1.000
- Receipt
- On-site receipt
- Double capitulation: extreme fear plus negative funding
crypto · −61.9 pts/yr · 246 trades · corrected q 1.000
Source, p-value and result file
- Source
- alternative.me Fear & Greed; Schmeling, Schrimpf & Todorov 2023 (negative funding = short crowding); contrarian-sentiment literature (Baker & Wurgler 2006)
- p-value
- 1.000
- Corrected q
- 1.000
- Receipt
- On-site receipt
- Sentiment residual: Fear & Greed z-score minus 20-day return z-score
crypto · −64.1 pts/yr · 1,271 trades · corrected q 1.000
Source, p-value and result file
- Source
- c1031/cryptoderiv
- p-value
- 1.000
- Corrected q
- 1.000
- Receipt
- On-site receipt
- Fibonacci 61.8% retracement bounce in an uptrend
crypto · −66.6 pts/yr · 945 trades · corrected q 1.000
Full test: Fibonacci Retracement
Source, p-value and result file
- Source
- Instagram/TikTok 'Fibonacci golden pocket' trading content
- p-value
- 1.000
- Corrected q
- 1.000
- Receipt
- On-site receipt
- Sentiment surge out of fear (7-day Fear & Greed jump)
crypto · −67.2 pts/yr · 368 trades · corrected q 1.000
Source, p-value and result file
- Source
- Baker & Wurgler 2006 JF (sentiment shifts); alternative.me Crypto Fear & Greed index
- p-value
- 1.000
- Corrected q
- 1.000
- Receipt
- On-site receipt
- Panic day: one-day Fear & Greed drop of 12+ points, buy
crypto · −67.5 pts/yr · 967 trades · corrected q 1.000
Source, p-value and result file
- Source
- c1031/cryptoderiv
- p-value
- 1.000
- Corrected q
- 1.000
- Receipt
- On-site receipt
- Fear streak exhaustion: first neutral close after 7+ days of fear
crypto · −68.9 pts/yr · 332 trades · corrected q 1.000
Source, p-value and result file
- Source
- c1031/cryptoderiv
- p-value
- 1.000
- Corrected q
- 1.000
- Receipt
- On-site receipt
- Greed streak exhaustion: first non-greedy close after 7+ days of greed, short
crypto · −76.3 pts/yr · 324 trades · corrected q 1.000
Source, p-value and result file
- Source
- c1031/cryptoderiv
- p-value
- 1.000
- Corrected q
- 1.000
- Receipt
- On-site receipt
- Fear plus open-interest purge: buy
crypto · −87.7 pts/yr · 166 trades · corrected q 1.000
Source, p-value and result file
- Source
- c1031/cryptoderiv
- p-value
- 1.000
- Corrected q
- 1.000
- Receipt
- On-site receipt
- Trend with an exit when greed and record open interest coincide
crypto · −88.6 pts/yr · 384 trades · corrected q 1.000
Source, p-value and result file
- Source
- Baker & Wurgler 2006 (sentiment peaks); Adrian & Shin 2010 (leverage peaks); crypto desk 'euphoria + OI ATH' warnings
- p-value
- 1.000
- Corrected q
- 1.000
- Receipt
- On-site receipt
- Greed plus open-interest exit: distribution short
crypto · −96.0 pts/yr · 172 trades · corrected q 1.000
Source, p-value and result file
- Source
- c1031/cryptoderiv
- p-value
- 1.000
- Corrected q
- 1.000
- Receipt
- On-site receipt
How to read these results
"Vs benchmark" is the strategy's annualized return minus an equal-weight benchmark, rebalanced daily, on the same assets and days. Strategies are charged trading costs; the benchmark pays none. Ahead is not a confirmed edge: the p-value is the unadjusted chance of a gap this large by luck, and the corrected q allows for how many strategies were tried, because testing hundreds of ideas throws up lucky winners. Every strategy saw only data up to the same cutoff date. The receipt is the frozen result file for that rule.
"Sample" is trades for rules that enter and exit a position, and rebalances for portfolio rules. A rebalance is a scheduled date on which a portfolio rule re-ranks and held at least one position. It is the sample size for portfolio rules. A holdings change is a rebalance where what the portfolio held, or its weights, differed from the previous one. Only these cost money to trade. The two are different counts and are never swapped. Definitions.