CNN Fear and Greed Index as trend signal in global financial markets
DOI:
https://doi.org/10.24310/recta....22430Keywords:
CNN Fear & Greed index, market sentiment, algorithmic trading, behavioral financeAbstract
Behavioral finance has shown that investor sentiment affects markets, so the challenge is to measure investor sentiment and develop investment strategies that can be profitable in any market context. For this we have developed an algorithmic trading system that takes long or short positions depending on the position of the CNN Greed & Fear index. The backtests executed, using the available historical data, provide consistent evidence of positive performance across markets, with comparatively stronger results observed in European indices, particularly the AEX.
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Copyright (c) 2024 Antonio Pérez de Juan, Raúl Gómez Martínez, Maria Luisa Medrano García, Camilo Prado Román
