I have been looking at the CNN Fear Greed Index as an alternative to BCC or perhaps supplemental timing method. Initially it seems to add value if you are in the market when the current value is greater than 0.7 (higher values up to 0.9 worked better for some screens) times the average from 8 to 12 days ago.

I have daily data from 2011 to October 2023, except for missing months between June, 2022 and October, 2022. If anyone wants a copy of the data I have, please let me know. If anyone has the data I am missing in 2022, could you share the data or let me know how to collect the data.

Craig

cnn.com - Fear and greed

What is the CNN Business Fear & Greed Index?

The Fear & Greed Index is a way to gauge stock market movements and whether stocks are fairly priced. The theory is based on the logic that excessive fear tends to drive down share prices, and too much greed tends to have the opposite effect.

How is Fear & Greed Calculated?

The Fear & Greed Index is a compilation of seven different indicators that measure some aspect of stock market behavior. They are market momentum, stock price strength, stock price breadth, put and call options, junk bond demand, market volatility, and safe haven demand. The index tracks how much these individual indicators deviate from their averages compared to how much they normally diverge. The index gives each indicator equal weighting in calculating a score from 0 to 100, with 100 representing maximum greediness and 0 signaling maximum fear.

How often is the Fear & Greed Index calculated?

Every component and the Index are calculated as soon as new data becomes available.