The Test Bench › gate

Does Put/Call Ratio (All) actually work?

DEAD

No edge left once tested on a fair footing.

The claim

A CBOE sentiment/vol reading that times the market — CBOE / contrarian sentiment

What we did

Tested against Buy & hold SPY, same window (2012+), 2012-2026, both directions tested.

The result

Result: -0.02 dSharpe (vs buy-hold)

dSharpe -0.02 (IS -0.36 -> OOS +0.19); below the data-mining floor (+0.23)

Verdict

The famous total put/call ratio is NOISE as a market-timing gate -- both directions tested, neither clears the noise floor. A beloved sentiment gauge that isn't an edge on its own.

What the test did and did not do

tested out of sample
point-in-time data
checked for look-ahead
net of real costs

Almost nobody publishing a backtest says which of these they did. We list the ones we failed as well as the ones we passed.

Tested 2026-06-23. The same treatment, applied to every other system, is on the test bench.

← Percent of Stocks Above the 50-Day Average All findings Put/Call Ratio (Equity) →

Written with AI assistance from our own test database. The numbers are computed, not composed.
General market commentary for education, not personalised investment advice. Backtested results are hypothetical. Trading carries a real risk of loss.