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Does Put/Call Ratio (Index) 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: -0.08 dSharpe (vs buy-hold)
dSharpe -0.08 (IS -0.26 -> OOS +0.02); below the floor
Verdict
Index put/call ratio: noise. Index option flow is hedging-driven and doesn't time the market here.
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 .
Written with AI assistance from our own test database. The numbers are computed, not composed.
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Generated 2026-11-06 from the Trading Truth database.
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